JB-Pitchfork Non-Normal Reversion

Family: mean_reversion · Regime: ranging · Complexity: high · Asset classes: FX, Equities, Indices · Timeframes: H1, H4

Thesis

Price movements that deviate significantly from a normal distribution (measured by Jarque-Bera) are often driven by temporary liquidity imbalances. If these imbalances occur within a defined structural channel (Pitchfork) and are contradicted by cumulative money flow (A/D Divergence), price is statistically likely to revert to its mean (Pitchfork Median Line) once momentum (MFI) resets.

Components

• Jarque-Bera Test (JB) (regime) — Identifies non-normal price action (fat tails). Entries are only valid when price distribution deviates from normality, suggesting an 'overextended' state.
• Accumulation/Distribution (A/D) (direction) — Detects underlying money flow divergence. A bullish divergence confirms that despite price drops, accumulation is occurring.
• Money Flow Index (MFI) (entry) — Provides the tactical entry trigger when momentum/volume pivots out of extreme oversold or overbought zones.
• ATR SL Finder (exit) — Sets dynamic stop loss levels based on current market volatility to avoid being stopped out by noise.
• Auto Pitchfork (risk) — Provides structural take-profit targets (Median Line) and ensures trades are taken within established price channels.
• Daily High Low MTF (volatility_filter) — Filters out 'gap-and-go' breakout days. Entries are restricted to within the previous day's range to favor mean-reversion.

Known failure conditions

• Persistent JB values > 20 suggesting a structural regime shift where mean reversion is no longer viable.
• Price consistently closing outside the Daily High/Low range, indicating a trending breakout regime.
• Pitchfork pivots shifting more than twice within a single trade duration.

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