Trading RSI Signals Calculated from Price Z-Scores

Summary

This script transforms closing prices into rolling z-scores, applies RSI to that normalized series, and smooths the resulting oscillator with a selectable moving average. Inputs allow users to choose the z-score and RSI lookback lengths, smoothing length and type, and overbought, oversold, and midpoint levels. Entry modes include moving-average midpoint crosses, RSI-to-average crosses, and threshold-based signals; exits can be set at different points between the oscillator's overbought and oversold boundaries.

The source also declares commission, slippage, and a maximum-risk parameter, but the excerpt ends before the complete order and risk-management logic appears. It provides no market, test period, performance results, or discussion of signal behavior. A notable implementation detail in the shown calculation makes the z-score expression appear to return the standard deviation conditionally rather than the normalized price difference, which may materially affect the indicator. The strategy should therefore be understood as an incomplete script excerpt, not evidence of a validated trading method.

Key ideas

• The method applies RSI to a rolling price z-score rather than directly to price.
• A configurable moving average smooths the RSI output using several selectable averaging methods.
• Entry modes use oscillator midpoint crosses, RSI and average crosses, or overbought and oversold levels.
• Exit thresholds can be positioned at fractions of the range between the selected oscillator boundaries.
• The excerpt omits complete order logic and performance evidence, and its z-score formula appears questionable.

Tags

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