A Z-Score Strategy Using Heikin-Ashi Prices and Percentile Signals

Summary

This experimental strategy standardizes a 10-period exponential moving average of Heikin-Ashi close values using a 25-bar mean and standard deviation. It then smooths the resulting Z-score over 20 bars and derives rolling percentile reference lines from that smoothed series. Long signals occur when the raw score crosses above the lower percentile threshold or the smoothed score crosses above its median; another long order is triggered when the raw score crosses above the smoothed series’ 100-bar high. Short signals arise when the smoothed score crosses below selected percentile or high-value references. Opposing signals close corresponding positions, and trading begins after a configurable start date.

The document explains Z-scores as deviations from a rolling mean and describes possible uses in assessing unusual values and trading-system streaks. It does not report backtest outcomes, and the author explicitly characterizes the script as an attempt that may not behave as intended. Thresholds are rolling statistics rather than fixed levels, and there is no stated risk-control rule, so the trading logic should be treated as exploratory rather than validated.

Key ideas

• The strategy standardizes a smoothed Heikin-Ashi price series using a rolling mean and standard deviation.
• It smooths the Z-score and compares it with rolling percentile thresholds.
• Long and short signals use crossings of the score series and its reference levels.
• The script includes an additional long entry based on a 100-bar high.
• The author reports no performance evidence and cautions that the strategy may not work as intended.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.