SPE Regime & Prob Proxy

// SPE Regime + Probability Proxy (TradingView Pine v5)
// Visual proxy for lab concepts: vol regime + momentum tilt as a 0–100 "P(up) score".
// NOT calibrated Brier-honest logistic output from the Python lab.
//
// Use on any chart symbol. Optional US index for spillover-style context.

//@version=5
indicator("SPE Regime & Prob Proxy", shorttitle="SPE-Prob", overlay=false)

usSym     = input.symbol("SPX", "US index (overnight context)")
volWin    = input.int(21, "Vol window", minval=5)
momWin    = input.int(21, "Momentum window", minval=2)
corrWin   = input.int(60, "Corr window", minval=20)
panicQ    = input.float(0.80, "Panic vol percentile (approx via SMA rank)", minval=0.5, maxval=0.95)

ret       = ta.change(math.log(close))
vol       = ta.stdev(ret, volWin)
// Approximate high-vol regime: vol above long SMA of vol
volLong   = ta.sma(vol, 100)
regimePanic = not na(vol) and not na(volLong) and vol > volLong * 1.15
regimeElev  = not na(vol) and not na(volLong) and vol > volLong * 0.95 and not regimePanic

mom       = (close - close[momWin]) / close[momWin]
usClose   = request.security(usSym, timeframe.period, close)
usRet     = ta.change(math.log(usClose))
corrUs    = ta.correlation(ret, usRet, corrWin)

// Simple score 0–100: base 50 + momentum tilt + mild mean-reversion dampener in panic
// Clip-ish using math.min/max
raw = 50.0 + 100.0 * mom * 2.0
// In panic, pull toward 50 (less conviction) and slightly follow US overnight proxy
usTilt = nz(usRet[1], 0) * 200.0
adj = regimePanic ? (raw * 0.5 + 50.0 * 0.5 + usTilt * 0.25) : (raw + usTilt * 0.1)
score = math.max(0.0, math.min(100.0, adj))

plot(score, "P(up) proxy 0-100", color=color.new(color.teal, 0), linewidth=2)
hline(50, "Neutral", color=color.gray)
hline(60, "Lean up", color=color.new(color.green, 60))
hline(40, "Lean down", color=color.new(color.red, 60))

bgcolor(regimePanic ? color.new(color.red, 90) : regimeElev ? color.new(color.orange, 92) : color.new(color.green, 95))

plot(corrUs, "Corr vs US", color=color.orange, display=display.pane)

var table t = table.new(position.bottom_right, 2, 4, bgcolor=color.new(color.black, 70))
if barstate.islast
    regTxt = regimePanic ? "PANIC" : regimeElev ? "ELEVATED" : "CALM"
    table.cell(t, 0, 0, "SPE Prob Proxy", text_color=color.white, text_size=size.small)
    table.cell(t, 0, 1, "Score", text_color=color.gray, text_size=size.tiny)
    table.cell(t, 1, 1, str.tostring(score, "#.0"), text_color=color.teal, text_size=size.tiny)
    table.cell(t, 0, 2, "Regime", text_color=color.gray, text_size=size.tiny)
    table.cell(t, 1, 2, regTxt, text_color=color.white, text_size=size.tiny)
    table.cell(t, 0, 3, "ρ US", text_color=color.gray, text_size=size.tiny)
    table.cell(t, 1, 3, str.tostring(corrUs, "#.##"), text_color=color.orange, text_size=size.tiny)

// Optional alerts
alertcondition(ta.crossover(score, 60), title="Proxy lean UP", message="SPE proxy crossed above 60")
alertcondition(ta.crossunder(score, 40), title="Proxy lean DOWN", message="SPE proxy crossed below 40")