Sadashi Market Reversion Strategy
📊 Overview:
Most mean-reversion strategies fail because they evaluate price extreme in a vacuum. A statistical stretch in price is meaningless without confirming volatility expansion, volume participation, and macro structural context.
The Sadashi Market Reversion Strategy is a multi-engine quantitative strategy built for Pine Script v6. It converts cross-asset market dynamics into normalized Z-Scores and synthesizes them through exponential decay curves into a unified Composite Edge Score (0–100%).
⚙️ Architecture & Engine Breakdown:
The strategy integrates 4 distinct quantitative engines to construct its trading edge:
1. Price Engine: Calculates standard deviations from a rolling mean (Z-Score) over a configurable window. Evaluates when price is stretched relative to short-term variance.
2. Volatility Engine (Z-vol): Normalizes return standard deviations. Requires expanding volatility to confirm true market stress rather than low-volume drift.
3. Participation Engine: Tracks Dollar Volume (Close x Volume) normalized over a multi-month baseline. Ensures institutional participation validates entry setups.
4. Trend Engine (Structural Slope): Combines linear regression slope normalization with rolling structural pivot breaks ($\text{HH}/\text{HL}$) to categorize regime slope.
Most mean-reversion strategies fail because they evaluate price extreme in a vacuum. A statistical stretch in price is meaningless without confirming volatility expansion, volume participation, and macro structural context.
The Sadashi Market Reversion Strategy is a multi-engine quantitative strategy built for Pine Script v6. It converts cross-asset market dynamics into normalized Z-Scores and synthesizes them through exponential decay curves into a unified Composite Edge Score (0–100%).
⚙️ Architecture & Engine Breakdown:
The strategy integrates 4 distinct quantitative engines to construct its trading edge:
1. Price Engine: Calculates standard deviations from a rolling mean (Z-Score) over a configurable window. Evaluates when price is stretched relative to short-term variance.
2. Volatility Engine (Z-vol): Normalizes return standard deviations. Requires expanding volatility to confirm true market stress rather than low-volume drift.
3. Participation Engine: Tracks Dollar Volume (Close x Volume) normalized over a multi-month baseline. Ensures institutional participation validates entry setups.
4. Trend Engine (Structural Slope): Combines linear regression slope normalization with rolling structural pivot breaks ($\text{HH}/\text{HL}$) to categorize regime slope.
Clause de non-responsabilité
Les informations et publications ne sont pas destinées à être, et ne constituent pas, des conseils ou recommandations financiers, d'investissement, de trading ou autres fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.
Clause de non-responsabilité
Les informations et publications ne sont pas destinées à être, et ne constituent pas, des conseils ou recommandations financiers, d'investissement, de trading ou autres fournis ou approuvés par TradingView. Pour en savoir plus, consultez les Conditions d'utilisation.