Stochastic Z-Score and Oscillator Threshold Trading Strategy

Summary

This strategy combines a rolling price z-score with a smoothed stochastic oscillator to generate long and short signals. It rescales the stochastic reading and averages it with the z-score, then compares that combined value with positive and negative thresholds. The script also includes a signal cooldown intended to space out repeated entries, and closes long positions when the z-score moves above zero or short positions when it moves below zero.

The source specifies an 80-bar rolling window, a 2.8 threshold, a 5-bar cooldown, and stochastic settings of 14 periods with 7-period smoothing. It configures a simulated strategy with commission and equity-based sizing, but provides no performance results or market-specific evaluation. The rules and settings describe a testable indicator strategy, not evidence of profitability. Its behavior depends on the instrument, timeframe, execution assumptions, and parameter choices; the source also leaves some position-closing logic commented out, so the entry and exit behavior should be interpreted with care.

Key ideas

• The signal averages a rolling price z-score and a rescaled, smoothed stochastic oscillator.
• Long and short entries occur when the combined reading crosses configured positive or negative thresholds.
• A cooldown counter is intended to limit repeated signals in the same direction.
• The source gives strategy settings but no backtest results or evidence of performance.

Tags

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