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Market Efficiency Field
Admin's Choice NewFreeRuns tests on 24 horizons: trending glows green, mean reversion magenta
Favourites and Admin's Choice analyses are listed in the terminal's indicators window under Analysis Marketplace.
- Language
- QuaScript
- Engine
- Native C++, incremental on live ticks
- Rendering
- WebGPU + Canvas
- Placement
- Own pane
- Settings
- 4
- Plots
- 50
- Lines of code
- 57
- Source
- presets/analysis/hft/market_efficiency_field.qs
About
Is price trending or mean-reverting, and on which time scale? Each of twenty-four rows is a Wald-Wolfowitz runs test on the signs of the last N price changes (N from 16 to ~370): green cells have fewer direction changes than chance (moves cluster, momentum works), magenta cells have more (moves alternate, fading works), dark cells are a random walk. Reading up the field shows the horizon at which the market stops being efficient, which is the horizon to trade. The line is the Lo-MacKinlay variance ratio (1 = random walk) as a cross-check.
What it draws
Own pane · counted from the engine's plot table and the script's draw calls
Series
- Line1 visible · 49 helperVariance ratio
- Band fills (render.band calls)1
Signal marks
Drawings and chart effects
- Dashboard tables1 created
How it runs
From source to the live chart, for this script
- 1Compile
The QuaScript compiler checks the 57-line script (48 lines of code) and lowers it for the native C++ engine. Compile errors point at the exact line and column.
- 2Place
The header sets
pane = hpanewithheight = 0.26(26% of the chart), so the output gets its own pane under the price with its own scale. - 3Compute
The script runs once per bar, oldest to newest. Each bar also runs one loop (1 for). 1
persistvariable keeps state (objects, counters) across bars. Helper function:heat(). - 4Stay live
On the terminal the script keeps one live engine session: a tick rolls the forming bar back to its checkpoint and re-executes only that bar, and new bars are appended, so history is never rerun while the market moves. The live result is identical to a full run.
- 5Render
The results are handed to the chart: series on WebGPU, drawings on the Canvas 2D QuaScript layer.
- 6Tune
4 settings in 3 groups appear in the chart's settings dialog. Changing one reruns the engine with the new value.
Rendering
Hybrid: this script draws on 2 surfaces at once
The browser's modern GPU API. The chart uploads every line, band and mark of the script as GPU buffers and draws them in one pass, so dense heatmaps and dozens of series stay smooth while you pan and zoom. Without WebGPU support the chart's GPU layer falls back to WebGL 2, then Canvas 2D.
- • 50 plotted series
- • 1 band fill call
- • 2 signal mark types
Chosen by render = webgpu in the header.
GPU drawing through WebGL 2, available in every current browser. Used for chart-native profiles and for series that ask for it with backend = "webgl". Fast for large numbers of bars and wide fills.
The browser's 2D drawing API. Text-heavy and object-style output (dashboard tables, zones, tags, segments), candle colors and backgrounds are painted by the QuaScript layer, a Canvas 2D surface over the chart. Series use Canvas when the script's header does not ask for a GPU.
- • 1 dashboard tables (QuaScript layer)
Alerts
2 alert rules declared with alert.rule
Half of the horizons show clustered (trending) moves
Half of the horizons show alternating (mean-reverting) moves
Settings
4 settings, grouped as in the chart's settings dialog
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Source | Price source | close | — | source |
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Shortest window | Integer | 16 | 8 – 200 | shortest_window |
| Window ratio | Number | 1.15 | 1.03 – 1.5, step 0.01 | window_ratio |
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Variance ratio window | Integer | 100 | 20 – 2000 | variance_ratio_window |
Script
packages/quascript/presets/analysis/hft/market_efficiency_field.qs
Header
analysis "Market Efficiency Field" {
pane = hpane
height = 0.26
render = webgpu
}- Total lines
- 57
- Code lines
- 48
- Comment lines
- 6
- Helper functions
- 1
- Loops
- 1
- Persistent variables
- 1
- Higher-interval feeds
- 0
- Engine plots
- 50
Built with
hft.runs_testhft.variance_ratiomath.absmath.clampmath.is_namath.maxmath.powmath.round
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