OPEN-SOURCE SCRIPT
Ornstein Uhlenbeck Reverter [forexobroker]
Ornstein-Uhlenbeck Reverter fits the continuous-time mean-reverting OU process dX = theta * (mu - X) * dt + sigma * dW to recent closes. Parameters theta (mean-reversion speed) and mu (long-run mean) are estimated by OLS. Half-life of reversion = ln(2) / theta. Signals fade overshoots beyond k * sigma — a statistically grounded mean-reversion entry.
🔶 ALGORITHM
1. Linear regression: r[t] = a + b * close[t-1] + e, where r = close[t-1] - close[t] (the negative one-step return).
2. theta_hat = -b (assuming dt = 1); mu_hat = a / theta_hat.
3. Half-life = ln(2) / theta. Sigma = stdev of OLS residuals.
4. Overshoot = (close - mu) / sigma.
5. Long fade: overshoot was below -k AND now turning back up. Short fade: above +k AND turning down.
🔶 SIGNAL LOGIC
- Buy: long fade trigger AND not already long AND cooldown elapsed AND barstate.isconfirmed.
- Sell: short fade trigger.
- Position-lock state machine.
🔶 INPUTS
- Fit Window (default 60)
- Overshoot k x sigma (default 1.5)
- Cooldown Bars (default 4)
- Visual: dashboard, glow, equilibrium hline, buy / sell colors
🔶 ALERTS
OUR Buy, OUR Sell, OUR Any Signal, OUR Underext, OUR Overext, OUR Extreme, OUR Fast Revert, OUR Drift Mode, OUR Webhook JSON.
🔶 LIMITATIONS
- OU assumes constant mu over the fit window; trending markets violate this and produce theta near zero (drift mode).
- OLS is sensitive to outliers; robust alternatives (MAD-based) may help on spike-heavy assets.
- The fit re-runs every bar; transitional periods produce unstable mu estimates.
- Mean-reversion strategies underperform during persistent trends; pair with a regime gate (e.g., Hurst < 0.5).
🔶 ALGORITHM
1. Linear regression: r[t] = a + b * close[t-1] + e, where r = close[t-1] - close[t] (the negative one-step return).
2. theta_hat = -b (assuming dt = 1); mu_hat = a / theta_hat.
3. Half-life = ln(2) / theta. Sigma = stdev of OLS residuals.
4. Overshoot = (close - mu) / sigma.
5. Long fade: overshoot was below -k AND now turning back up. Short fade: above +k AND turning down.
🔶 SIGNAL LOGIC
- Buy: long fade trigger AND not already long AND cooldown elapsed AND barstate.isconfirmed.
- Sell: short fade trigger.
- Position-lock state machine.
🔶 INPUTS
- Fit Window (default 60)
- Overshoot k x sigma (default 1.5)
- Cooldown Bars (default 4)
- Visual: dashboard, glow, equilibrium hline, buy / sell colors
🔶 ALERTS
OUR Buy, OUR Sell, OUR Any Signal, OUR Underext, OUR Overext, OUR Extreme, OUR Fast Revert, OUR Drift Mode, OUR Webhook JSON.
🔶 LIMITATIONS
- OU assumes constant mu over the fit window; trending markets violate this and produce theta near zero (drift mode).
- OLS is sensitive to outliers; robust alternatives (MAD-based) may help on spike-heavy assets.
- The fit re-runs every bar; transitional periods produce unstable mu estimates.
- Mean-reversion strategies underperform during persistent trends; pair with a regime gate (e.g., Hurst < 0.5).
Script open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
🔵Gain access to our powerful tools : kestutisbalciunas.com/tradingview/
🔵Join our free telegram for updates : t.me/algotradingedge
All scripts & content provided by Forexobroker are for informational & educational purposes only.
🔵Join our free telegram for updates : t.me/algotradingedge
All scripts & content provided by Forexobroker are for informational & educational purposes only.
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.
Script open-source
Nello spirito di TradingView, l'autore di questo script lo ha reso open source, in modo che i trader possano esaminarne e verificarne la funzionalità. Complimenti all'autore! Sebbene sia possibile utilizzarlo gratuitamente, ricordiamo che la ripubblicazione del codice è soggetta al nostro Regolamento.
🔵Gain access to our powerful tools : kestutisbalciunas.com/tradingview/
🔵Join our free telegram for updates : t.me/algotradingedge
All scripts & content provided by Forexobroker are for informational & educational purposes only.
🔵Join our free telegram for updates : t.me/algotradingedge
All scripts & content provided by Forexobroker are for informational & educational purposes only.
Declinazione di responsabilità
Le informazioni e le pubblicazioni non sono intese come, e non costituiscono, consulenza o raccomandazioni finanziarie, di investimento, di trading o di altro tipo fornite o approvate da TradingView. Per ulteriori informazioni, consultare i Termini di utilizzo.