Strategy based on Z-Score indicator for mean reversion trading
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.
- 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