Combining Momentum, RSI, and Volume in an Adaptive Z-Score Strategy

Summary

The strategy standardizes three inputs—rate of change, RSI, and relative volume—over a shared lookback, then combines them with configurable weights into a composite score. An EMA-like smoother adjusts its length using the ATR percentile rank: it responds faster when volatility ranks high and more slowly when volatility ranks low. A divergence detector compares price pivots with oscillator pivots, though those signals are plotted rather than used to trigger trades.

Entries can follow zero-line crossings or use threshold crossings for a reversion approach. Positions are sized from account equity and an ATR-based stop distance, with a separate cap on position value; exits can use score levels and protective stop orders. The script provides adjustable inputs and specifies commission and slippage assumptions, but the supplied material reports no performance results or validation across markets. Its sizing formula divides cash risk by price distance and does not account for contract point value, so users need to check whether the units fit their instrument before relying on the calculated size.

Key ideas

• The strategy z-scores momentum, RSI, and relative volume before blending them with adjustable weights.
• ATR percentile rank controls smoothing length, making the composite more responsive in higher-volatility regimes.
• Entries use either zero crossings or threshold crossings, while exits use configurable score levels.
• ATR stop distance informs position size, which is also capped by a maximum position value.
• Price and oscillator pivots identify divergences, but divergence signals do not enter the order logic.

Tags

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