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.
כתב ויתור
המידע והפרסומים אינם מיועדים להיות, ואינם מהווים, ייעוץ או המלצה פיננסית, השקעתית, מסחרית או מכל סוג אחר המסופקת או מאושרת על ידי TradingView. קרא עוד ב־תנאי השימוש.
כתב ויתור
המידע והפרסומים אינם מיועדים להיות, ואינם מהווים, ייעוץ או המלצה פיננסית, השקעתית, מסחרית או מכל סוג אחר המסופקת או מאושרת על ידי TradingView. קרא עוד ב־תנאי השימוש.