ZScore (Python)

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