@pgnio/helios-mcp 0.2.7 → 0.2.8

package/docs/ai-agent-indicators/volatility_squeeze.txt

@@ -1,169 +0,0 @@
-================================================================================
-INDICATOR: VOLATILITY_SQUEEZE — GARCH VOLATILITY RATIO (SQUEEZE)
-================================================================================
-id:                 volatility_squeeze
-data_field:         indicators.volatility_squeeze
-type:               NUMERIC
-range:              [0, ∞) — practically [0.1, 1.5] in most conditions
-precision:          3 decimal places
-update_rate:        per_tick
-latency_profile:    COINCIDENT
-
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-CONSTRUCT
---------------------------------------------------------------------------------
-volatility_squeeze measures the ratio of short-window to long-window GARCH
-conditional volatility. It detects when volatility has compressed below historical
-norms (a "squeeze") — indicating stored directional energy.
-
-GARCH(1,1) model:
-  omega   = 0.00001
-  alpha   = 0.10     (weight on recent squared return)
-  beta    = 0.88     (weight on prior conditional variance)
-  h[t]    = omega + alpha × r[t-1]² + beta × h[t-1]
-  where r[t] = log return at time t
-
-Two GARCH variance series computed:
-  short_window = 14 ticks  →  h_short (14-period GARCH conditional variance)
-  long_window  = 50 ticks  →  h_long  (50-period GARCH conditional variance)
-
-Ratio:
-  value = sqrt(h_short / h_long)
-
-This ratio compares current short-term GARCH volatility to the recent long-term
-GARCH baseline. A value of 1.0 means current volatility is at its long-run norm.
-
-CRITICAL: LOWER VALUES MEAN MORE COMPRESSION (MORE ENERGY STORED)
-  value < 0.8   →  SHORT_TERM VOLATILITY IS COMPRESSED BELOW BASELINE
-  value >= 0.8  →  NORMAL OR EXPANDING VOLATILITY
-
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-RANGE INTERPRETATION — SQUEEZE STATES (BELOW 0.8)
---------------------------------------------------------------------------------
-  IMPORTANT: These are SQUEEZE conditions. The LOWER the value, the more
-  compressed the volatility. This is counterintuitive: a "lower squeeze value"
-  means MORE stored energy, not less.
-
-  value < 0.3  [EXTREME SQUEEZE]
-    Short-term GARCH volatility is less than 30% of the long-term norm.
-    Maximum compression. Historical breakouts after extreme squeeze are
-    often the most violent, as stored directional energy releases suddenly.
-    squeeze_duration and squeeze_energy will be at high values here.
-
-  value >= 0.3 AND value < 0.4  [ACTIVE SQUEEZE]
-    Short-term volatility is severely compressed. Still very significant
-    energy buildup. Price is in a tight consolidation with little realized
-    volatility. The market is coiling before a move.
-
-  value >= 0.4 AND value < 0.6  [MILD-ACTIVE SQUEEZE]
-    Meaningful compression. Volatility is building toward normal levels.
-    Not extreme but notable — this level typically precedes larger moves.
-
-  value >= 0.6 AND value < 0.8  [MILD SQUEEZE]
-    Light compression. Volume and volatility are slightly below the baseline.
-    Pre-squeeze signal or normal pullback in oscillation.
-
-  value >= 0.8  [EXPANSION / NO SQUEEZE]
-    Short-term volatility at or above its long-term GARCH norm. This is the
-    normal or expanding state. Price is realizing its typical or above-typical
-    movement. No stored energy condition.
-
-  value >> 1.0 (significantly above 1.0)
-    Current volatility is substantially above the long-run GARCH baseline.
-    Post-squeeze expansion or a volatility shock event.
-
---------------------------------------------------------------------------------
-TRAJECTORY MATTERS
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-# The direction of squeeze_value change is as important as the absolute level.
-
-  value moving from 0.8 → 0.5 → 0.3 (declining over multiple ticks)
-    Active compression building. Energy is accumulating. The lower it gets
-    and the longer it stays low, the more likely the breakout is material.
-    Monitor squeeze_duration and squeeze_energy for quantified buildup.
-
-  value moving from 0.3 → 0.6 → 0.9 (rising after a squeeze)
-    Squeeze is RELEASING. Energy is being converted to realized movement.
-    This is the expected transition AFTER the breakout move initiates.
-    By the time value is above 0.8, the acute breakout phase has begun.
-
-  value hovering near 0.5 for many ticks
-    Prolonged squeeze. Market is in sustained compression. Combined with
-    low squeeze_energy increase, this may indicate an information void
-    period. High-conviction break likely when catalyst arrives.
-
---------------------------------------------------------------------------------
-INDICATOR RELATIONSHIPS
---------------------------------------------------------------------------------
-  indicators.squeeze_duration | REQUIRED_COMPANION
-    squeeze_duration counts consecutive ticks where value < 0.8.
-    Low squeeze_value + high squeeze_duration = sustained compression.
-    The combination is more meaningful than either alone.
-
-  indicators.squeeze_energy | REQUIRED_COMPANION
-    squeeze_energy = squeeze_duration × (0.8 - value) = compressionDepth × time.
-    This is the integrated measure of compression buildup.
-    High squeeze_energy = the most significant potential release.
-
-  indicators.regime | CONTEXT
-    IF regime = CONSOL AND volatility_squeeze < 0.5
-      → Regime confirms consolidation AND volatility confirms compression.
-         Dual confirmation of coiling condition.
-    IF volatility_squeeze transitions above 0.8 AND regime shifts to BREAKOUT
-      → The squeeze is releasing AND regime has confirmed direction.
-         Highest confidence breakout signal.
-
-  indicators.market_structure | CONTEXT
-    market_structure = CONSOL or BREAKING_UP after a squeeze period confirms
-    the structural context of both compression and release.
-
-  indicators.activity_ratio | CONTEXT
-    IF activity_ratio < 0.5 AND volatility_squeeze < 0.5
-      → Compression in both volume AND GARCH volatility. Not just a quiet
-         period — both volume and price movement are compressed simultaneously.
-
-  indicators.hmi | CONTEXT
-    After a squeeze release, the direction of the hmi move (positive or negative)
-    provides the directional interpretation of the energy release.
-    volatility_squeeze confirms compression existed; hmi tells you which way
-    the energy released.
-
---------------------------------------------------------------------------------
-DEPENDENCY ORDER
---------------------------------------------------------------------------------
-  1  Read value; classify SQUEEZE (< 0.8) vs EXPANSION (>= 0.8).
-  2  In squeeze: classify depth (EXTREME < 0.3, ACTIVE < 0.4, MILD < 0.6).
-  3  Read squeeze_duration and squeeze_energy for magnitude of buildup.
-  4  Regime for compression/breakout confirmation.
-  5  Post-release: read hmi for direction of energy release.
-
---------------------------------------------------------------------------------
-INVALIDATION CONDITIONS
---------------------------------------------------------------------------------
-  IF fewer than 50 ticks of return history
-    → Long GARCH window (50) has not converged. Value is unreliable.
-       Treat first 50-60 ticks after start/reset as warm-up.
-
-  IF a sudden extreme price move occurs (> 5% in 1 tick)
-    → GARCH may spike sharply. One outlier return inflates h_short significantly.
-       Value may jump to >> 1.0 transiently. Wait for GARCH to stabilize.
-
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-ANTI-PATTERNS — DETECTABLE MISUSE CONDITIONS
---------------------------------------------------------------------------------
-  IF value < 0.3 is treated as a trade signal on its own
-    → INCORRECT. Extreme squeeze tells you compression exists but says
-       NOTHING about direction. Directional confirmation (hmi, regime shift,
-       market_structure breakout) is required before acting.
-
-  IF value > 0.8 is treated as "safe to trade"
-    → INCORRECT INTERPRETATION. Value > 0.8 means volatility is expanding.
-       This is the RELEASE phase of a squeeze — often the most volatile
-       and fastest-moving period. This is when positions face highest
-       whipsaw risk, not least.
-
-  IF the relationship between value and compression is treated as "higher = more squeeze"
-    → INVERTING THE SCALE. Lower value = more compressed. value = 0.2
-       is maximum squeeze, NOT a minimum. This is a common error with
-       ratio-based indicators. Remember: value compares short GARCH to
-       long GARCH — below 1.0 means short is below long.