ZScore Reversal Strategy (Python)

The ZScore Reversal strategy measures how far price deviates from a moving average in terms of standard deviations. The resulting Z-Score highlights statistically stretched conditions that may snap back toward the mean. A trade is opened long when the Z-Score falls below a negative threshold, signalling an oversold market. A short trade is taken when the Z-Score rises above the positive threshold. The position is closed once the Z-Score crosses back through zero, indicating price has normalized. This technique is attractive for mean reversion traders who prefer objective entry levels. The stop-loss percentage keeps adverse moves manageable while waiting for the reversion.

• Entry Criteria:

• Long: Z-Score < -Threshold

• Short: Z-Score > Threshold []Long/Short: Both sides. []Exit Criteria:

• Long: Exit when Z-Score crosses above 0

• Short: Exit when Z-Score crosses below 0 []Stops: Yes, percent stop-loss. []Default Values:

• LookbackPeriod = 20

• ZScoreThreshold = 2.0m

• StopLossPercent = 2m

• CandleType = TimeSpan.FromMinutes(10) [*]Filters:

• Category: Mean Reversion

• Direction: Both

• Indicators: Z-Score

• Stops: Yes

• Complexity: Intermediate

• Timeframe: Intraday

• Seasonality: No

• Neural networks: No

• Divergence: No

• Risk Level: Medium