Adaptive Composite Z-Score Strategy with Momentum, RSI, and Volume Factors

Summary

This script excerpt outlines a composite z-score trading strategy built from momentum, RSI, and volume factors. Inputs specify separate lookbacks and weights for those factors, a z-score lookback, and optional smoothing that adapts using ATR and its historical percentile. A divergence module can be enabled with configurable pivot widths. The entry mode can be set to a zero crossing or threshold reversion, with separate long and short thresholds and exit levels.

The visible settings also include long and short permissions, an ATR-based stop option, and position sizing based on account equity, risk per trade, and a stop-distance multiplier. These controls suggest a framework that can express both directional momentum entries and mean-reverting threshold entries. However, the document ends partway through the settings, before the calculations, exact factor normalization, signal logic, exits, or sizing formula are shown. No market, backtest results, or evidence of effectiveness is provided, so this is a partial design outline rather than a validated method.

Key ideas

• The proposed composite combines momentum, RSI, and volume inputs with configurable weights.
• ATR and its percentile can drive adaptive smoothing of the composite.
• Entries can use either zero crossings or threshold reversion, with configurable exits.
• The settings include an optional ATR stop and risk-based position-sizing inputs.
• The excerpt omits the implementation and offers no evidence from backtesting.

Tags

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