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).
オープンソーススクリプト
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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.
免責事項
これらの情報および投稿は、TradingViewが提供または承認する金融、投資、取引、またはその他の種類の助言もしくは推奨であることを意図したものではなく、またこれらに該当するものでもありません。詳細は利用規約をご覧ください。
オープンソーススクリプト
TradingViewの精神に則り、このスクリプトの作者はコードをオープンソースとして公開してくれました。トレーダーが内容を確認・検証できるようにという配慮です。作者に拍手を送りましょう！無料で利用できますが、コードの再公開はハウスルールに従う必要があります。
🔵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.
免責事項
これらの情報および投稿は、TradingViewが提供または承認する金融、投資、取引、またはその他の種類の助言もしくは推奨であることを意図したものではなく、またこれらに該当するものでもありません。詳細は利用規約をご覧ください。