Intraday Volatility Reversion Z-…: Free TradingView Strategy (Pine Script)

Add It to Your TradingView Chart

1Copy the scriptPress Copy script above, or the copy button on the code below.
2Open the Pine EditorOpen a TradingView chart and choose Pine Editor at the bottom of the screen.
3Paste over the templateCreate a new strategy, select all of the template text and paste. Press Save and give it a name.
4Add it to the chartPress Add to chart. The trades and results appear in the Strategy Tester tab; adjust the settings with the gear icon.

Source Code

197 lines of Pine Script v6 from strategies/04_Volatility_Reversion_ZScore.pine, published under MIT. Keep the author's credit and licence lines when you reuse it.

04_Volatility_Reversion_ZScore.pine

// Strategy #4: Intraday Volatility Reversion (Z-Score)
// Win Rate: 82-87% | Profit Factor: 2.5-4.0 | R:R: 2.5:1
// Instrument: NQ/ES Futures | Timeframe: 5-min
//@version=6
strategy("Intraday Volatility Reversion Z-Score [v6]", overlay=false, calc_on_every_tick=false,
     process_orders_on_close=false, max_bars_back=5000,
     initial_capital=100000, commission_type=strategy.commission.cash_per_contract,
     commission_value=2.50, slippage=1)

// ─── INPUTS ───────────────────────────────────────────────────────────────────
// Z-Score Settings
i_zEntry       = input.float(1.8,  "Z-Score Entry Threshold",   minval=1.0, maxval=4.0, step=0.1, group="Z-Score Settings")
i_rsiLen       = input.int(14,     "RSI Length",                 minval=2,  maxval=50,  group="Z-Score Settings")
i_rsiOB        = input.float(75.0, "RSI Overbought (short)",     minval=60, maxval=90,  group="Z-Score Settings")
i_rsiOS        = input.float(25.0, "RSI Oversold (long)",        minval=10, maxval=40,  group="Z-Score Settings")
i_wickMult     = input.float(2.0,  "Exhaustion Wick:Body Ratio", minval=1.0, maxval=5.0, step=0.5, group="Z-Score Settings")

// Regime Filter
i_atrLen       = input.int(14,    "ATR Length",                  minval=5,  maxval=50,  group="Regime Filter")
i_atrPctRank   = input.int(100,   "ATR Percentile Lookback",     minval=20, maxval=500, group="Regime Filter")
i_atrBlockPct  = input.float(80.0,"Block Entries Above ATR Pct", minval=50, maxval=99,  group="Regime Filter")

// Exit / Risk Management
i_atrSL        = input.float(1.5, "Stop Loss (x ATR)",           minval=0.5, maxval=5.0, step=0.25, group="Exit/Risk Management")
i_eodHour      = input.int(15, "EOD Exit Hour (ET)",   minval=12, maxval=22, group="Exit/Risk Management")
i_eodMin       = input.int(45, "EOD Exit Minute (ET)", minval=0,  maxval=59, group="Exit/Risk Management")
i_maxDailyLoss = input.float(500.0, "Max Daily Loss ($)", minval=0, group="Exit/Risk Management")
i_maxTrades    = input.int(3, "Max Trades Per Day", minval=1, maxval=10, group="Exit/Risk Management")

// Session
i_rthStartHour = input.int(9,  "RTH Start Hour (ET)",  minval=0, maxval=23, group="Session")
i_rthStartMin  = input.int(30, "RTH Start Minute (ET)", minval=0, maxval=59, group="Session")

// Visual Settings
i_showBands    = input.bool(true,  "Show Z-Score ±1σ / ±2σ Bands", group="Visual Settings")
i_showBG       = input.bool(true,  "Show Z-Score Background Color", group="Visual Settings")
i_showDash     = input.bool(true,  "Show Dashboard",                group="Visual Settings")

// ─── HELPERS ─────────────────────────────────────────────────────────────────
int   etHour   = hour(time, "America/New_York")
int   etMin    = minute(time, "America/New_York")
bool  isNewDay = ta.change(time("D")) != 0

bool  inRTH = etHour > i_rthStartHour or (etHour == i_rthStartHour and etMin >= i_rthStartMin)
bool  isEOD = etHour == i_eodHour and etMin >= i_eodMin

float atrVal  = ta.atr(i_atrLen)
float rsiVal  = ta.rsi(close, i_rsiLen)

// ─── SESSION VWAP + STDEV (manual) ───────────────────────────────────────────
var float cumTPV  = 0.0
var float cumVol  = 0.0
var float cumTPV2 = 0.0

if isNewDay
    cumTPV  := 0.0
    cumVol  := 0.0
    cumTPV2 := 0.0

float typicalPrice = (high + low + close) / 3.0

if inRTH
    cumTPV  := cumTPV  + typicalPrice * volume
    cumVol  := cumVol  + volume
    cumTPV2 := cumTPV2 + typicalPrice * typicalPrice * volume

float vwap      = cumVol > 0.0 ? cumTPV / cumVol : na
float vwapStdev = not na(vwap) and cumVol > 0.0 ?
     math.sqrt(math.max(cumTPV2 / cumVol - vwap * vwap, 0.0)) : na

// ─── Z-SCORE ──────────────────────────────────────────────────────────────────
float zScore = not na(vwap) and not na(vwapStdev) and vwapStdev > 0.0 ?
     (close - vwap) / vwapStdev : na

// VWAP bands for visualization
float band1Up  = not na(vwap) and not na(vwapStdev) ? vwap + 1.0 * vwapStdev : na
float band1Dn  = not na(vwap) and not na(vwapStdev) ? vwap - 1.0 * vwapStdev : na
float band2Up  = not na(vwap) and not na(vwapStdev) ? vwap + 2.0 * vwapStdev : na
float band2Dn  = not na(vwap) and not na(vwapStdev) ? vwap - 2.0 * vwapStdev : na

// ─── ATR PERCENTILE (regime filter) ──────────────────────────────────────────
float atrPctRank = 0.0
if not na(atrVal)
    int countBelow = 0
    for i = 1 to i_atrPctRank
        if not na(atrVal[i]) and atrVal[i] < atrVal
            countBelow := countBelow + 1
    atrPctRank := countBelow / i_atrPctRank * 100.0

bool highVolRegime = atrPctRank > i_atrBlockPct
string regimeStr   = highVolRegime ? "VOLATILE" : "Normal"

// ─── EXHAUSTION CANDLE ───────────────────────────────────────────────────────
float bodySize  = math.abs(close - open)
float upperWick = high - math.max(close, open)
float lowerWick = math.min(close, open) - low

bool exhaustionShort = bodySize > 0.0 and upperWick >= i_wickMult * bodySize
bool exhaustionLong  = bodySize > 0.0 and lowerWick >= i_wickMult * bodySize

// ─── TRADE STATE ─────────────────────────────────────────────────────────────
var int   dayTrades = 0
var float dayPnL    = 0.0

if isNewDay
    dayTrades := 0
    dayPnL    := 0.0

// ─── EOD EXIT ────────────────────────────────────────────────────────────────
if isEOD and strategy.position_size != 0
    strategy.close_all(comment="EOD Exit")

// ─── ENTRY CONDITIONS ────────────────────────────────────────────────────────
bool tradeable = inRTH and not isEOD and not highVolRegime and
     dayTrades < i_maxTrades and dayPnL > -i_maxDailyLoss and
     strategy.position_size == 0

// SHORT: Z-score > +threshold, exhaustion candle OR RSI overbought
bool shortCond = tradeable and not na(zScore) and zScore >= i_zEntry and
     (exhaustionShort or rsiVal > i_rsiOB)

// LONG: Z-score < -threshold, exhaustion candle OR RSI oversold
bool longCond  = tradeable and not na(zScore) and zScore <= -i_zEntry and
     (exhaustionLong  or rsiVal < i_rsiOS)

if longCond and not na(atrVal) and not na(vwap)
    float sl = close - i_atrSL * atrVal
    float tp = vwap   // target: Z-score returns to 0
    strategy.entry("VR Long", strategy.long, comment="Z-Score Long")
    strategy.exit("VR Long Exit", "VR Long", stop=sl, limit=tp)
    dayTrades += 1

if shortCond and not na(atrVal) and not na(vwap)
    float sl = close + i_atrSL * atrVal
    float tp = vwap   // target: Z-score returns to 0
    strategy.entry("VR Short", strategy.short, comment="Z-Score Short")
    strategy.exit("VR Short Exit", "VR Short", stop=sl, limit=tp)
    dayTrades += 1

dayPnL := strategy.netprofit - nz(strategy.netprofit[1], strategy.netprofit)

// ─── PLOTS (Z-SCORE PANE — overlay=false) ────────────────────────────────────
plot(zScore, "Z-Score", color=color.new(color.white, 0), linewidth=2)
hline(0,    "Zero",  color=color.gray,   linestyle=hline.style_dashed)
hline(i_zEntry,  "Entry Short", color=color.red,    linestyle=hline.style_solid, linewidth=1)
hline(-i_zEntry, "Entry Long",  color=color.green,  linestyle=hline.style_solid, linewidth=1)

if i_showBands
    hline(1.0,  "+1σ", color=color.new(color.orange, 50), linestyle=hline.style_dotted)
    hline(-1.0, "-1σ", color=color.new(color.orange, 50), linestyle=hline.style_dotted)
    hline(2.0,  "+2σ", color=color.new(color.red,    50), linestyle=hline.style_dotted)
    hline(-2.0, "-2σ", color=color.new(color.red,    50), linestyle=hline.style_dotted)

// Background color by Z-score level
bgcolor(i_showBG and not na(zScore) and zScore >= i_zEntry  ? color.new(color.red,   88) : na, title="Overbought Zone")
bgcolor(i_showBG and not na(zScore) and zScore <= -i_zEntry ? color.new(color.green, 88) : na, title="Oversold Zone")

// Entry signals
plotshape(longCond,  title="Long Signal",  style=shape.triangleup,   location=location.bottom, color=color.green, size=size.small)
plotshape(shortCond, title="Short Signal", style=shape.triangledown, location=location.top,    color=color.red,   size=size.small)

// ─── DASHBOARD ───────────────────────────────────────────────────────────────
var table dash = table.new(position.top_right, 2, 10,
     border_color=color.gray, border_width=1,
     bgcolor=color.new(color.black, 85))

if i_showDash and barstate.islast
    table.cell(dash, 0, 0, "VOLATILITY REVERSION", text_color=color.white, text_size=size.small, bgcolor=color.new(color.purple, 60))
    table.cell(dash, 1, 0, "", bgcolor=color.new(color.purple, 60))
    table.cell(dash, 0, 1, "Z-Score",      text_color=color.silver, text_size=size.small)
    color zClr = not na(zScore) ? (zScore > 1.5 ? color.red : zScore < -1.5 ? color.green : color.white) : color.gray
    table.cell(dash, 1, 1, na(zScore) ? "—" : str.tostring(zScore, "#.##"), text_color=zClr, text_size=size.small)
    table.cell(dash, 0, 2, "VWAP",         text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 2, na(vwap) ? "—" : str.tostring(vwap, "#.##"), text_color=color.white, text_size=size.small)
    table.cell(dash, 0, 3, "VWAP Stdev",   text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 3, na(vwapStdev) ? "—" : str.tostring(vwapStdev, "#.##"), text_color=color.white, text_size=size.small)
    table.cell(dash, 0, 4, "RSI",          text_color=color.silver, text_size=size.small)
    color rsiClr = rsiVal > i_rsiOB ? color.red : rsiVal < i_rsiOS ? color.green : color.white
    table.cell(dash, 1, 4, str.tostring(math.round(rsiVal, 1)), text_color=rsiClr, text_size=size.small)
    table.cell(dash, 0, 5, "ATR Percentile", text_color=color.silver, text_size=size.small)
    color atrClr = highVolRegime ? color.red : color.green
    table.cell(dash, 1, 5, str.tostring(math.round(atrPctRank, 1)) + "%", text_color=atrClr, text_size=size.small)
    table.cell(dash, 0, 6, "Regime",        text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 6, regimeStr, text_color=highVolRegime ? color.red : color.green, text_size=size.small)
    table.cell(dash, 0, 7, "ATR",           text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 7, na(atrVal) ? "—" : str.tostring(atrVal, "#.##"), text_color=color.white, text_size=size.small)
    table.cell(dash, 0, 8, "Day Trades",    text_color=color.silver, text_size=size.small)
    table.cell(dash, 1, 8, str.tostring(dayTrades), text_color=color.white, text_size=size.small)
    table.cell(dash, 0, 9, "Day P&L",       text_color=color.silver, text_size=size.small)
    color pnlColor = dayPnL >= 0 ? color.green : color.red
    table.cell(dash, 1, 9, str.tostring(math.round(dayPnL, 2), "#.##"), text_color=pnlColor, text_size=size.small)

// ─── ALERTS ──────────────────────────────────────────────────────────────────
alertcondition(longCond,  "Z-Score Long",  "Z-Score LONG: Z = " + str.tostring(zScore, "#.##") + " — oversold exhaustion")
alertcondition(shortCond, "Z-Score Short", "Z-Score SHORT: Z = " + str.tostring(zScore, "#.##") + " — overbought exhaustion")
alertcondition(highVolRegime and not highVolRegime[1], "High Vol Regime", "Volatility regime elevated — entries blocked")
alertcondition(isEOD and strategy.position_size != 0,  "EOD Exit",        "Z-Score strategy EOD exit")

Overview

Intraday Volatility Reversion Z-Score enters trades when price reaches statistical extremes filtered by RSI and wick conditions, while blocking entries during high ATR percentile regimes. Risk controls include an ATR-multiplier stop loss, a daily loss cap, trade frequency limits, and forced end-of-day exits. It plots the Z-score and standard deviation bands in a separate indicator pane alongside an on-screen dashboard.

Z-score distance calculation from session VWAP
RSI and candle exhaustion wick filters
ATR percentile regime filter
ATR-based stop loss and daily loss cap
Forced end-of-day intraday position exit

Details

Published by

Prat617 on GitHub

Type

Strategy, Pine Script v6

Draws

Separate pane below the chart

Markets

Indices

Timeframes

M15-H1

Risk Notes

No repainting, lookahead or stacked entries were found in its code or README. That says nothing about how well it works: test it first.

File

strategies/04_Volatility_Reversion_ZScore.pine

Repository

github.com/Prat617/strategic. See its other scripts in the library

Settings

The inputs you can change from the gear icon on the chart. Defaults are the author's.

Setting	Type	Default	Variable
Z-Score Entry Threshold	`float`	`1.8`	`i_zEntry`
RSI Length	`int`	`14`	`i_rsiLen`
RSI Overbought (short)	`float`	`75.0`	`i_rsiOB`
RSI Oversold (long)	`float`	`25.0`	`i_rsiOS`
Exhaustion Wick:Body Ratio	`float`	`2.0`	`i_wickMult`
ATR Length	`int`	`14`	`i_atrLen`
ATR Percentile Lookback	`int`	`100`	`i_atrPctRank`
Block Entries Above ATR Pct	`float`	`80.0`	`i_atrBlockPct`
Stop Loss (x ATR)	`float`	`1.5`	`i_atrSL`
EOD Exit Hour (ET)	`int`	`15`	`i_eodHour`
EOD Exit Minute (ET)	`int`	`45`	`i_eodMin`
Max Daily Loss ($)	`float`	`500.0`	`i_maxDailyLoss`

Show all 18 settings

Setting	Type	Default	Variable
Max Trades Per Day	`int`	`3`	`i_maxTrades`
RTH Start Hour (ET)	`int`	`9`	`i_rthStartHour`
RTH Start Minute (ET)	`int`	`30`	`i_rthStartMin`
Show Z-Score ±1σ / ±2σ Bands	`bool`	`true`	`i_showBands`
Show Z-Score Background Color	`bool`	`true`	`i_showBG`
Show Dashboard	`bool`	`true`	`i_showDash`

Third-party code. ForexR did not write, test or endorse this script, and the summary above was generated automatically from its code and README. Indicators describe the past, and a strategy's backtest can look better than live trading, especially when a script repaints. Check it in the Strategy Tester and on a demo account before you rely on it.

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