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Z-Score (Normal Distribution ) with Alerts
Statistical Edge: Z-Score (Normal Distribution) Indicator
Concept & Logic
The Z-Score Indicator is a statistical tool used to measure how many standard deviations a price is from its mean (Simple Moving Average). By applying the principles of Normal Distribution (The Gaussian Curve) to market data, this indicator identifies whether a price move is "normal" or "extreme" relative to its recent history.
In a theoretical Normal Distribution:
68.2% of data points fall within ±1 Standard Deviation (SD).
95.4% of data points fall within ±2 SD.
99.7% of data points fall within ±3 SD.
When the Z-Score crosses these thresholds, it indicates that the current price action is statistically rare, often signaling potential exhaustion or a high-momentum breakout.
Key Features
Z-Score Line (Blue): Tracks the real-time deviation of price from the mean.
±2.0 Threshold (Dashed Lines): Represents the 95% confidence interval. Prices reaching this zone are considered "Overextended" and often see a return to the mean (Mean Reversion).
±3.0 Threshold (Solid Lines): Represents the 99.7% extreme zone. Movements here are rare and suggest either an imminent sharp reversal or the start of a "Black Swan" parabolic trend.
Statistical Zones: Color-coded fills (Red for high extreme, Green for low extreme) for quick visual scanning.
How to Trade with Z-Score
Mean Reversion: Look for the Z-Score to penetrate the +2 or +3 levels and then cross back toward the zero line (Mean). This often signals that the "stretch" is over and price is returning to balance.
Trend Strength: A Z-Score that stays consistently above +2 (or below −2) without returning to zero indicates a very strong momentum trend. Do not fight the trend in these "fat tail" events.
Divergence: Watch for price making a higher high while the Z-Score makes a lower high at the +2 level; this suggests the momentum is weakening despite the price increase.
Technical Settings
Period (Length): The lookback period for calculating the Mean and Standard Deviation (Default: 20).
Source: Usually set to Close, but can be adjusted for different strategies.
Disclaimer
Financial markets do not always follow a perfect Normal Distribution (they often exhibit "Leptokurtosis" or fat tails). Statistical indicators should be used as a confluence tool alongside Price Action, Volume, and other technical analysis methods. Past performance does not guarantee future results.
Concept & Logic
The Z-Score Indicator is a statistical tool used to measure how many standard deviations a price is from its mean (Simple Moving Average). By applying the principles of Normal Distribution (The Gaussian Curve) to market data, this indicator identifies whether a price move is "normal" or "extreme" relative to its recent history.
In a theoretical Normal Distribution:
68.2% of data points fall within ±1 Standard Deviation (SD).
95.4% of data points fall within ±2 SD.
99.7% of data points fall within ±3 SD.
When the Z-Score crosses these thresholds, it indicates that the current price action is statistically rare, often signaling potential exhaustion or a high-momentum breakout.
Key Features
Z-Score Line (Blue): Tracks the real-time deviation of price from the mean.
±2.0 Threshold (Dashed Lines): Represents the 95% confidence interval. Prices reaching this zone are considered "Overextended" and often see a return to the mean (Mean Reversion).
±3.0 Threshold (Solid Lines): Represents the 99.7% extreme zone. Movements here are rare and suggest either an imminent sharp reversal or the start of a "Black Swan" parabolic trend.
Statistical Zones: Color-coded fills (Red for high extreme, Green for low extreme) for quick visual scanning.
How to Trade with Z-Score
Mean Reversion: Look for the Z-Score to penetrate the +2 or +3 levels and then cross back toward the zero line (Mean). This often signals that the "stretch" is over and price is returning to balance.
Trend Strength: A Z-Score that stays consistently above +2 (or below −2) without returning to zero indicates a very strong momentum trend. Do not fight the trend in these "fat tail" events.
Divergence: Watch for price making a higher high while the Z-Score makes a lower high at the +2 level; this suggests the momentum is weakening despite the price increase.
Technical Settings
Period (Length): The lookback period for calculating the Mean and Standard Deviation (Default: 20).
Source: Usually set to Close, but can be adjusted for different strategies.
Disclaimer
Financial markets do not always follow a perfect Normal Distribution (they often exhibit "Leptokurtosis" or fat tails). Statistical indicators should be used as a confluence tool alongside Price Action, Volume, and other technical analysis methods. Past performance does not guarantee future results.
نص برمجي مفتوح المصدر
بروح TradingView الحقيقية، قام مبتكر هذا النص البرمجي بجعله مفتوح المصدر، بحيث يمكن للمتداولين مراجعة وظائفه والتحقق منها. شكرا للمؤلف! بينما يمكنك استخدامه مجانًا، تذكر أن إعادة نشر الكود يخضع لقواعد الموقع الخاصة بنا.
إخلاء المسؤولية
لا يُقصد بالمعلومات والمنشورات أن تكون، أو تشكل، أي نصيحة مالية أو استثمارية أو تجارية أو أنواع أخرى من النصائح أو التوصيات المقدمة أو المعتمدة من TradingView. اقرأ المزيد في شروط الاستخدام.
نص برمجي مفتوح المصدر
بروح TradingView الحقيقية، قام مبتكر هذا النص البرمجي بجعله مفتوح المصدر، بحيث يمكن للمتداولين مراجعة وظائفه والتحقق منها. شكرا للمؤلف! بينما يمكنك استخدامه مجانًا، تذكر أن إعادة نشر الكود يخضع لقواعد الموقع الخاصة بنا.
إخلاء المسؤولية
لا يُقصد بالمعلومات والمنشورات أن تكون، أو تشكل، أي نصيحة مالية أو استثمارية أو تجارية أو أنواع أخرى من النصائح أو التوصيات المقدمة أو المعتمدة من TradingView. اقرأ المزيد في شروط الاستخدام.