Price - Mean Reversion Expansion

2021年7月24日

A simple indicator, to plot the quantitatively the reversion and expansion of price from a set of means.

A green bar plots prices above the set of means. A bar plots prices below the set of means. A blue bar plots price entangled in the means. The height of the bars denotes the far-ness from the set of means.

A blue envelope over the bars is the average of this reversion/expansion. A "crossover" of any bar (red/green) over this envelope is indicated by a "green dot" a "crossunder" of any bar (red/green) under this envelope is indicated by a "red dot".

The small trend strength table (when enabled) on the right side below show in a easy manner the data presented in the "Mean Angles" indicator. Refer to description there for more details.

2021年10月19日

發行說明

• Added Price Delta, scaled price performance
  

Added an overlap of scaled price movement vis-a-vis the expansion and contraction. Clearly identifies the trend changes and objectively defines expansion and reversion.

2022年2月15日

發行說明

• Option to select another symbol (benchmark) instead of the chart symbol
  

This option will help in measuring the reversion / expansion vis-a-vis broader benchmark when placed side-by-side. When the other symbol (benchmark is ticked, the envelope will be of orange color and not the usual blue color. This will help in quick identification.

Refer to
The lower plot is orange envelope, that of the benchmark. We can clearly observe regions where the symbol followed the benchmark, outperforms or lags the benchmark. This analysis can be done over multiple timeframes.

2022年2月27日

發行說明

• Fixed other symbol EMA calculations when valid mean length of symbol starts later than benchmark