One number, zero to one hundred. Built from nonparametric mutual information. No Gaussian assumptions. Below twenty, the past tells you nothing. Above fifty, real patterns exist and active strategies have edge.
Kraskov–Stögbauer–Grassberger nonparametric MI on three channels (level, volatility, joint), maximum to avoid double counting. Gaussian multi-lag baseline anchors scale. Hill estimator for tails, Ljung–Box Q for serial dependence.