Z-Score Mean Reversion with RSI, Volatility, Trend, and ATR Controls

Summary

The visible portion describes a configurable mean-reversion strategy based on how far the closing price lies from its rolling average, measured in rolling standard deviations. Its stated entry thresholds call for longs at sufficiently negative readings and shorts at sufficiently positive readings. The design adds optional RSI confirmation, a Bollinger Band width filter to avoid low-volatility conditions, and an EMA trend filter that restricts long and short directions. It also defines optional ATR-based stops and targets, a signal cooldown, and a backtest toggle.

The excerpt ends during the core calculations, before the entry and exit implementation is shown. It gives parameter defaults and strategy settings, but no backtest period, performance report, asset scope, or empirical results. Consequently, the indicator choices and intended controls can be summarized, but their interaction, execution details, and effectiveness cannot be confirmed from the supplied text. Thresholds and filters are configurable, so behavior will depend on those settings and market conditions.

Key ideas

• The strategy measures price deviation from a rolling mean in standard deviation units.
• It uses configurable positive and negative Z-score thresholds to define intended short and long entries.
• Optional RSI, Bollinger Band width, and EMA filters add momentum, volatility, and trend conditions.
• Optional ATR stop and target levels complement exits based on a return toward the mean.
• The supplied excerpt omits the entry and exit implementation and provides no performance results.

Tags

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