Sadashi Market Reversion Strategy by SadashiTrading
By SadashiTrading
Performance Metrics
- Author: SadashiTrading
- Symbol: NASDAQ:AAPL
- Timeframe: 1 day
Description
📊 Overview:Most mean-reversion strategies fail because they evaluate price extreme in a vacuum. A statistical stretch in price is meaningless without confirming volatility expansion, volume participation, and macro structural context.The Sadashi Market Reversion Strategy is a multi-engine quantitative strategy built for Pine Script v6. It converts cross-asset market dynamics into normalized Z-Scores and synthesizes them through exponential decay curves into a unified Composite Edge Score (0–100%).⚙️ Architecture & Engine Breakdown:The strategy integrates 4 distinct quantitative engines to construct its trading edge:1. Price Engine: Calculates standard deviations from a rolling mean (Z-Score) over a configurable window. Evaluates when price is stretched relative to short-term variance.2. Volatility Engine (Z-vol): Normalizes return standard deviations. Requires expanding volatility to confirm true market stress rather than low-volume drift.3. Participation Engine: Tracks Dollar Volume (Close x Volume) normalized over a multi-month baseline. Ensures institutional participation validates entry setups.4. Trend Engine (Structural Slope): Combines linear regression slope normalization with rolling structural pivot breaks ($\text{HH}/\text{HL}$) to categorize regime slope.