Mean Reversion T (MR-T)

简体中文 · English

A production-grade mean-reversion "T" (intraday swing) signal indicator for TradingView, written in Pine Script v6. Designed for 15-minute charts and A-share T+0 style intraday trading (做T). Repaint-safe. Bilingual runtime UI (中文 / English).

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Why MR-T

Most mean-reversion indicators fire a signal the moment price strays from the mean - and then get run over when the "oversold" move is actually the start of a trend. MR-T treats mean reversion as a multi-condition, time-aware lifecycle, not a single threshold:

• It only trades when the environment is actually range-like (a composite regime score on both the 1H and 15m timeframes).
• It refuses to enter when a hard trend is present (slope and efficiency-ratio vetoes).
• It distinguishes a gentle drift (Range engine) from a violent shock that is exhausting itself (Shock engine).
• It sizes every exit by an Ornstein-Uhlenbeck half-life estimate, so a trade that has gone nowhere long enough is killed on time, not left to bleed.
• It tracks cost-adjusted virtual P&L, so "breakeven" actually means breakeven after fees and slippage.

Features

Capability	Detail
Dual engine	Range reversion (mild Z deviation) + Shock reversal (abnormal impulse + deceleration/rejection)
Hard Trend Veto	1H and 15m slope + efficiency-ratio guards against trend environments
Half-life time stop	OU-process half-life estimates how long a reversion should take; fallback when unmeasurable
Cost-aware P&L	Virtual per-trade and cumulative P&L, round-trip cost deducted, shown in the panel
Bilingual	Panel, chart labels and error messages switch 中文 / English via the Language input; alert messages and input labels are bilingual-static (Pine pins those to compile-time const string)
Repaint-safe	Signals gated on confirmed bars; higher-timeframe data uses the last confirmed 1H bar; trade targets are frozen at entry
Versioned	Semantic versioning (see CHANGELOG.md), version shown in the panel

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How it works

flowchart TD
    GATE["Environment Gate - Regime Score (25x4) + Hard Trend Veto"]
    GATE --> CHECK{"Environment OK?"}
    CHECK -- "No" --> NONE["No trade"]
    CHECK -- "Yes" --> RANGE{"Range engine: z <= -Z_entry"}
    CHECK -- "Yes" --> SHOCK{"Shock engine: z <= -Z_shock + decel + rejection"}
    RANGE -- "Yes" --> RSETUP["Range setup observed"]
    SHOCK -- "Yes" --> SSETUP["Shock setup observed"]
    RSETUP --> CONFIRM["Confirm on Z re-entry / candle / band"]
    SSETUP --> CONFIRM
    CONFIRM --> ENTRY["T-entry"]
    ENTRY --> TRIM["T-trim - partial, stop moves to breakeven"]
    TRIM --> CLOSE{"Full reversion?"}
    CLOSE -- "Yes" --> CLOSED["T-close"]
    CLOSE -- "No" --> EXITS["Exits: T-stop / Trend-fail / T-timeout / T-BE"]

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Lifecycle (per trade)

Observe -> T-buy / T-short -> T-trim (partial, moves stop to breakeven) -> T-close (full reversion). Abnormal exits: T-stop (statistical or ATR risk line), Trend-fail (market turned trending), T-timeout (half-life exceeded), T-BE (breakeven after the first target).

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Requirements

• Pine Script v6 editor
• 15-minute chart (enforced - the script errors on any other timeframe; this is a deliberate contract, see Limitations)
• A higher timeframe for market state (default 1H)
• Data with enough history for warm-up (meanLen + zLen ~ 64 bars, half-life ~ 80 bars)

Installation

1. Open the Pine Editor on TradingView, paste the contents of MRT.pine, then Add to chart.
2. Or clone this repo and open MRT.pine in your editor.

It is an indicator, not a strategy - it does not place orders. Use its alerts to inform your own decisions.

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Usage

• Market: primarily A-share T+0 intraday (做T) on 15m. Re-validate all parameters before applying to another market or timeframe.
• Language: set the Language & Version -> Language input to zh or en. This switches the panel, chart labels, and error messages. Alert messages and input labels are bilingual-static — Pine pins their text to compile-time const string (see Limitations).
• Cost: set Risk Control -> Cost per side (bp) to your real round-trip cost (commission + slippage + stamp duty, per side). Default 3.0 bp/side is a conservative estimate; it only affects the virtual P&L and breakeven offset.
• Alerts: 10 built-in alert conditions (MR-T ...) - create alerts from the Alerts panel and select an MR-T condition.

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Parameter reference

Input labels are Chinese (Pine requires compile-time const string for input titles, so they cannot be localized by a runtime toggle). English reference below.

1. Trade Direction

Input	Type	Default	Meaning
allowLong	bool	true	Allow long (T-buy) setups
allowShort	bool	true	Allow short (T-short) setups

2. Mean & Z-score

Input	Type	Default	Meaning
meanLen	int	32	Local mean EMA length (15m)
zLen	int	32	Z-score window
rangeEntryZ	float	1.65	Range-mode observation Z threshold
shockEntryZ	float	2.00	Shock-mode observation Z threshold
rangePartialZ	float	0.80	Range-mode trim target (in Z)
rangeExitZ	float	0.25	Range-mode close target (in Z)
shockPartialZ	float	1.00	Shock-mode trim target (in Z)
shockExitZ	float	0.50	Shock-mode close target (in Z)
stopZ	float	3.25	Extreme statistical failure (stop) Z

3. 1H Market State

Input	Type	Default	Meaning
htfTf	timeframe	60	Higher timeframe for market state
htfMeanLen	int	20	1H mean EMA length
htfSlopeLookback	int	4	1H slope lookback
idealHtfSlope	float	0.10	Max "ideal" 1H slope (ATR/bar) for scoring
htfERLen	int	10	1H efficiency-ratio length
idealHtfER	float	0.50	Max "ideal" 1H ER for scoring

4. 15m Market State

Input	Type	Default	Meaning
localSlopeLookback	int	8	15m slope lookback
idealLocalSlope	float	0.12	Max "ideal" 15m slope (ATR/bar)
localERLen	int	16	15m efficiency-ratio length
idealLocalER	float	0.60	Max "ideal" 15m ER

5. Regime Score

Input	Type	Default	Meaning
rangeMinScore	float	50	Minimum environment score for Range mode
shockMinScore	float	45	Minimum environment score for Shock mode
regimeSmoothLen	int	3	Score smoothing window

6. Hard Trend Veto

Input	Type	Default	Meaning
vetoHtfSlope	float	0.18	1H slope veto threshold
vetoLocalSlope	float	0.23	15m slope veto threshold
vetoHtfER	float	0.75	1H ER veto threshold
vetoLocalER	float	0.80	15m ER veto threshold

7. Shock Engine

Input	Type	Default	Meaning
shockLookback	int	2	Bars over which shock is measured
minShockATR	float	0.80	Minimum shock strength (in ATR)
requireShockDeceleration	bool	true	Require the impulse to be decelerating
decelerationRatio	float	0.85	Deceleration ratio (current vs. previous move)
requireRejection	bool	true	Require a rejection / reverse candle
minWickRatio	float	0.30	Minimum wick ratio for rejection

8. Half-Life / Time Stop

Input	Type	Default	Meaning
halfLifeLookback	int	80	Half-life sample length
timeStopMultiplier	float	3.0	Time stop = half-life x N
minTimeStopBars	int	8	Minimum time stop (bars)
maxTimeStopBars	int	40	Maximum time stop (bars)
fallbackTimeStopBars	int	24	Time stop when half-life is unmeasurable

9. Setup / Confirmation

Input	Type	Default	Meaning
rangeSetupBars	int	16	Range setup validity window (bars)
shockSetupBars	int	8	Shock setup validity window (bars)
requireCandleConfirm	bool	true	Require candle direction confirmation
requireBandReclaim	bool	true	Require price to re-enter the Z band
cooldownBars	int	3	Cooldown after exit

10. Risk Control

Input	Type	Default	Meaning
atrLen	int	14	ATR period
hardStopATR	float	2.50	ATR emergency stop
stopMode	string	Balanced	Tight / Balanced / Loose stop selection
balancedWeight	float	0.50	Weight between statistical & ATR stops (0=loose, 1=tight)
moveStopToBE	bool	true	Move stop to breakeven after trim
costBps	float	3.0	Round-trip cost per side (bp) - P&L and BE offset

11. Display / 12. Language

Input	Type	Default	Meaning
showBands	bool	true	Show reversion bands
showBackground	bool	true	Show trade environment background
showSetup	bool	true	Show observation signals
showPanel	bool	true	Show status panel
showTradeLevels	bool	true	Show live target/risk lines
lang	string	zh	zh / en runtime UI language

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Cost model & P&L panel

The panel (right-top) reports, for the most recent closed trade and cumulatively:

• Last P&L - net P&L of the last trade in ATR units and %, after deducting 2 x costBps round-trip cost.
• Cum P&L - cumulative net P&L in ATR units and the number of closed virtual trades.

Breakeven (after a trim) is placed at entry +/- round-trip cost, so a "T-BE" exit is genuinely flat after costs.

Honest limitations of the model:

• Exits are evaluated on bar close, not intrabar - a real stop can be hit and recovered within the same bar; this indicator reports on close.
• P&L is computed on the full position from entry to exit and ignores the size weighting of the trim step.
• Costs are a flat bps estimate; real fills vary. Treat the panel as a sanity signal, not an accounting system.

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Repaint safety

• All signal/event writes are gated on barstate.isconfirmed.
• Higher-timeframe values are the last confirmed 1H bar (f_erPrev / f_slopeATRPrev + barmerge.lookahead_on) - no future leak.
• Targets/stops are frozen at entry (the trade context in MRState).
• The half-life estimate uses only past data.

Limitations & scope

• Hard-coded 15m contract. The script refuses to run on other timeframes. This is deliberate (window lengths are in bars and were tuned on 15m); rescaling to other timeframes requires re-tuning.
• Input labels and alert messages are bilingual-static. Pine input titles and alertcondition messages are compile-time const string; a runtime language toggle cannot localize them, so they ship with both languages baked in. The panel, chart labels and error messages follow the lang input.
• A-shares T+0 bias. The engine assumes intraday reversion against a held position. Applying it to trending crypto/forex without re-tuning will disappoint.
• Not financial advice. No performance guarantees, express or implied.

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Contributing

Issues and PRs welcome. Keep changes backward-compatible, keep the state machine centralized in MRState, and bump CHANGELOG.md + SCRIPT_VERSION with each behavioral change.

License

This Pine Script code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/. See LICENSE for the full text.

Author

Jasxu - TradingView · GitHub

Disclaimer

This software is provided for educational and informational purposes only. It is not investment advice, and past or simulated performance does not guarantee future results. Trading involves risk; you are solely responsible for your own decisions.