Statistical Mean Reversion EA ZScore ADF

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.

1. ✅ 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.