Price Z-Score Threshold Strategy Using EMA and Standard Deviation

Summary

This strategy measures how far a selected price is from its exponential moving average in units of recent standard deviation. Users can set separate averaging and deviation lookbacks, choose a threshold, and enable long trades, short trades, or both. A long position opens when the score crosses above the positive threshold and closes after it crosses below the negative threshold. Short entries and exits use the inverse crossings. The indicator also plots the score and thresholds and can color price bars by score region.

The document gives default lookbacks of 100 periods and a threshold of 1, and describes the method as suitable for markets where prices revert toward a mean. However, the entry logic buys strength above the positive threshold and shorts weakness below the negative one, so it can also behave as a breakout or momentum rule; positions close only after a crossing of the opposite threshold. The text includes a BTCUSD six-hour performance heading but provides no readable results, so it offers no evidence of profitability or robustness. Thresholds and lookbacks require market-specific evaluation.

Key ideas

• The score expresses price distance from an EMA in units of price standard deviation.
• Long entries occur on an upward crossing of the positive threshold, with exits on a downward crossing of the negative threshold.
• Short entries and exits reverse those threshold crossings.
• The strategy supports long-only, short-only, or two-sided operation.
• The document gives default lookbacks of 100 periods and a threshold of 1 but supplies no interpretable performance results.

Tags

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