TradingView-RU
06/19 06:00
Anchored VWAP Reversion Channel
## What this script does
This is an **analytical study** that frames mean-reversion ("fade") setups around an **anchored, volume-weighted regression channel**, then **gates** those setups by a statistical market-state test and **scores** them against their own forward outcomes. It does not place orders and it is not a signal service — its purpose is to let you see, on your own instrument and timeframe, whether fading a stretched move actually has an edge, instead of assuming it does.
It plots one channel (a centre line plus inner/outer residual-σ bands), marks fade setups at the outer band, draws supporting context (volume-profile POC / value area, untested prior-session POCs, momentum divergences, liquidity sweeps, and multi-timeframe trend lines), and reports a compact validation panel.
## Why these components are combined (mashup rationale)
Fading an extreme is really three separate questions, and no single classic indicator answers all three. Stacking look-alike indicators just echoes one input, so this tool deliberately combines **three non-redundant lenses and makes them check each other**:
1. **WHERE is price stretched?** — A **volume-weighted polynomial regression** anchored at the most recent swing pivot, with **residual-σ bands**. Because the curve tilts with the active leg, an outer-band tag stays meaningful even inside a trend, where a flat cumulative VWAP would not. A **volume profile** anchored to the *same* window supplies POC and value area, and prior-session POCs that have never since been traded through become **reversion targets**.
2. **Is a reversion actually firing here?** — Three orthogonal **tells** evaluated only at the band: a **close-back rejection**, a **band-confluent momentum divergence**, and an **equal-high/low liquidity sweep** (stop-run). Crucially, all three are derived from the same stretch, so their agreement is shrunk by a **design-effect correction** (effective-sample-size): three correlated echoes are not allowed to masquerade as three independent confirmations.
3. **Is the market in a reverting state at all?** — A **regime gate** combining a **variance-ratio test** and a **reversion-trust correlation** only lets a fade through when recent increments are offsetting (mean-reverting) rather than compounding (trending).
The pieces are not bolted together side by side: they share **one geometry** (the anchored channel) and **one volatility unit** (residual σ / ATR), and each can veto the others. A band tag with no tell does nothing; a tell with no reverting regime does nothing. The design goal is to **suppress** low-quality fades — into a trend, mid-range, or backed by a single echoed tell — more than to generate them.
## The honesty layer (what makes this more than a drawing)
Every fade that fires is logged and, a fixed horizon later, **resolved**: its forward return is measured in ATR units and tabulated **with the regime gate ON versus OFF**, reporting follow-through %, whipsaw %, a Wilson 95% confidence interval, and the **mean return per fade**. A per-fade series also exports to the Data Window so you can study the full return distribution offline. The gate has to **beat its own ungated baseline** to justify itself — the framework is built to be tested, not trusted blindly.
## How to use it
1. Set the **Price source** (group 01). It works on any symbol and any market; volume-based parts need a real volume feed.
2. A fade **arms** when price tags the outer band **and** at least one tell prints, then **passes** only if the regime gate reports a reverting state. Solid triangles are gated fades; the target is the centre line or the nearest untested POC.
3. Read the panel top-down: does **Gate ON** beat **Gate OFF** on both follow-through and mean R, with non-overlapping intervals and a reasonable sample size? If not, the edge is not present on this symbol/timeframe — change them rather than forcing the trade.
4. The signal lives on **higher intraday timeframes**; one-minute data is mostly noise.
## Defaults
Shipped tuned for **NSE:NIFTY** index futures on intraday timeframes (sources, pivot lengths, value-area %, and the Tuesday-style weekly session context reflect that instrument). Every value is exposed as an input — change the **Price source** and the relevant lengths to run the framework on any other instrument or market.
## What is original
The original work is the **coordination**, not any single formula: an anchored polynomial-regression channel used as a reversion frame, three decorrelated band tells fused by a design-effect shrink, a statistical regime gate, and a built-in A/B + forward-return validation harness — combined so each lens can veto the others and the whole thing reports its own hit rate. It is not a re-skin of one indicator.
## Concept credits (techniques are standard; this implementation is original)
Anchored VWAP (standard); volume-weighted least-squares / polynomial regression (standard); residual-σ channel (standard); Volume Profile, Value Area and POC — Market Profile, Steidlmayer / CBOT; Variance-Ratio test — Lo & MacKinlay (1988); design effect / effective sample size — Kish (1965); proportion confidence interval — Wilson (1927); ATR trailing stop / Supertrend (classic, used for the multi-timeframe context lines); RSI — Wilder; Stochastic — Lane.
## Disclaimer
For research and education only. This is an analytical study, **not** financial advice, **not** a recommendation, and **not** a guarantee of future results. All statistics shown are **in-sample** on loaded history, close-to-close, without costs or slippage — a study aid, not a backtest. Mean reversion fails in trends and through regime breaks. Do your own research and manage your own risk.
#HTXCommunity4thAnniversary
15Partager
Tous les commentaires0RécentPopulaire