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Intermediate

Practice Drills: Detecting Market Regime Shifts Using Rolling Statistics

A hands-on drill course for quant analyst aspirants, prop trading applicants and traders who want to systematize their process. The concept course explained what regimes are. Here you measure them yourself, drill by drill, on Indian market data: rolling means and standard deviations on Nifty 50 returns, choosing window lengths, annualised and EWMA volatility, volatility percentile bands with India VIX, rolling z-scores, autocorrelation, variance ratios and the Hurst exponent, rolling correlation and beta between Nifty, Bank Nifty and G-Secs, breadth across the Nifty 500, and formal change-point checks like two-window t-tests and CUSUM. Every drill is worked by hand with the numbers shown, then confirmed in Python. The capstone builds a complete rolling-statistics regime detector and tests it on 2008, 2020 and 2022.

Rolling StatisticsRolling VolatilityEWMA VolatilityRolling Correlation and BetaAutocorrelation and Variance RatioHurst ExponentMarket BreadthChange-Point DetectionPython for Quant Finance

MODULES

6

DURATION

~5.5 hrs

TRACK

Quantitative Finance

What You'll Master

How to compute rolling means, standard deviations and z-scores on Nifty 50 returns by hand and in pandas

How window length trades off noise against detection lag, and how to choose one deliberately

How to classify calm and stressed volatility regimes using annualised rolling volatility, EWMA and percentile bands

How to tell trending from mean-reverting markets with rolling autocorrelation, variance ratios and the Hurst exponent

How to track correlation, beta and breadth regimes across Nifty, Bank Nifty, the Nifty 500 and 10-year G-Secs

How to confirm a shift with two-window t-tests and CUSUM, and cut whipsaws with hysteresis rules

How to audit a regime signal for look-ahead bias and detection lag, then combine signals into one regime score

Access Level

LEARNER

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Everything included

Full Text Playbooks

Actionable Exercises

Mobile Reading Mode

Lifetime Updates

Curriculum Breakdown

Chapter 1: Setting Up the Regime Drills

3 Lessons

The Regime Drill Brief: Rolling Windows, Data Sources and What You Will Measure12 min read

Drill Set 1: Rolling Mean and Rolling Standard Deviation by Hand on Nifty 50 Returns15 min read

Drill Set 2: Choosing the Rolling Window: 20, 60 or 250 Trading Days15 min read

Chapter 2: Drills on Volatility Regimes

4 Lessons

Drill Set 3: Annualised Rolling Volatility and Calm vs Stressed Thresholds15 min read

Drill Set 4: EWMA vs Simple Rolling Volatility: Which Flags the Shift First?16 min read

Drill Set 5: Volatility Percentile Bands on Nifty 50 and India VIX15 min read

Drill Set 6: Vol of Vol: Measuring When Volatility Itself Turns Unstable14 min read

Chapter 3: Drills on Trend and Mean-Reversion Regimes

4 Lessons

Drill Set 7: Rolling Z-Scores of Nifty Against Its Moving Average15 min read

Drill Set 8: Rolling Autocorrelation: Trending or Mean-Reverting Right Now?16 min read

Drill Set 9: Rolling Variance Ratio and Hurst Exponent Drills17 min read

Drill Set 10: Rolling Sharpe Ratio and Drawdown as Trend-Quality Filters15 min read

Chapter 4: Drills on Correlation, Beta and Breadth Regimes

4 Lessons

Drill Set 11: Rolling Correlation Between Nifty 50 and Bank Nifty15 min read

Drill Set 12: Rolling Beta: Catching a Stock Whose Market Sensitivity Has Shifted15 min read

Drill Set 13: Rolling Breadth: Share of Nifty 500 Stocks Above Their 200-Day Average15 min read

Drill Set 14: Equity-Bond Correlation Regimes: Nifty vs the 10-Year G-Sec15 min read

Chapter 5: Drills on Confirming a Regime Shift

4 Lessons

Drill Set 15: Two-Window t-Tests for a Shift in Mean Return16 min read

Drill Set 16: CUSUM Change-Point Detection on Nifty Returns16 min read

Drill Set 17: Hysteresis and Confirmation Rules to Cut Regime Whipsaws15 min read

Drill Set 18: Auditing a Regime Signal for Look-Ahead Bias and Detection Lag15 min read

Chapter 6: The Capstone Regime Detector

2 Lessons

Drill Set 19: Combining Rolling Signals Into a Single Regime Score16 min read

Capstone Drill: A Rolling-Statistics Regime Detector in Python Tested on 2008, 2020 and 202222 min read