Smoothed Price Z-Score Crossovers with Signal Spacing Filters

Summary

This strategy standardizes closing price against its recent mean and standard deviation, then smooths the resulting Z-score over short and longer windows. A long position is opened when the short smoothing is above the long smoothing and closed when it falls below. A configurable bar gap limits repeated entries or exits, while consecutive-candle momentum checks suppress signals during certain runs of rising or falling closes. The script also displays entry price and unrealized percentage profit or loss for an open long position.

The document provides implementation logic and default settings, but no performance results or market-specific evaluation. Its own description says the method is sensitive to outliers and is best suited to relatively normal-distributed conditions. The provided code uses price alone, has no short-entry logic, and does not specify stop-loss or position-sizing rules. The stated conditions compare the smoothed values rather than explicitly detecting a crossover event, so signals may recur subject to the spacing rule. Testing across instruments and market regimes would be needed before drawing conclusions about usefulness.

Key ideas

• The strategy standardizes closing prices using a rolling mean and standard deviation.
• Short and long moving averages of the raw Z-score determine long entries and exits.
• A minimum bar gap and consecutive-candle filters constrain repeated signals.
• The chart table reports entry price and unrealized percentage profit or loss while a long is open.
• The document provides no performance evidence and warns of sensitivity to outliers.

Tags

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