Smoothed Price Z-Score Crossovers for Long Entries and Exits

Summary

This strategy standardizes closing price against its recent simple moving average and standard deviation, then smooths the resulting Z-score over short and long windows. A higher short-term smoothed value than the long-term value enables a long entry; the reverse condition closes the position. The logic uses price alone and contains no volume or broader trend filter.

A minimum bar gap limits how often entry and exit signals can repeat. The script also suppresses entries after a sequence of rising closes and suppresses exits after a sequence of falling closes. A chart table displays the current entry price and unrealized percentage profit or loss while a position is open. The document notes sensitivity to outliers and says the method is better suited to relatively normal-distributed conditions. It supplies no backtest evidence, and the code checks whether the smoothed series are above or below each other rather than explicitly requiring a crossover event.

Key ideas

• The raw Z-score expresses the closing price’s distance from a recent mean in standard-deviation units.
• Short- and long-window averages of that score determine long entries and position closures.
• A configurable bar gap and consecutive-close filters restrict repeated signals.
• The method relies only on closing prices and is sensitive to outliers.
• The source uses relative-above and relative-below conditions rather than explicit crossover events, and gives no performance results.

Tags

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