The Reversion Index
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NinjaTrader: January 2026
In “
The Reversion Index (Identifying Peaks And Valleys In Ranging Markets)” in this issue, John Ehlers introduces an indicator he designed for use with mean-reversion strategies.
In John Ehlers’ article in this issue, “The Reversion Index,” he presents an indicator that produces timely buy and sell signals for mean-reversion strategies by summing bar-to-bar price changes and normalizing them by their absolute values. He explains that the summation should cover about half of the dominant cycle in the data, and that peaks and valleys are identified by the crossings of two SuperSmoother filters with different lengths. The reversion index is a normalized sum of price differences that oscillates between -1 and +1.
The indicator is available for download at the following link for NinjaTrader 8:
Once the file is downloaded, you can import it into NinjaTrader 8 from within the control center by selecting Tools → Import → NinjaScript Add-On and then selecting the downloaded file for NinjaTrader 8.
You can review the source code in NinjaTrader 8 by selecting New → NinjaScript Editor → Indicators from within the control center window and selecting the file.
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DOWNLOAD:
ReversionIndex.pdf
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