Smoothed Z-Score Crossovers with Signal Spacing and Candle Filters
Summary
This strategy measures closing price’s distance from its rolling mean in standard deviation units, then smooths the Z-score with short and long simple moving averages. A short average above the long average signals a long entry; a cross below signals an exit. The described system adds a minimum bar gap between repeated entries or exits and candle-sequence filters intended to avoid countering several consecutive rising or falling closes.
The document frames the method as mean reversion and notes that the smoothing, spacing, and momentum filters are intended to reduce noisy trades. It also describes a live unrealized P&L display, which is a monitoring feature rather than evidence of strategy performance. The published settings specify ETH/USDT futures on daily bars for about a year, but no returns or other backtest results are given.
Risks include sensitivity to the lookback and smoothing choices, lag from averaging, outlier effects, and poor behavior when prices trend strongly. The text recommends further testing, trend and volume confirmation, adaptive parameters, and explicit risk controls; these are proposed extensions, not validated improvements.
Key ideas
- The Z-score expresses closing price’s deviation from its rolling mean in standard deviation units.
- Crossovers between short and long smoothed Z-scores drive long entries and exits.
- A minimum bar gap and consecutive-candle filters are intended to suppress repeated or counter-momentum signals.
- The strategy is presented as mean-reversion oriented and may struggle in strong trends.
- Published ETH/USDT daily futures settings include no reported performance results.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.