Microstructure Mean Reversion

Microstructure Mean Reversion · Execution Levels (MNQ)OverviewThe Microstructure Mean Reversion (MMR) is a tactical execution tool designed specifically for the Nasdaq Micro E-mini (MNQ). Unlike traditional indicators that chase extremes (Highs/Lows), this script identifies Accepted Price Levels within micro-structures to provide high-probability Mean Reversion entries using Limit Orders.It is built for disciplined scalpers who prioritize clean charts and systematic execution over emotional trading.Core Logic: The "Accepted Price" ConceptMost traders focus on candle wicks. This indicator ignores them. It calculates the L0 (Lowest Close) and H0 (Highest Close) over a specific lookback period ($N$) to identify where the market is actually transacting and "accepting" value.Touch Count Validation: A setup only becomes valid if the microstructure has touched the level exactly 2-3 times (user-defined), preventing entries into "over-tested" or "insistent" levels that are likely to break.EMA Filter: Entries are only triggered during a pullback to the EMA 9, provided the price is still protected by the EMA 21 trend.Key FeaturesExecution Modes: Toggle between BUY-only, SELL-only, or BOTH to align the script with your daily bias.Timeframe-Specific Presets: Automatically adjusts parameters (Lookback, Tolerance, Entry Offset, and EMA Distance) for 30s, 1m, 2m, 3m, and 5m charts.Real-Time Performance Monitor: An on-chart dashboard tracks Win Rate, Total Trades, and Max Loss Streak during your session or Bar Replay.Tactical Visuals: Clean, professional interface showing only the active Buy/Sell Limit (BL/SL), Take Profit (TP), and Stop Loss (SL) levels.Execution Parameters (Optimized for MNQ)Contracts: 35 (Scalp model)Take Profit: +3.25 pts ($220)Stop Loss: -9.50 pts ($650)Entry: Limit Orders only (No Market/Stop chasing).How to UseSelect Bias: Set the Execution Mode based on your higher timeframe analysis.Wait for Setup: The script will draw the Limit Level (Green for Buy, Red for Sell) when micro-structure acceptance and weakness are confirmed.Execute: Place your Limit Order at the BL/SL line.Manage: The script automatically hides the setup once the TP or SL is hit to keep your workspace clutter-free.Disclaimer: This is an execution aid for manual trading. It does not execute trades automatically. Always trade within your risk management rules.