Using a JMA-Filtered Z-Score for Trading Signals
Summary
A z-score expresses how far an observation lies from its mean in standard deviation units. Positive values are above the mean, negative values below it, and zero corresponds to the mean. The document also gives familiar reference proportions for observations within one, two, and three standard deviations, while those proportions depend on a large set and should not be treated as guaranteed market behavior.
This indicator applies the calculation to a Jurik Moving Average (JMA) series, smoothing the price input before measuring its standardized distance. Setting the JMA period to one or less instead uses raw price, producing a less-smoothed version. The suggested signals are changes in the indicator’s slope color or crosses of its zero line. No parameter guidance, market examples, backtest results, or risk rules are supplied, so these are indicator interpretations rather than validated entry rules.
Key ideas
- A z-score measures distance from the mean in standard deviation units.
- Using JMA as the input smooths the price series before standardization.
- A JMA period of one or less switches the calculation to raw price.
- The document suggests slope color changes and zero-line crosses as possible signals.
- No empirical performance evidence or risk management rules are provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.