The Ergodic Mean Deviation Indicator was created by William Blau and this is a hidden gem that takes the difference between the current price and it's exponential moving average and then double smooths the result to create this indicator. This double smoothing of course creates a lag that allows it to give off a sustained buy signal during a bullish trend and vice...
1) Plot up to 8 moving averages or donchian channels. 2) Moving average types include SMA, EMA, Double EMA, Triple EMA, Quadruple EMA, Pentuple EMA, Zero-Lag EMA, Tillson's T3, Hull's MA, Smoothed MA, Weighted MA, Volume-Weighted MA. 3) Donchian channels can be plotted for a user specified period with upper and lower lines based on either A) highest and lowest...
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...
DESCRIPTION Pythagorean Means of Moving Averages 1. Calculates a set of moving averages for high, low, close, open and typical prices, each at multiple periods. Period values follow the Fibonacci sequence. The "short" set includes moving average having the following periods: 5, 8, 13, 21, 34, 55, 89, 144, 233, 377. The "mid" set includes moving average having...
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 tells you the percentage of time an instrument's closing value is above and below a level of your choosing. The background color visually indicates periods where the instrument closed at or above the level (red) and below it (blue). For "stationary-ish" processes, you can get a loose feel for the mean, high, and low values. The historical information...
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...
Library "Moments" Based on Moments (Mean,Variance,Skewness,Kurtosis) . Rewritten for Pinescript v5. logReturns(src) Calculates log returns of a series (e.g log percentage change) Parameters: src : Source to use for the returns calculation (e.g. close). Returns: Log percentage returns of a series mean(src, length) Calculates the mean of 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...
When you think of the question "take the mean of this dataset", you'd normally think of using the arithmetic mean because usually the norm is equal to 1; however, there are an infinite number of other types of means depending on the function norm (p). Pythagoras' is credited for the main types of means: his harmonic mean, his geometric mean, and his arithmetic...
█ 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...
Inspired by the Brownian Motion ("BM") model that could be applied to conducting Monte Carlo Simulations, this indicator plots out the Drift factor contributing to BM. Interpretation : If the Drift value is positive, then prices are possibly moving in an uptrend. Vice versa for negative drifts.
Alpha Trading - Deviation Log Pro Here at Alpha Trading we love our indicators built on returns. In our view, the only way to play divergences in Trading is divergences between Returns based oscillators and Price. The Alpha Trading Deviation Log Pro displays a mean of log returns, with returns and price both weighted using our proprietary root mean square (RMS)...
Absolute Mean Entropy with Alpha Squared Entropy Price Percentile Entropy The history of the word ―entropy can be traced back to 1865 when the German physicist Rudolf Clausius tried to give a new name to irreversible heat loss, what he previously called ―equivalent-value. The word ―entropy was chosen because in Greek, “en+tropein” means “content...
Some functions to handle Arithmetic Geometric Mean.