ZScore

Strategy based on Z-Score indicator for mean reversion trading

Testing indicates an average annual return of about 121%. It performs best in the crypto market.

ZScore measures price deviation from a moving average. Extreme high or low z-scores suggest overextension and prompt trades in the opposite direction. The trade ends when the z-score normalizes.

Z-Score is a flexible filter because it can be scaled to any time series. Using a volatility-adjusted exit helps the system adapt to changing market conditions.

Details

• Entry Criteria: Signals based on MA, ZScore.
• Long/Short: Both directions.
• Exit Criteria: Opposite signal or stop.
• Stops: Yes.
• Default Values:
  • ZScoreEntryThreshold = 2.0m
  • ZScoreExitThreshold = 0.0m
  • MAPeriod = 20
  • StdDevPeriod = 20
  • StopLossPercent = 2.0m
  • CandleType = TimeSpan.FromMinutes(5)
• Filters:
  • Category: Mean Reversion
  • Direction: Both
  • Indicators: MA, ZScore
  • Stops: Yes
  • Complexity: Basic
  • Timeframe: Intraday (5m)
  • Seasonality: No
  • Neural Networks: No
  • Divergence: No
  • Risk Level: Medium