W-MREI (Weekly Mean-Reversion Exhaustion Index)

W-MREI — Weekly Mean-Reversion Exhaustion Index

Description

The Weekly Mean-Reversion Exhaustion Index (W-MREI) is a statistical indicator designed to identify potential top and bottom zones in equities by measuring how far price has moved away from its long-term equilibrium.

The indicator operates on the weekly timeframe and is intended to be used as a structural exhaustion tool, not as a short-term trading signal.

W-MREI combines three key elements of market behavior:

Price deviation from the mean (Z-Score)

Position inside Bollinger Bands

Volatility regime (ATR expansion)

These components together help detect trend exhaustion conditions, which often occur before cyclical turning points.

How to use it

The indicator oscillates around zero, which represents market equilibrium.

Typical interpretation:

Above +2 → bullish exhaustion zone

Below −2 → bearish exhaustion zone

Near 0 → price near equilibrium

The indicator works best when used together with:

RSI

cycle analysis

structural support/resistance

W-MREI is designed as a confirmation tool, not a standalone entry system.

Indicator components (visible in settings)

These checkboxes correspond to internal components of the model:

W-MREI Score

The main composite oscillator.
This is the only line typically needed on the chart.

It combines:

Z-Score (price extension)

Bollinger position

volatility context

This line represents the overall exhaustion level of price.

Z-Score

Measures how far price is from its statistical mean:

(price − moving average) / standard deviation

High positive values indicate overextension above the mean,
negative values indicate compression below it.

This is the core mean-reversion component of the indicator.

%B (Bollinger Position)

Shows where price sits inside Bollinger Bands.

Typical values:

0.5 → middle band

1 → upper band

0 → lower band

1 → breakout above bands

<0 → below bands

This helps confirm extreme price positioning.

ATR Expansion

Measures whether volatility is expanding relative to its longer-term average.

High values indicate:

mature trends

strong directional moves

possible exhaustion phases

This acts as a regime filter.