The Half-life Gate filter is a pass/block gate on the OU half-life (in bars) implied by an AR(1) on log closes. When half-life meets your compare condition against a threshold, the filter passes; otherwise it blocks. It never fires a buy or sell by itself.
If the AR(1) coefficient φ is outside (0, 1), the series is not treated as mean-reverting and the gate fails closed. Defaults use half-life < 48.
When to use it
- Only allow mean-reversion entries when estimated half-life is short enough
- Block MR when reversion would take too many bars
- Pair with Hurst / residual z-score for a classic MR stack
What you’ll set in the app
Add Half-life gate under filters.
- Window — log-close bars in the AR(1) sample (default 64)
- Compare — half-life >, <, ≥, ≤, or ≈
- Threshold — e.g.
48bars (default)
Warm-up history or non-mean-reverting φ blocks the gate. Disabled passes.
Tips
- Half-life is in bars of the chart timeframe, not calendar days.
- There is no “side when true”—pair with residual z-score or pairs-style rules for direction.
- See also Hurst Gate.
Example
Entry filters: Half-life gate, window 64, half-life < 48. A residual z-score long only passes when log-price half-life is under 48 bars.