About This is a simple indicator that takes into account two types of realized volatility: Close-Close and High-Low (the latter is more useful for intraday trading). The output of the indicator is two values / plots: an average of High-Low volatility minus Close-Close volatility (10day period is used as a default) the current value of the indicator When...
The Relational Quadratic Kernel Channel (RQK-Channel-V) is designed to provide more valuable potential price extremes or continuation points in the price trend. Example: Usage: Lookback Window: Adjust the "Lookback Window" parameter to control the number of previous bars considered when calculating the Rational Quadratic Estimate. Longer windows capture...
The Intraday Mean Reversion Indicator works well on certain stocks. It should be used for day trading stocks but need to be applied on the Day to Day timeframe. The logic behind the indicator is that stocks that opens substantially lower than yesterdays close, very often bounces back during the day and closes higher than the open price, thus the name Intraday...
Markets tend to mean revert. This indicator plots a moving average from a higher time frame (type of MA and length selectable by the user). It then calculates standard deviations in two dimensions: - Standard deviation of move of price away from this moving average - Standard deviations of number of bars spent in this extended range The indicator plots a table...
Mean Reverse Grid Algorithm - The Quant Science™ is a dynamic grid algorithm that follows the trend and run a mean reverting strategy on average percentage yield variation. DESCRIPTION Trades on different price levels of the grid, following the trend. The grid consists of 10 levels, 5 higher and 5 lower. The grids together create a channel, this channel...
Volatility is cyclical, after a large move up or down the market typically "ranges" during the next session. Directional order flow that enters the market during this subsequent session tends not to persist, this non-persistency of transactions leads to a non-trend day which is when I trade intraday reversionary strategies. This script finds trend days in BTC...
This indicator plots the 1, 2 and 3 standard deviations from the mean as bands of color (hot and cold). Useful in identifying likely points of mean reversion. Default mean is WMA 200 but can be SMA, EMA, VWMA, and VAWMA. Calculating the standard deviation is done by first cleaning the data of outliers (configurable).
Introduction: This strategy is a modification of the “3-day Mean Reversion Strategy” from the book "High Probability ETF Trading" by Larry Connors and Cesar Alvarez. In the book, the authors discuss a high-probability ETF mean reversion strategy for a 1-day time-frame with these simple rules: The price must be above the 200 day SMA and below the 5 day SMA. ...
I like trading the 1 minute and 3 minutes time-frames. I'm what is commonly called a "scalper". Long term investments yes, I have some, but for trading, I don't have neither the time, nor the patience to wait hours or days for my trade to be complete. This doesn't mean I discount the higher time-frames, no, I actually rely heavily on them. I found that EMAs do a...
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!
Tradingview Community, As I progress through my journey, I have come to the realization that it is time to give back. This script isn't a life changer, but it has the building blocks for a motivated individual to optimize the parameters and have a production script ready to go. Credit for the indicator is due to @rumpypumpydumpy I adapted this indicator to a...
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...
█ OVERVIEW Mean reversion is a financial term assuming that an asset's price will tend to converge to the average price over time. Due to the trending nature of the crypto markets, mean reversion on a high timeframe could be pretty dangerous. When it comes to running mean reversion strategy on low timeframe, commission and slippage may cost more than...
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...
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.