Regime Detection System

Risk Management Systems Advanced Stocks Futures Options MCX Commodities Currency Futures Indices
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Quick Reference

Purpose Identify current market regime to adapt trading strategies, risk parameters, and capital allocation based on prevailing market conditions
Core Function Analyzes multiple market indicators to classify the current environment into distinct regimes (trend, range, high volatility, crisis, etc.) and triggers appropriate strategy adjustments

India-Specific Notes

Regime Indicators India

India Vix Below 13 • 13-20 • 20-30 • Above 30 • Primary volatility regime indicator
Fii Dii Flows FII buying > ₹1000 Cr/day sustained • Net positive flows • Net negative flows • FII selling > ₹1000 Cr/day sustained • Confirms trend regime
Advance Decline A/D ratio > 2.5 • A/D ratio > 1.5 • A/D ratio 0.8-1.2 • A/D ratio < 0.8 • Confirms trend health, divergence warns of reversal
Pcr Put Call Ratio PCR > 1.5 • PCR 1.2-1.5 • PCR 0.8-1.2 • PCR 0.5-0.8 • PCR < 0.5 • Contrarian indicator at extremes
Bank Nifty Nifty Ratio Bank Nifty outperforming • Nifty outperforming (defensive) • Risk appetite indicator

Global Spillover Regimes

Us Market Impact 0.5-0.7 typically • US close significantly affects India open • Global risk-off affects India strongly
Crude Oil Regime High crude = negative for India (importer) • Crude > $90 typically bearish regime for India • OMCs, airlines, paints most sensitive
Dollar Rupee Regime Often accompanies risk-off in India • Often accompanies risk-on • Moves > 1% in day indicate regime stress

Regulatory Regime Changes

Rbi Policy Can shift interest rate sensitive sector regimes • Post-policy volatility spike • Effect lasts 1-3 days typically
Sebi Announcements Can affect market structure temporarily • Margin changes, F&O lot sizes, new product launches

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