Multi Time Frame Tools Multi Time Frame Tools (MTFT) is a suite of scripts aimed to establish a standard timeframe-based color scheme. This can be utilized to overlay different timeframes calculations/values over a single timeframe. As one example, this would allow to observe the 5-month moving average, 5-week moving average, and 5-day moving average overlaid...
Strength Volatility Killer - The Quant Science™ is based on a special version of RSI (Relative Strength Index), created with the simple average and standard deviation. DESCRIPTION The algorithm analyses the market and opens positions following three different volatility entry conditions. Each entry has a specific and personal exit condition. The user can...
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...
How it works %VARonMeanLongOnly is a long-only strategy that uses the average and price movement to find buying opportunities. The script takes into account the simple average over a longer timeframe than the observed timeframe. It then calculates the distance between point "X" (average) and point "Y" (market price). The algorithm will buy every time...
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...