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OU Half-Life Reversion
Admin's Choice NewFreeFades z-score stretches only when the half-life is short
Favourites and Admin's Choice analyses are listed in the terminal's indicators window under Analysis Marketplace.
- Language
- QuaScript
- Engine
- Native C++, incremental on live ticks
- Rendering
- Canvas
- Placement
- Price overlay
- Settings
- 4
- Plots
- 1
- Lines of code
- 49
- Source
- presets/strategy/ou_half_life_reversion.qs
About
Trades mean reversion only when the market is measurably mean-reverting. An Ornstein-Uhlenbeck fit gives the fair value, the z-score of price against it and the half-life of deviations; a stretched z-score is faded only while the half-life is short enough to pay within a few bars, and the trade is given twice the half-life to work. Entry: z beyond the entry level and turning back, half-life below the limit. Exit: target at the fitted mean, stop beyond the stretch, or a time stop at twice the half-life. Risk: 1 % per trade. Method: Uhlenbeck and Ornstein (1930), AR(1) half-life.
What it draws
Price overlay · counted from the engine's plot table and the script's draw calls
Series
- Line1OU mean
Signal marks
Drawings and chart effects
- Dashboard tables1 created
How it runs
From source to the live chart, for this script
- 1Compile
The QuaScript compiler checks the 49-line script (41 lines of code) and lowers it for the native C++ engine. Compile errors point at the exact line and column.
- 2Place
The header sets
overlay = true, so everything is drawn on the price chart, on the same scale as the candles. - 3Compute
The script runs once per bar, oldest to newest. 2
persistvariables keep state (objects, counters) across bars. - 4Stay live
On the terminal the script keeps one live engine session: a tick rolls the forming bar back to its checkpoint and re-executes only that bar, and new bars are appended, so history is never rerun while the market moves. The live result is identical to a full run.
- 5Render
The results are handed to the chart: series on Canvas.
- 6Tune
4 settings in 3 groups appear in the chart's settings dialog. Changing one reruns the engine with the new value.
Rendering
This script draws on Canvas
The browser's modern GPU API. The chart uploads every line, band and mark of the script as GPU buffers and draws them in one pass, so dense heatmaps and dozens of series stay smooth while you pan and zoom. Without WebGPU support the chart's GPU layer falls back to WebGL 2, then Canvas 2D.
GPU drawing through WebGL 2, available in every current browser. Used for chart-native profiles and for series that ask for it with backend = "webgl". Fast for large numbers of bars and wide fills.
The browser's 2D drawing API. Text-heavy and object-style output (dashboard tables, zones, tags, segments), candle colors and backgrounds are painted by the QuaScript layer, a Canvas 2D surface over the chart. Series use Canvas when the script's header does not ask for a GPU.
- • 1 plotted series
- • 2 signal mark types
- • 1 dashboard tables (QuaScript layer)
Settings
4 settings, grouped as in the chart's settings dialog
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Fit window | Integer | 120 | 30 – 2000 | fit_window |
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Entry z-score | Number | 2 | 0.5 – 4, step 0.1 | entry_z_score |
| Maximum half-life (bars) | Number | 30 | 2 – 500 | maximum_half_life_bars |
| Setting | Type | Default | Range / options | Id |
|---|---|---|---|---|
| Stop (ATR) | Number | 2.5 | 0.5 – 8, step 0.1 | stop_atr |
Script
packages/quascript/presets/strategy/ou_half_life_reversion.qs
Header
strategy "OU Half-Life Reversion" {
overlay = true
capital = 100000
commission = 0.05
slippage = 1
sizing = risk_percent
max_leverage = 1
size = 1
pyramiding = 1
}- Total lines
- 49
- Code lines
- 41
- Comment lines
- 7
- Helper functions
- 0
- Loops
- 0
- Persistent variables
- 2
- Higher-interval feeds
- 0
- Engine plots
- 1
Built with
ta.atrhft.oumath.absmath.coalescemath.is_namath.maxmath.roundviz/premium
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