Asymmetric Volatility Bands with a Mean-Reversion Regime Filter
Summary
Zeiierman Bands are an indicator and reclaim-signal method built around an envelope whose upper and lower widths can differ. The centre line blends a moving average with a volume-and-range-weighted price estimate adjusted for candle rejection. Each side’s deviation also reflects its own wick and sweep activity, so repeated rejection of lows can widen the lower band without widening the upper one. Signals use a two-stage process: price first closes beyond an outer band, then reclaims an inner band on the same side.
A first-order autoregression of log price distance estimates whether deviations decay at a usable rate; a separate centre-line drift limit helps reject moving targets. A higher-timeframe color engine summarizes directional price movement, with an optional setting to align reclaim trades to that color. The document explains the indicator’s construction and adjustable parameters, but supplies no backtest results or evidence of profitability. Its mean-reversion assumptions, thresholds, and behavior across assets and timeframes require independent evaluation.
Key ideas
- The upper and lower band widths respond independently to their own wick and sweep activity.
- The centre line combines a moving average with a liquidity-weighted, rejection-adjusted price estimate.
- A signal arms after a close beyond an outer band and fires on a later reclaim of the inner band.
- An autoregressive half-life test and centre-line drift limit gate signals during potential trends.
- A higher-timeframe color state can optionally require directional alignment for reclaim signals.
- The document describes indicator logic but provides no performance validation.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.