This strategy calculates intraday volatility mean reversion using session VWAP standard deviation bands, RSI overbought and oversold levels, and candle wick exhaustion ratios. It enters trades when price reaches statistical extremes filtered by RSI and wick co
Strategy · Pine Script v6 · Own pane
TN Matrix OLS Stat Arb Sovereign v6
This statistical arbitrage strategy uses matrix algebra to calculate dynamic Ordinary Least Squares regression parameters between the chart symbol and a secondary asset.
GitHub stars1on the repository
Pine versionv6current
Lines of code86
Settings3inputs
LicenceNone stated
Last update2 months ago15 Aug 2026
Add It to Your TradingView Chart
- 1Copy the scriptPress Copy script above. It reads the file straight from GitHub.
- 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
The code stays on GitHub. The author has not published this script under an open licence, so ForexR does not show its code. Copy script reads the file straight from GitHub into your clipboard, so you can still try it on your own chart. Ask the author before reusing the code anywhere else.
Overview
TN Matrix OLS Stat Arb Sovereign v6 constructs a synthetic spread and calculates its Z-score. The strategy enters a long position when the Z-score falls below a negative threshold and enters a short position when it rises above a positive threshold. Trades exit when the Z-score reverts back to zero. Key inputs select the secondary asset, OLS lookback length, and sensitivity mode. The script plots the Z-score in a separate pane and does not employ a stop loss.
- Matrix OLS regression for dynamic alpha and beta estimation
- Z-Score statistical arbitrage entry and exit signals
- Preset arbitrage modes for scalp, standard, and tight thresholds
- Secondary symbol pair integration via security calls
- On-screen dashboard displaying current beta and alpha values
Details
Published by
raybird on GitHub
Type
Strategy, Pine Script v6
Draws
Separate pane below the chart
Category
Mean reversion, Screeners & dashboards
Markets
Crypto
Timeframes
Any timeframe
Risk Notes
- The strategy enters trades without a stop loss
Settings
The inputs you can change from the gear icon on the chart. Defaults are the author's.
| Setting | Type | Default | Variable |
|---|---|---|---|
| 套利規訓等級 | enum | ArbitrageMode.Standard | mode |
| 對沖資產 (Asset 2) | symbol | BINANCE:ETHUSDT | pairSym |
| OLS 矩陣回顧長度 | int | 60 | lookback |
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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