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