Statistical Mean Reversion EA ZScore ADF
- Experts
- Versione: 1.1
- Aggiornato: 20 giugno 2025
- Attivazioni: 5
Statistical Mean Reversion EA – ZScore + ADF + Dynamic Quantiles
This Expert Advisor implements a robust mean reversion trading strategy based on advanced statistical techniques.
It dynamically adapts to changing market conditions by analyzing z-scores, volatility-adjusted spreads, stationarity, and half-life of price deviations.
Ideal for traders looking for a quantitative edge in range-bound or reverting market regimes.
Key Features
-
✅ Z-Score Entry & Exit Logic
Uses a dynamic z-score calculated from the normalized price spread relative to ATR and EMA. -
✅ Adaptive Half-Life Estimation
Calculates the half-life of the mean-reverting process daily via AR(1) regression. -
✅ Augmented Dickey-Fuller (ADF) Stationarity Test
Filters entries when the spread is not statistically stationary. -
✅ Dynamic Entry/Exit Quantiles
Quantiles are adjusted based on real-time transaction costs and volatility. -
✅ Full Risk Management Module
Position size is automatically adjusted based on ATR and account balance. -
✅ Time-Based Stop-Loss (Max Holding Time)
Positions are force-closed after a set number of hours. -
✅ Spread & Cost Awareness
Entry threshold dynamically adjusted to compensate for real trading costs. -
✅ Graphical Z-Score Visualization
Draws z-score and quantile levels directly on the chart for transparency.
- ✅ Compatible with Netting & Hedging Accounts
The EA supports both account types and is safe for all brokers
All key parameters (ATR period, EMA period, risk %, holding time, ADF lookback, etc.) can be configured by the user, allowing full control over strategy behavior.
No external libraries or indicators required. Everything is self-contained in the EA.
Screenshots comes from AUDUSD, GBPAUD, EURCHF with no optimisation only out of sample backtest.
