Price z-score calculator
How stretched the price is.
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Mean reversion half-life calculator
How many bars does a gap from the mean take to halve in this market? The half-life, the mean it pulls to and whether the pull is more than noise.
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The closes
The half-life
Half-life about 7.8 bars in the last 60 closes: a gap from the mean of 4,131.68 has halved in about 8 bars on average. The pull is too weak to stand out from noise, so it may be chance.
- Pull per bar
- Each bar has closed about 8.9% of the gap to the mean.
- Noise test
- -1.95; below -2.9 the pull stands out from noise at the usual 5% level, above it the closes could be a random walk.
- The last close
- 1.48%, 0.6 standard deviations above the mean of 4,131.68; at this pull, half of that gap would be gone in about 8 bars.
- Read it with care
- The fit assumes one fixed mean over the last 60 closes; a trend moves the mean and makes the half-life look longer or vanish. The table shows how much it changes with the stretch you fit.
The half-life in bars, the mean and the noise test for other stretches of the same closes.
| Closes | Half-life | Mean | Test |
|---|---|---|---|
| Last 30 | 3.1 | 4,133.58 | -1.79 |
| Last 60 | 7.8 | 4,131.68 | -1.95 |
| Last 120 | 57.4 | 4,309.19 | -0.81 |
| All 200 | 92.0 | 3,932.14 | -0.62 |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
How long a stretch takes to snap back
A mean reversion trade bets that a price far from its average comes back. The half-life says how fast: it fits each bar's change against how far the close was from the mean, the Ornstein-Uhlenbeck model quant desks use for spreads and pairs, and turns the pull into the number of bars a gap takes to halve. A short half-life means quick trades and a short lookback; a long one or none means the market trends and fading it is fighting the tide.
Check the stretch now with the price z-score calculator, test the whole market with the trend or mean reversion test, build a spread with the pair trading calculator, and size the trade with the position size calculator.
Not advice. Measured on the closes you type; a market's half-life changes over time.
Next tools
Trend or mean reversion test
Follow through or snap back?
Pair trading calculator
Spread z-score and hedge ratio.
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.