Professional mean reversion version with adaptive filters and dynamic position sizing.
Mean Reversion Pro is an advanced version of classic mean reversion, enhanced with market regime filters and dynamic risk management. Where basic Mean Reversion can get trapped in strong trends, the Pro version first detects the market regime (trend vs range) and only activates mean reversion in favorable conditions. It also integrates an adaptive sizing model based on realized volatility and cross-asset correlation.
Phase 1: Regime detection (Hurst exponent + ADX). If market is in range (Hurst < 0.5, ADX < 25), activates mean reversion. Phase 2: Calculates z-score and adaptive Bollinger Bands. Phase 3: Buy signal at z-score < -2 if regime confirmed. Dynamic sizing inversely proportional to volatility.
Hurst exponent for regime detection. ADX for trend strength. Adaptive z-score. Dynamic Bollinger Bands. Realized volatility (rolling std). BTC/ETH cross-correlation.
Low
Avoids the strong trend trap through regime filtering. Dynamic sizing reduces risk in volatile periods. Improved and more robust version than classic mean reversion. Higher win rate than basic mean reversion.
More complex to understand and optimize. Regime filter can delay entries. Fewer trades than the basic version (strict filter). Hurst exponent is sensitive to sample size.
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