Keltner Channel Bands Great indicator for mean reversion strategies. Alerts you can set: Crossover EMA Crossunder EMA Crossover upper band Crossunder upper band Crossover lower band Crossunder lower band Have fun!
This script attempts to contextualize the instrument's latest return. It asks, "when a return of the same or greater magnitude occurred in the past, in the same direction, what was the following period's return?" By default, the latest return is used. For example, on a daily chart, that would mean "today's" return. However, you can select any return you want...
The augmented Dickey-Fuller test (ADF) is a statistical test for the tendency of a price series sample to mean revert . The current price of a mean-reverting series may tell us something about the next move (as opposed, for example, to a geometric Brownian motion). Thus, the ADF test allows us to spot market inefficiencies and potentially exploit this...
This Indicator shows the Absolute Rate of Change in correlation to its Moving Average. Values over 3 (gray dotted line) can savely be considered as a breakout; values over 4.5 got a high mean-reverting chance (red dotted line). This Indicator can be used in all timeframes, however, i recommend to use it <30m, when you want search for meaningful Mean-Reverting...
A simple script that plots the difference between the %ROC of price vs the %ROC of RSI, AKA the % of divergence. A simple way to analyze how strong a potential divergence is. Top reversals are above 0, bottom reversals are below. A value of 0 means price and RSI are changing by the same % value. So, if oscillator is moving up as price moves up, it means...
Purple means the concavity is down blue means concavity is up which is good. Yellow means increasing, Red means decreasing. Sup = Green Res = Red
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...
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...
A simple script that shows the distance from a the mean, expressed as a percentage. Simple Moving Average, in this case. Informational only.
Logarithmic regression (or known as Tseng's tunnels), is used to model data where growth or decay accelerates rapidly at first and then slows over time. This model is for the long term series data (such as 10 years time span). The user can consider entering the market when the price below 25% or 5% confidence and consider take profit when the price goes above 75%...
Free for public consumption There is very little original here, the idea is discussed in the underground traders alliance, (google em), and was apparently the basis of what was at one time myfxbooks most profitable strategy. I can't find the original video that was floating around on youtube, but if i find it again, i'll link it here. This is bascially just...
Count of previous bars above or below a chosen Exponential Moving Average. Typically price reconnects with well defined EMAs regularly. If the price has been above/below an EMA for too long, you can expect a reconnect in a short order and bet on mean reversion strategies.
script for mean reversion conditions - tweak-able based on the volatility of the asset its used on, and the time frame
This is a mean reversion indicator that anticipates a local trend reversion. Basically, it is a channel with the mid-line serving as a moving mean baseline. Each of the two curves run up and down within this channel bouncing off from the top and bottom bounds. Touching the bounds serves as an indication of a local trend reversal. The reversal signal is stronger...
English: A significant intraday reversion (commonly used: 3 points) on a high (over 20 points) S&P 500 Volatility Index (VIX) can be a sign of a market bottom, because there is the assumption that some of the "big guys" liquidated their options / insurances because the worst is over. This indicator shows these reversions (3 points as default) when the VIX was...
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...
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...