indicator
Anchored VWAP Bands
Session VWAP with standard-deviation bands. Price above VWAP = buyers in control for the session; the outer bands often act as stretch levels for mean-reversion entries.
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Mean Reversion Indicators & Strategies
Fade stretched moves back toward an average: RSI, Bollinger, VWAP and CCI setups. 27 scripts written in Deepwick Script, a subset of Pine Script.
27 public scripts
strategy
Williams VIX Fix Strategy
Williams VIX Fix panic-buy strategy: long when the VIX Fix formula (100×(highest-low)/highest) spikes above a percentile of its own recent highs. - Designed to mark capitulation spikes and mean-reversion entries. - Lower Percentile (e.g. 0.7) for more frequent signals. - Combine with an oversold RSI or volume spike for confirmation.
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VWAP Mean Reversion
VWAP mean reversion long-only: enter when price drops below the session VWAP by the band percentage, exit when it recovers above VWAP. - Lower Band % for tighter, more frequent entries. - Best on intraday timeframes (1m–1h) where VWAP has clear meaning. - Combine with a higher-timeframe trend filter for swing setups.
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MFI Mean Reversion
Money Flow Index mean reversion long-only: enter when MFI drops below 20 (volume-weighted oversold), exit when it climbs above 80. - MFI combines price action with volume; signals are rarer than RSI but higher-quality. - 14-period is standard; longer lengths (21+) are steadier on daily charts. - Combine with an RSI divergence for stronger confirmations.
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CCI Mean Reversion
CCI mean reversion long-only: enter when CCI drops below the oversold threshold (default -100), exit when it climbs above the overbought threshold (default +100). - Tighter thresholds (-150 / +150) catch only the most extreme swings. - Combine with an ADX < 20 filter to confirm ranging conditions. - 20-period CCI is the canonical setting; shorter reacts faster.
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Williams %R Mean Reversion
Williams %R mean reversion long-only: enter when %R drops below -80 (oversold), exit when it climbs above -20 (overbought). - Lower the entry threshold (e.g. -90) for fewer, more extreme entries. - 14 is the standard lookback; shorter lengths are more reactive. - Combine with a higher-timeframe trend to filter against the prevailing move.
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Stochastic Cross
Classic Stochastic %K/%D crossover long-only: enter when %K crosses above %D inside the oversold zone, exit when %K leaves the overbought zone. - 14/3/3 with 20/80 thresholds is the textbook setting. - Raise Length to filter noise; lower it for snappier reversals. - Pair with an RSI divergence or volume confirmation for cleaner entries.
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Bollinger Mean Reversion
Bollinger Band mean reversion: long at the lower band, exit on the move back to the basis. The bands themselves are plotted for visual confirmation. - Lower Mult for tighter bands (more signals, smaller wins); raise it for stretchier extremes. - Pair with a higher-timeframe trend filter to avoid mean-reverting into a crash. - Best on range-bound assets and short timeframes.
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RSI Mean Reversion
Classic RSI mean reversion long-only strategy. Buy when RSI drops into oversold territory, exit when it recovers to the midline. - Lower Oversold for fewer, higher-conviction signals; raise it for more trades. - Exit Level around 50 is the textbook mean; 55–60 holds trades longer. - Best in range-bound markets; combine with an ADX filter for trending ones.
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indicator
Williams VIX Fix
Williams VIX Fix (WVF) — measures how far today's low is from the highest high over the lookback as a percentage. WVF 30 = potential bottom (analogous to the VIX spiking above 30). - Spike + low reading on RSI = high-probability reversal zone.
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indicator
Market Meanness Index
Market Meanness Index (MMI) — ratio of the standard deviation of the price-vs-SMA distance to its mean absolute deviation. High MMI = trending (heavy tails), low MMI = mean-reverting (Gaussian). - Use with a regime filter to switch between trend-following and mean-reversion strategies.
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Adaptive Bollinger Bands
Adaptive Bollinger Bands — the SMA length adapts via the Efficiency Ratio. Bands squeeze tighter in trends (catch the breakout) and widen in chop (avoid false breakouts). - Mean-reversion trade at the opposite band; trend trade on a close outside.
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Camarilla Pivot Points
Camarilla pivots are scaled off yesterday's close and the prior day's range — R1/S1 sit much closer to price than standard pivots, which is why day traders use them for mean-reversion setups. - The 1.0833 / 1.1666 multipliers cluster the inner levels tightly. - R3/S3 are the classic 'stop-and-reverse' bands; a close through them often signals a trending day.
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indicator
VWAP Standard Deviation Bands
VWAP StDev Bands wrap the live session VWAP with standard-deviation envelopes based on close − VWAP — the institutional 'is the move stretched' gauge. - A close beyond the upper rail = stretch; mean-reversion is the typical play. - A close beyond the lower rail = capitulation read; trend continuation setups still appear in strong regimes.
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indicatorProtected
VWAP
VWAP (Volume-Weighted Average Price) is the session-anchored average price weighted by volume — the institutional fair-value benchmark for the day. - Above VWAP = buyers in control for the session. - Below VWAP = sellers in control; VWAP often acts as the first support / resistance when revisited.
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Ulcer Index
Ulcer Index measures depth and duration of drawdowns from the rolling high — designed to capture how painful the ride was, not just how volatile. - Rises during prolonged declines, falls during recoveries. - Common alternative to StdDev for risk-adjusted return ratios (Ulcer Performance Index).
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indicatorProtected
Bollinger Bands
Bollinger Bands plot a moving average plus/minus an envelope that scales with recent volatility (StdDev of the source). - Squeeze = bands pinch together → low volatility, expect a breakout. - Walk = price hugging the upper band → strong trend, lower band → strong downtrend. - Crosses of the outer band are common mean-reversion entry zones.
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Slow Stochastic
Slow Stochastic smooths %K one extra time before plotting — cleaner and less noisy than fast Stoch. The default in most trading platforms. - Above 80 = overbought, below 20 = oversold. - %K crossing %D in extreme territory is the textbook trigger. - Raise smoothing for steadier signals.
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Inverse Fisher RSI
Inverse Fisher RSI runs RSI through a hyperbolic-tan transform so its values cluster near ±1 instead of squashing inside 30-70. Far cleaner extremes than raw RSI. - Above +0.5 = overbought, below -0.5 = oversold. - Great filter for mean-reversion systems on choppy assets. - Raise Length for fewer, slower signals.
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Fisher Transform
Fisher Transform stretches price into a near-Gaussian distribution then inverts the CDF so turns become sharp peaks. Excellent reversal oscillator. - Above +1.6 = overbought, below -1.6 = oversold. - Crossover of trigger (previous bar's value) flags momentum shifts. - Raise Length for steadier swings on noisy assets.
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Disparity Index
Disparity Index measures price distance from its SMA in percent. Above 0 = price above its MA, below 0 = price below. - Extreme readings flag short-term blowoffs vs the trend. - Use with an MA crossover to fade overextensions. - Raise Length for a steadier baseline.
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Detrended Price
Detrended Price (DPO) removes the trend from price by subtracting the SMA shifted forward by half the lookback. Shows short-term cycles around the trend. - Zero-line crosses flag short-term momentum shifts. - Peaks above zero and troughs below zero identify cycle extremes. - Use on equities/indices with clear cyclical behaviour.
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ConnorsRSI
ConnorsRSI combines three signals — a 2-period RSI on the up/down streak, the percentile rank of daily returns over 100 bars, and a 3-period RSI of price. Composite ranges 0-100. - Above 90 = overbought, below 10 = oversold. - Best on equities and indices; works on liquid crypto pairs. - Raise Rank Lookback for a smoother percentile score.
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Williams %R
Williams %R is the inverse of the Fast Stochastic — closer to -0 = strong, closer to -100 = weak. A clean overbought/oversold oscillator on any market. - Above -20 = overbought, below -80 = oversold. - Pair with a trend filter to avoid fighting a strong move. - Raise Length to slow the response.
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