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...

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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...

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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...

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Moments describe the shape features of a distribution. There are four essential Moments: Mean, Variance, Skewness, Kurtosis . The Moments of returns can provide a comprehensive view of the tendency, volatility , and risk of the market . It's important for traders to know these statistical properties of the instrument before trading them. █ OVERVIEW The...

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The Mean Deviation Index (MDX) is used to see how much price is deviating from the mean. This indicator takes both volatility and mean deviation in consideration. It uses the standard deviation of the ATR to filter an EMA, and uses this as the mean. It then only plots > or < 0 if price is more than one x ATR away from the mean. If index is positive, the...

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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...

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A good amount of users requested a text box showing various price statistics, the following script returns various of these stats in a user-selected range, and include classical ones such as a central tendency measurement (mean), dispersion (normalized range) and percent change, but also include less common statistics such as average traded volume and number of...

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For my second share, I give you some levels I look at everyday for the ES minis. HLC/3 of the MTF (multi-time-frame) inputs = mean and Fib-levels formed as support and resistance zones. There are some websites that will show you 20 ways to figure out a pivot for the day's intraday workings, and this one always rang true for me. I keep it set at Res=D and...

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This indicator aims to aid in using the regular London Breakout strategy, as well as improve on it by adding a trailing stop based on the Mean Deviation Index. The London Breakout strategy (according to my personal understanding) basically sees the morning before London open as the accumulation or distribution range for large buyers or sellers, and assumes the...

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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...

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This is a more advanced version of my original mean reversion script. It employs the famous Bollinger Bands. This robot will buy when price falls below the lower Bollinger Band, and sell when price moves above the upper Bollinger Band. I've only tested it on the S&P 500, though you could try it out on other assets to see the backtest performance. During...

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//Every spread & central tendency measure in 1 script with comfortable visualization, including scrips's status line. Spread measures: - Standard deviation (for most cases); - Average deviation (if there are extreme values); - GstDev - Geometric Standard Deviation (exclusively for Geometric Mean); - HstDev - Harmonic Deviation (exclusively for Harmonic...

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Purple means the concavity is down blue means concavity is up which is good. Yellow means increasing, Red means decreasing. Sup = Green Res = Red

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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...

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Portfolio Metrics **New** 'returns' 'log returns' 'geometric returns' portfolio alpha portfolio beta portfolio,market correlation portfolio standard deviation portfolio variance mean portfolio returns maximum drawdown maximum gain

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