Mean Reversion MA [acatwithwithcharts]

Mean Reversion MA is an experimental WIP indicator which tracks the furthest overexpanded period up to 2000 on a given timeframe as a target for eventual mean reversion. It currently allows for plotting BBands around that period and keeps track of the MA broken on the previous expansion and mean reversion.

In order to get this to work with useful precision, it has to be limited to SMA and regular STDEV. I have not found a way to reduce the Pinescript loop time enough otherwise while maintaining much precision. Even still, it will sometimes time out and need to be refreshed by either switching TF/symbol or reapplying the indicator.

On longer TFs this can result in targets that are extremely distant. No, it’s probably not a useful prediction on the SPX monthly chart that the selloff in 2009 suggests an eventual mean reversion to the 1250 SMA (currently around 358). The last time we had a monthly mean reversion on that chart by this indicator’s telling is 1970. So, use some common sense about how far out is a usefully-tradeable prediction. I’m hoping to find a good way to add functionality to put a cap on extreme long TF predictions without breaking it.

Where it really seems to shine is as a reactive pivot after apparent reversals. Significant trending more or less by definition requires overexpanded volatility on some period length.



I am posting this as invite-only and have a short list of collaborators in mind who will get access if they want it. It is not being made available to the general public as of this posting; I’m vaguely working towards eventually offering being able to offer some sort of paid indicator offering in the future.

Rather than shut the door entirely, I will say that if someone approaches me by PM with a really interesting idea on how they’d like to test this or my other indicators, I’m willing to consider giving access. I’m not giving this away just to anyone who asks and will, for my own time and sanity, probably just ignore requests by people who don't come to me already knowing what this indicator does and how they might want to use it.

Release Notes:

The display color now changes to orange when the period is maxed out as a warning that the maximum has been reached and that the true further overexpanded period is likely to be further out.

Release Notes:

Previous upload does not appear to be the version with the color change fix.

Release Notes:

Bugfix: STDEV bands now correctly use the multiplier input.

Release Notes:

This version adds the ability to reset tracking after a given number of bars and the ability to set a lower maximum period length as tools to help look at smaller overexpansions occurring before the largest one has completed mean reversion.

Release Notes:

Updated to change the attribution in the title from to .

I'm excited to announce that we're putting the finishing touches on a subscription service for the volatility theory indicators, and assuming no hiccups will launch them within days. Subscriptions will be available in several packages through SharkCharts.live

Current pricing and subscription details will be kept up-to-date on SharkCharts.live

Release Notes:

Minor visual change in how bands are handled where a period is not being tracked.

Release Notes:

Improves handling of bands when tracking previous overexpansion.

Release Notes:

For whatever reason, the previous update didn't seem to be showing when I loaded the script up after publishing.

Release Notes:

Adds support for showing multiple sets of bands around target means.

Release Notes:

I modified the color scheme of the previous tracked period to give better contrast with Compression MA and default BB Meow Mix bands on the same chart.