Session-Volume Midpoint Reversion

Family: mean_reversion · Regime: ranging · Complexity: medium · Asset classes: FX, Equities, Crypto · Timeframes: M15, H1

Thesis

Intraday price action is mean-reverting toward a rolling 14-period midpoint when momentum exhausts at high-volume price levels during active trading sessions. The edge exists because high-volume nodes represent areas of institutional interest (liquidity) that act as 'magnets' or 'walls' during the mean-reversion process, and MSLE allows for dynamic risk adjustment based on the accuracy of recent price discovery.

Components

• ATLS: Session Atlas (regime) — Identifies high-liquidity windows (EU/NY overlap) where volume-based levels are most respected.
• MIDPOINT: Rolling Midpoint (direction) — Acts as the dynamic 'fair value' anchor; trades are taken as mean-reversions toward this line.
• Stochastic Oscillator (entry) — Provides the execution trigger via momentum exhaustion (OS/OB levels).
• Average True Range (Standard MQ4) (exit) — Sets dynamic profit targets based on recent price expansion.
• Mean Squared Logarithmic Error (MSLE) (risk) — Quantifies model 'surprise' or volatility error; used to scale risk and stop-loss distance.
• Volume by Level Map (confirmation) — Confirms that the reversal is occurring at a point of high historical transaction density (Point of Control).

Known failure conditions

• Extended trending markets where price 'hugs' the midpoint without returning to the mean for long periods.
• Low volume environments where the Volume by Level map becomes fragmented and unreliable.
• Frequent gaps in 24/7 markets that distort the MSLE calculation.

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