Red: Recovering
Green: Cancelable. Depending on which side of the bar it's on, it can mean different things. Left = Normals, Right = Specials. If it's a full bar you can do both.
Blue: Empty cancelable into usually anything. Usually seen on 5A and 2As, but also on things like Warc's j.214B.
Light Orange: EX-cancelable.
Yellow: Now for this one, I've always been confused by it and I still somewhat am. It seems to mean different things for certain moves. I actually think it has something to do with properties only on hit. Take C-Warc's 6C for example, it has yellow at the far right of the status bar for a brief period near the end frames of the move. You can chain here on hit, but not on block.