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In stochastic processes, chaos theory and time series analysis, detrended fluctuation analysis (DFA) is a method for determining the statistical self-affinity of a signal. It is useful for analyzing time series that appear to be long-memory processes and noise. █ OVERVIEW We have introduced the concept of Hurst Exponent in our previous open indicator Hurst...

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Alright, as per usual with these, I end up adapting an existing indicator to what I want to accomplish. So this is based off the built in VWAP indicator. I added in the gummy worm to easily identify the trend, as well as the related bands to identify potential areas to either reverse position or to trim an existing one. The middle part of the bands are the gummy...

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The Hurst exponent is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series and the rate at which these decrease as the lag between pairs of values increases. The Hurst exponent is referred to as the "index of dependence" or "index of long-range dependence". It quantifies the relative tendency of a time series...

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In Finance, people usually assume the price follows a random walk or more precisely geometric Brownian motion. In 1988, Lo and MacKinlay came up with the variance ratio test to refute the random walk hypothesis and efficient market hypothesis. The variance ratio test is a simple test for market efficiency, autocorrelation, and whether price follows a random walk....

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In statistics, the Durbin–Watson statistic is a test statistic used to detect the presence of autocorrelation at lag 1 (AR(1) process) in the residuals (prediction errors) from a regression analysis. With the new array function tradingview implemented, we are able to do our calculations on the residuals. The residual is given by subtracting the actual value (in...

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My first try to implement Full Hurst Exponent. The Hurst exponent is used as a measure of long-term memory of time series. It relates to the autocorrelations of the time series and the rate at which these decrease as the lag between pairs of values increases The Hurst exponent is referred to as the "index of dependence" or "index of long-range dependence". It...

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This is based on the indicator TD Sequential: This is an easy way to test it out to see what works and what doesn't. There are moving average exits for both the long side and short side. You can pick from SMA, EMA, VWMA. This also applied to a moving average trend filter. This is separated for the long...

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This is a brand new version of my Peak Reversal indicator. As with the older version, the idea behind this indicator is simple: identify potential price reversal areas, and identifying markets which are trending. In this new version I focused on improving on the old concept, but introduced a bunch of features heavily inspired by Adam Grimes' ideas from The Art and...

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The exa is an oscillator that combines fisher transform with distance from moving average and it is based on a theory that exhaustion can be derived from how far price is able to extend from a moving average, on average. The fisher transform converts price into a gaussian normal distribution, also known as a bell curve {1}. A normal distribution is a type of...

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This strategy is for learning purposes only. Pay special attention to these strategies on longer aggregation periods (like 1 hr chart or more). Don't expect accurate results when you set a limit to 10 cents above your entry to be accurate. For example if you set the chart to 1 day, the price may move down and hit a stop 10 times then tag your limit. If this...

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Description : Mean Reversion Channel objective, based on Mean Reversion theory ( everything has a tendency to revert back to its mean), is to help visualizing: Inner Channel -> Dynamic Support and Resistance Outer Channel -> Overbought/Oversold Zone which may signal consolidation phase or potential reversal due to unsustainable move Details on some of...

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DESCRIPTION Forex Master v4.0 is a mean-reversion algorithm currently optimized for trading the EUR/USD pair on the 5M chart interval. All indicator inputs use the period's closing price and all trades are executed at the open of the period following the period where the trade signal was generated. There are 3 main components that make up Forex Master v4.0: ...

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This oscillator is used for *mean reversion* strategies only. This oscillator calculates the real-time distance of a price-point subtracted from the SMA, then compares it to the average distance to determine equilibrium imbalances. When the imbalance becomes less and goes under the signal line, a reversal is very likely. Do not trade mean reversion during any...

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For Educational Purposes. Results can differ on different markets and can fail at any time. Profit is not guaranteed. This only works in a few markets and in certain situations. Changing the settings can give better or worse results for other markets. This is a mean reversion strategy based on Bollinger Bands and the Intraday Intensity Index (a volume indicator)....

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A port of the TradeStation EasyLanguage code for a mean-revision strategy described at traders.com "In “Mean-Reversion Swing Trading,” which appeared in the December 2016 issue of STOCKS & COMMODITIES, author Ken Calhoun describes a trading methodology where the trader attempts to enter an existing...

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The Bollinger Imbalance Oscillator is used for *mean reversion* purposes only. It uses Double Bollinger deviation levels to determine each level of perceived imbalance. When price start to revert to its mean after an imbalance, small char-type arrows appear to assist with direction. This oscillator also includes a squeeze feature on the center-line, based on...

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This is a simplified version of the Hurst Exponent indicator. In the meantime, I'm working on the full version. It's computationally intensive, so it's a challenge to squeeze it to PineScript limits. It will require some time to optimize it, so I decided to publish a simplified version for now. The Hurst exponent is used as a measure of long-term memory of time...

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I wanted to apply an RSI filter to some of the new Candlestick Patterns (in the indicators tab) since some of them looked to be quite effective for picking reversals. Turns out it's a pretty good pairing. You can modify the RSI length in addition to the upper and lower thresholds. I also added in check boxes to combine different bullish and bearish patterns. The...

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