TF Jump & Tail Risk Decomposition
Separate recent continuous variation from jump share, downside concentration and a robust current-return tail surprise.
Continuous, jump, downside and tail views
Twenty log returns form realized variation. Finite-sample bipower variation estimates the continuous component; the non-negative remainder is jump variation. A 252-return strictly older median/MAD baseline measures current tail surprise.
| TAIL EVENT | Tail surprise at least 6 MAD units |
|---|---|
| JUMP DOMINATED | Jump share at least 35% |
| DOWNSIDE ASYMMETRY | Downside share at least 70% with a negative current return |
| ROUTINE | All remaining observations |
Auditable risk anatomy
Jump, downside and continuous shares, robust tail MAD units, non-annualized 20-bar volatility and state code are exposed.
Exact closed history
Flat, positive/negative jump, downside and tail fixtures passed. MQL matched 1,000 golden rows within 1.49×10⁻¹¹.
Jump share and downside structure
Use in MT5
- Copy the indicator and shared include files.
- Refresh Navigator and attach it to a chart.
- Allow at least 254 bars for the robust tail baseline.
- Read bar 0 as preliminary; enable the optional confirmed tail-event alert only if wanted.
Auditable release
Build 6163: 0 errors, 0 warnings. Closed-buffer non-repaint checks: 192/192. ZIP SHA-256: 2c026ef91c86eae0be5ed6f76b5d581237a3e1bb6b5c4ea4622aec84df694206.
Finite-window risk context only. No trading signal, probability claim, promise of profit or personal investment advice.