Floating Mean Reversal Equity Indicator

Floating Mean Reversal Equity Indicator

This indicator creates two equity curves of the last twenty long and last 20 short trades. It is based on the simple mean reversal theory of buying if the candle is a red candle and selling if the candle is a green candle and then closing the trade one candle later.

A weighted average of the equity curves is also plotted to assist with analysis.

Each equity curve gives us an indication of recent market conditions.

For example if looking for long trades:

  • If the green equity curve is below zero then the last twenty trades would have resulted in an overall loss and this indicates that buying on dips has not worked well recently.
  • If the green equity curve is rising or is above the green weighted average then this indicates that buying on dips has worked better than average recently.
  • If the green equity curve is above the red equity curve then this shows that going long on dips has been working better than going short on rises recently.
  • If the green equity curve crosses over the red equity curve it may be an indication that market direction is changing.

Obviously when looking for short trades apply the same rules to the red equity curve and red average.

As the simulated trades are only one candle long this indicator works better on longer time frames such as daily or weekly to give an overall feel of market sentimentality. When used on weekly time frames it can be used as an overall filter to decide whether you should be putting your trading efforts into going short or into going long or as an indicator of a changing market structure.

As the equity curves are based on the last 20 trades there is the usual expected lag that you inevitably get with this type of indicator.

Share this

Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

ProRealTime ITF files and other attachments : How to import ITF files into ProRealTime platform?

PRC is also on YouTube, subscribe to our channel for exclusive content and tutorials

  1. abd78 • 09/19/2018 #

    @Vonasi I saw that you did some work on seasonality, I wondered if you wanted to go here and tell me what you think https://www.prorealcode.com/topic/seasonality-average/

  2. Vonasi • 09/19/2018 #

    Sorry – my understanding of Italian is zero so if I watch the video I won’t understand it I’m afraid. Robertogozzi says the code is protected so not possible to recreate.

avatar
Register or

Likes

avatar avatar avatar avatar avatar avatar
Related users ' posts
KumoNoJuzza Bonjour, @rominet44 pourrais tu expliquer à quoi sert le filtre: M8=average[11](close) // ...
Nicolas la moyenne mobile 11 période actuelle est ascendante ou descendante, on teste sa valeur vis ...
Patrice210 bonjour STANKO, effectivement la première ligne apparait en anomalie et je ne comprend pas v...
kbrooks323 Hello would someone be willing to release a scan code for this? that would be helpful as I s...
Nicolas You can do easily this screener by using the assisted creation tool. It would take you about...
kbrooks323 I just figured it out thanks!
Vinks_o_7 Thanks Doc !
Maxime Baudin Intresting, thank you!
ggolfet Thanks Nicolas, I imported the itf file and solved the problem.
Hasardeur Hallo Nicolas, i tried to code the multi period heat map in combination with the Ehler’s ...
Nicolas Please open a new topic with the code in forum.
sir_i Bonjour à tous, Je suis nouveau sur le forum et sur la plateforme, pourriez-vous me dire com...
Nicolas Il faut simplement l'appliquer sur le prix.
sir_i Merci pour la réponse, je ne suis pas familier avec l'application de cette procédure simple,...
arnaudat Merci nicolas, j'ai déjà pris cette version et en plus je suis sur les futures. Par contre d...
ullle73 hi nicolas, when im making a strategy out of this i get the error "PRC_VWAP z-score" called ...
Nicolas Please open a new topic in the ProOrder forum section and post the code there in order to ch...
3agl3 voglio l indicatore
Gianluca Hello Nicolas, my prt become stuck when i load the indicator, is there any problem with it?
m-zeter Has anyone found a solution for Sofitech? Would it be possible to draw two lines? An upper l...
m-zeter Hm, i dont know exactly why, but I think, that the indicator needs lots of power. I need als...
anametsinwha Is it possible to change it to highs and lows rather than open and close?
apachx Hi. Please, describe the algorithm in words. I want to understand how it works, but for now...
Madrosat Bonjour Nicolas la formule du stop loss est elle vraiment valable ?? il n'y a pas au depart ...
Nicolas Il y a peut-être un erreur en effet, essayer avec: set stop ploss (averagetruerange[14] * ...
Madrosat ok merci Nicolas c'est avec /pipsize que ça fonctionne
Francesco78 @snucke the results are not the same because the pictures refers to a few years ago. I am no...
snucke @Francesco78 i mean the results differ when i test on my own. so im curious of what the p...
sfl still working, using with filters like : trendFilterUp=close>average[190](close) tren...
Nicolas No sorry, please use this file instead into a prorealtime trading platform.
rdabbs I just installed this indicator. It opens in its own pane rather than overlaid on the chart ...
Nicolas Just apply it on your price chart instead and you're ok.
Wilko I am not familiar with the screener function, but I am quite certain it should be quite simp...
Gubben @Wilko have you had a look at this again since MTF support? Heard you talk on Börssnack btw..
Wilko @Gubben not really. It was something I posted to show that simpler is usually better. Hope y...
DANY overfit
fatlung Excuse me. I would like to the time zone applied to this strategy.
UkCoopDownUnder Hi, ProOrder does not recognise, "avfullnessthreshold" any ideas, thanks
diegofe_2000 cordial saludo NICOLAS , gracias por excelente indicador. ¿ es posible obtenerlo en MT4 ? ...
Nicolas Lo siento, pero no estoy trabajando para ayudar a la gente aquí de forma gratuita para promo...
diegofe_2000 Nicolas , gracias por tu atención. La pregunta era por curiosidad (yo no trabajo ni manejo ...
larmhen
7 years ago
HerveS_67 Bonjour, A quoi correspondent les données S, M, L ? Hello, What do the data S, M, L?
Vinks_o_7 aux paramètres à rentrer : 5 20 et 200...
Maxime Baudin Nice, thanks!
rowestock Hi Nicolas, I am revisiting this indicator and wanted to ask, is it possible to replace sty...
Nicolas Why not, please add a new request in our probuilder forums.
majid52026 Hi I want MBXF Timing for mq5 Does anyone have this indicator???
dertopen Hi Nicolas good work for the code translation when i chek the mbfx system site i see in t...
Nicolas Yes, just change the color by yourself in the indicator settings window.

Top