MA200 Deviation Percentile

14 godzin temu

200-Day MA Deviation with Dynamic Thresholds

OVERVIEW

This indicator measures price deviation from the 200-day moving average as a percentage, with dynamically calculated overbought/oversold thresholds based on historical percentiles.

Best suited for broad market indices (SPY, QQQ, IWM, etc.) where the 200-day MA serves as a reliable long-term trend indicator. Individual stocks may exhibit more erratic behavior around this level.


CALCULATION

Deviation (%) = (Close - 200MA) / 200MA x 100

Dynamic thresholds are derived from actual historical distribution rather than assuming normal distribution:
- Overbought threshold = 97.5th percentile of historical deviations
- Oversold threshold = 2.5th percentile of historical deviations


SETTINGS

MA Length (default: 200)
Moving average period.

Lookback Period (default: 1260)
Historical window for threshold calculation. 1260 bars approximates 5 years of daily data.

Threshold Percentile (default: 5%)
Two-tailed threshold. 5% places overbought/oversold boundaries at the 97.5th and 2.5th percentiles respectively.


INTERPRETATION

Deviation Value
- Positive: Price trading above 200MA
- Negative: Price trading below 200MA
- Magnitude indicates extent of deviation

Percentile Ranking (0-100%)
- Shows where current deviation ranks historically
- Above 90%: Historically elevated
- Below 10%: Historically depressed

Dynamic Threshold Lines
- Red line: Upper boundary based on historical distribution
- Green line: Lower boundary based on historical distribution
- These adapt automatically to each asset's volatility characteristics


APPLICATION

Mean Reversion
Extreme deviations tend to normalize over time. When deviation exceeds dynamic thresholds, probability of mean reversion increases.

Trend Assessment
Sustained positive/negative deviation confirms trend direction. Zero-line crossovers may signal trend changes.


NOTES

- Optimized for daily timeframe on market indices
- Requires sufficient historical data (minimum equal to lookback period)
- Extreme readings do not guarantee immediate reversals
- Use in conjunction with other analysis methods

14 godzin temu

Informacje o Wersji

MA200 Deviation Percentile

OVERVIEW

This indicator calculates how far the current price deviates from its 200-day moving average, then ranks this deviation against the past 10 years of historical data as a percentile (0-100%).

Best suited for broad market indices (SPY, QQQ, IWM, etc.) where the 200-day MA serves as a reliable long-term trend indicator.


CALCULATION

1. Deviation (%) = (Close - 200MA) / 200MA x 100
2. Percentile = Rank of current deviation within rolling 10-year historical window

Example:
- Percentile 95%: Current deviation is higher than 95% of readings over the past 10 years
- Percentile 5%: Current deviation is lower than 95% of readings over the past 10 years


SETTINGS

MA Length (default: 200)
Moving average period.

Lookback Period (default: 2520)
Rolling window for percentile calculation. 2520 bars approximates 10 years of daily data.

Overbought Level (default: 95%)
Upper threshold for extreme readings.

Oversold Level (default: 5%)
Lower threshold for extreme readings.


INTERPRETATION

- 95-100%: Historically extreme overbought
- 50%: Median deviation level
- 0-5%: Historically extreme oversold

When percentile reaches extreme levels (above 95% or below 5%), mean reversion probability increases.


VISUAL ELEMENTS

- Blue line: Percentile ranking (0-100%)
- Red dashed line: Overbought threshold
- Green dashed line: Oversold threshold
- Gray line: 50% median
- Background highlight: Indicates extreme zones
- Triangle markers: Signal entry into extreme zones


NOTES

- Optimized for daily timeframe on market indices
- Requires sufficient historical data (minimum 10 years recommended)
- Extreme readings indicate statistical rarity, not guaranteed reversals