Here you go: url Indicator for MT5 here: file

A Simple Mean Reversion Strategy

The +3% graph picks all M1 bars where price has increased 3% or more during the previous 24 hours. The -2% graph picks all M1 bars where price has decreased 2% or more during the previous 24 hours. Starting from that M1 bar, it looks forward to the ...

A Simple Mean Reversion Strategy

To test that hypothesis, I changed the script from post #169 to only measure the price drift at each M1 bar if price has changed at least +3% in the previous 24 hours. If skew is not real, you would think averaging over the last 4 years (=1.4M bars) ...

A Simple Mean Reversion Strategy

Interesting request! What information are you trying to get from that? Practically: the number of points varies each time the indicator updates itself (~every 5 seconds), so perhaps a percentage of the total number of points is better? In my ...

A Simple Mean Reversion Strategy

Update: I realized the calculation of the blue line in the indicator above was not fair. The indicator stopped searching for "red dots" (intercepts as they occurred in the past) when it reached the end of the red/gray lines (the MA forecast). ...

A Simple Mean Reversion Strategy

The indicator "predicts" the future (or actually projects past price behavior onto the current market). If you would make an entry right now, the blue line shows where you most likely would intercept the SMA200 in the future. So, if the gap between ...

A Simple Mean Reversion Strategy

I have created a new toy for you guys! The indicator attached to this post is for MT5 and looks like this: image It mainly does three things: It predicts how the SMA200 will develop in the future (red and gray lines, median, +/- 1 sigma, +/- 2 ...

A Simple Mean Reversion Strategy

In the thread from @7bit, he first tries to make a stable linear combination that is ranging around one price. Indeed, the deviation from the MA is small, because that is exactly what you try to minimize when calculating the weights. Later he ...

A Simple Mean Reversion Strategy

Have a look at this thread by @7bit where he does exactly that: make a linear combination of symbols to create a mean reverting synthetic symbol.

A Simple Mean Reversion Strategy

Good observation! This reminds me of this excellent thread by @AlphaOmega where he uses the same formula to model the price distribution over time throughout a single day: When I asked about the rationale behind the sqrt(t), I got the following ...

A Simple Mean Reversion Strategy

Sorry to hear you have no means to run MT5. But no, I am not going to spend hours of my time so you can save money and keep using your 13 year old computer. I hope you realize that to make money by trading you need capital to start with? If you can ...

A Simple Mean Reversion Strategy

Yes. So in the cone-shaped graphs I made that showed the price distribution, I should also draw the MA closing in. For each of these “random walks” we can also calculate how the MA was updated in each step and when price crossed the MA. With an ...

A Simple Mean Reversion Strategy

Are you sure? I am a Mac user myself and MT5 is running just fine in both VirtualBox (on very old 2013 Intel Mac) and using CrossOver (on the newest M2 MacMini).

A Simple Mean Reversion Strategy

Indeed, each wick that returns to the "plateau" is money earned. But how about the sometimes huge shifts between plateau heights? That is where theta catched up with us, costing us money, right?

A Simple Mean Reversion Strategy

I double checked the algorithm and fixed the right-most candle. I have updated Post #186 with the latest version.

A Simple Mean Reversion Strategy

Ah, thanks for the details! I had to guess a bit, so I will double check my implementation against this later today and fix the rightmost current candle... Din-dins first....

A Simple Mean Reversion Strategy

Here is an implementation of the Fair Value Candles indicator for MT5*: image file Here is an example screenshot: image *) No, I am not going to port the indicator to MT4. It is 2023. About time you upgrade to MT5... ;-)

A Simple Mean Reversion Strategy

"Fair Value Candles"! Truly inspiring and a novel way of plotting charts! Interesting to play with to see how to trade them. I am going to create an indicator for this...

A Simple Mean Reversion Strategy

Great that you added the normal distribution for comparison! It is clear to see that price action is not a normal distribution. But now the main question: how can we benefit from this knowledge?

A Simple Mean Reversion Strategy

Excellent point! Indeed, I generated the stats based on the last 4 years which is a long time. Below is the corrected version using percentage return starting at each M1 bar of the last 4 years going forward up to 24 hours. Note that I added the 3 ...

A Simple Mean Reversion Strategy