Z-Score Momentum Signals with ATR Stops and Risk-Reward Targets
Summary
This strategy combines unusual volume or candle-body readings with candle direction and recent highs or lows to generate long and short signals. Z-scores are calculated against a moving average and standard deviation over a configurable lookback; the user can choose volume, body size, or a combination as the signal source. A signal requires a directional candle pattern and a Z-score meeting the stated threshold. The system then sets a stop using both a recent two-bar extreme and an ATR-based distance, selecting the more protective level, and calculates a profit target using a risk-reward multiple.
The published settings describe an ETH/USDT spot-market backtest over several months, but the document provides no performance results. It flags sensitivity to thresholds and ATR settings, fewer signals in quiet markets, slippage in fast markets, and false breakouts in ranges. It proposes volatility filters, higher-timeframe confirmation, additional indicators, and risk-based position sizing. These are suggested enhancements; the material does not establish that the combined signals or exits are profitable or robust across markets.
Key ideas
- Z-scores of volume and candle-body size are used to flag activity that is unusual relative to a lookback window.
- Candle color and comparisons with adjacent-bar highs or lows provide directional confirmation.
- Stops combine ATR distance with recent two-bar extremes, while targets scale the risk by a configured reward ratio.
- The ETH/USDT backtest settings are stated without reported performance metrics.
- Parameter sensitivity, low-volatility periods, slippage, and range-bound false signals are cited as limitations.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.