Mean Reversion Half Life Estimator

"Is this pair mean-reverting" is usually answered by eye, from a chart that happens to look range-bound. This script answers it with the same regression technique used by this catalogue's HalfLifeReversionSystem Expert Advisor (E341), offered here as a standalone measurement tool with no trading attached - point it at any symbol and timeframe to check before building a strategy around the assumption. It regresses the bar-to-bar price change against the price level over the lookback window - dx[t] = a + b*x[t], the standard discrete-time Ornstein-Uhlenbeck-to-AR(1) discretisation - using plain double-precision sums. The slope b maps to a mean-reversion speed theta = -ln(1+b), and theta to a half-life in bars, ln(2)/theta. The naive version of this stops at one lookback window and reports its number as though it were a fixed property of the instrument. This script fits InpNumWindows consecutive, non-overlapping windows walking backward from the current bar and reports each one separately - a half-life that holds roughly steady across windows is a genuinely different situation from one that swings from 8 bars to invalid to 40 bars, even though a single-window study could report either. Every rejection is explicit and explained: a non-negative slope (no reversion measured), an implied reversion speed with no real solution, or a half-life that is non-positive or longer than the fitted window itself are all reported by name rather than silently producing a number. Notes and limitations This script only measures and reports; it never opens, modifies or closes a position. Use its output to decide whether a mean-reversion strategy is worth building for a given symbol/timeframe, not as a signal on its own. A half-life is a property of the fitted window, not a fixed constant of the instrument. A regime change (a range turning into a trend, or the reverse) will show up as later windows failing to fit or reporting a very different half-life from earlier ones - that instability is itself the useful information this script surfaces by fitting several windows instead of one. R-squared is reported per window but is not used as a pass/fail guard here, unlike the trading EA this technique is shared with - a weak but genuinely negative slope is still shown, with its low R-squared visible, so the reader can judge the fit's trustworthiness themselves rather than have it hidden by a threshold.

Script · MT5 · v1.0 · Free

Tags: Alerts · MT5 Script · MQL5 Source Code

MQL4 & MQL5 scripts · PolyMaria