Mean Reversion Trading With IV Metrics (By MC) - Mobile Friendly

10 ore fa

This is a comprehensive mobile-optimized, multi-function trading indicator designed to assess mean reversion probabilities, pair correlations, and implied volatility metrics for single and paired securities. It includes a dynamic table and alert system for active trade decision support.

🔍 Key Features

📈 Mean Reversion % Probability

• Calculates reversion probability based on historical deviation from mean price.
  
• Supports both current chart timeframe and daily timeframe.
  
• Plots signals for:
  

  Strong Reversion (e.g., >75% probability)
  Moderate Reversion

• User-configurable thresholds and plot styles (line/histogram).
  

🔗 Pair Correlation Engine

• Compares any two user-selected tickers (e.g., SPY/TLT).
  
• Computes z-score of their price ratio.
  
• Displays correlation coefficient and color-coded strength.
  

📊 Volatility Metrics & IV Analysis

• Calculates:
  

Current IV

• IV Percentile Rank (IVR)
• Fair IV using 3 methods:
  

  Market-relative (IV vs. SPX HV)
  SMA of HV
  SMA of VIX

• Implied Move over a forecast period (e.g., user-defined number of days)

• Shows IV boundaries:
  

  *IV0, IV10, IV90, IV100
  *User-defined percentile bounds

⚠️ Alerts & Trade Signals

• Reversion-based alerts (Strong/Moderate).
  
• IV vs. Fair IV alerts.
  
• "Trade Quality" label rating (Very Low → High).
  

📋 Detailed Table Dashboard

• Customizable view: Compact or Full.
  
• Mobile-optimized layout with adjustable text size and placement.
  
  
• Includes:
  

• Mean reversion % (chart + daily)
  
• Pair correlation stats
  
• IV, IVR, Fair IV
  
• Net Implied Move range (upper/lower bounds)
  
• Trade quality, IV boundaries
  
• Correlation to SPY
  
• Today's % move
  
• Historical green/red day %s
  
• Avg % up/down moves
  

🌐 Market Volatility Overview

• Live readings of:
  

  VIX, VIX1D, VVIX
  MOVE (bond vol)
  GVZ (gold vol)
  OVX (oil vol)

• Includes % changes and color-coded risk interpretation.
  

📉 VIX-Based Expected Move Zones

• Optional display of 1σ / 2σ / 3σ bounds based on VIX-derived expected moves.
  
• Plots and labels price bands around mean using √12 scaling for monthly estimation.
  

🛠️ Customization Options

• Fully configurable via inputs:
  

• Lookback periods
  
• Z-score thresholds
  
• Volatility calculation method
  
• Text/table layout, compact/full mode
  
• Alert toggles and thresholds
  

This indicator is ideal for:

• Mean reversion traders
  
• Options volatility analysis
  
• Correlation-based pair trading
  
• Volatility environment tracking
  

2 ore fa

Note di rilascio

Updates:

Tooltips added for setting guidance.

Mean Reversion, Correlation value & interpretation:

For Meant Reversion % Probability:

Lookback Period to use:
| Trading Horizon | Lookback Period (Length) | Rationale |
| 5–10 days | 10–20 bars | More sensitive, good for quick reversals |
| 10–20 days | 20–30 bars | Standard for short swing |
| 20–40 days | 40–60 bars | More stable mean for longer swing |

Interpretation Guide:

Only consider trades if Correlation ≥ 0.6 or Reversion % ≥ 75%.
Avoid trades with Reversion % < 20%.
Correlation and Reversion % together form a powerful trade quality filter.

| Reversion % | Correlation | Signal Strength | Action |
| ≥ 75% | ≥ 0.4 | High Probability | Consider full position |
| ≥ 50% | ≥ 0.6 | Moderate Probability | Trade with standard size |
| ≥ 75% | < 0.4 | Uncorrelated Edge | Trade small or hedge carefully |
| < 50% | Any | Weak | Avoid |
| Any | < 0.3 | Low Coherence | Avoid unless extreme Reversion |

| Correlation Value | Interpretation |
| +1.0 | Perfect positive correlation (price of both move in the same direction)|
| +0.7 to +0.9 | Strong positive correlation |
| +0.4 to +0.6 | Moderate positive correlation |
| 0 | No correlation (independent) |
| -0.4 to -0.6 | Moderate negative correlation |
| -0.7 to -0.9 | Strong negative correlation |
| -1.0 | Perfect negative correlation (price both move in the opposite direction)|