Nasan Market Phase Classifier

The Nasan Market Phase Classifier indicator designed to classify market phases using volume, volatility (or momentum), and statistical analysis. Here's a summary of how it works and what it does:

🔍 Core Concept
This indicator classifies the market into four phases based on volume and ATR (or optionally momentum):

High Volume / High ATR or Momentum (HV/HATR): Strong Trend

Low Volume / High ATR or Momentum (LV/HATR): False Breakout / Exhaustion

High Volume / Low ATR or Momentum (HV/LATR): Consolidation

Low Volume / Low ATR or Momentum (LV/LATR): Stagnation

⚙️ Key Settings
Short-Term Length: Used for the active market phase.

Long-Term Length: Used as the expected/benchmark distribution.

Use Momentum: Replaces volatility (ATR) with momentum (custom ROC-based formula).

Use Fixed Alpha: Toggles adaptive vs. fixed weighting in scoring (this is based on variation of the volatility - standard deviation of true range).

📊 How It Works
Volatility or Momentum Scoring:

Uses ATR-based or Momentum-based score depending on the setting.

Applies weighing (alpha) which is based on variability of the volatility itself.

Market Phase Count:

Measures how often each of the 4 volume/volatility combinations occur in:

Short-term window (observed phase)

Long-term window (expected distribution)

Category Proportions:

Calculates percentage share of each category (e.g., % time in HV/HATR).

Plots these on chart to visually see market phase dominance (can be used for screening of pine screener).

Statistical Testing:

IQV (Index of Qualitative Variation): Measures phase diversity (0 = focused, 1 = mixed).

Chi-Squared Test: Compares current vs. historical phase distribution.

Z-Test: Tests if current phase dominance is statistically significant.

📋 Outputs
On-Chart Plots and Tabels:

Strong Trend, False Breakout/Exhaustion, Consolidation, Stagnation

Strength Quality Plot: Trend strength normalized by IQV.

Dynamic Table (Top Right):

Shows each phase’s proportion (the current phase cell is highlighted in yellow), IQV, Chi² value, and current dominant phase. The current candle classification (text) is in purple.

Highlights the dominant phase classification and color-codes significance (the cell highlighted in green highly confident about the classification, orange intermediate confidence and red low confidence). This color coding is not just based on statistical significance it is based on IQV which takes into account how spread the proportions are.

🧠 Interpretation
A dominant HV/HATR phase with low IQV and high Z-Score indicates a strong and statistically significant trend.

High IQV suggests uncertainty or mixed market behavior.

Chi² spike indicates a shift from historical behavior can be used to see is the market behavior changing by changing the long term length say to 252 and short term length to 21 this will tell if the short term behavior is different from the past 252 day behavior.