Multi Z-Score analysis
This indicator is a quick attempt to represent the distance of prices from their averages using the Zscore.
By using the DRAWTEXT graphical function in a loop, you can display a large amount of information at the same time.
The Zscore is calculated dynamically against several moving averages for as many “definition” periods. The variable “definition” is a multiplier.
What the indicator shows us is that the price both to return more quickly to its mean when few Zscore (1 Zscore = 1 point on the graph) exceeds a deviation of 2 standard deviations and that quickly, while many other points form a compact package.
Other observations could be formulated for different types of graphs, time horizons and ways to trade, I leave you the pleasure to test by yourself 🙂
//PRC_multipleZscore analysis | indicator
//26.06.2018
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge
//--- settings
period = 20
MAtype = 1
definition = 100
//--- end of settings
globalz=0
for i = 1 to definition do
avg = average[period*i,MAtype](customclose)
st = std[period*i](customclose)
zscore = (customclose-avg)/st
if zscore<0 then
r=255-(30*i)
g=0
drawtext(".",barindex,zscore,Dialog,Bold,20) coloured(max(r,100),g,0)
else
r=0
g=255-(30*i)
drawtext(".",barindex,zscore,Dialog,Bold,20) coloured(r,max(g,100),0)
endif
globalz=(globalz+zscore*i)/definition
next
smooth=average[period](globalz)
RETURN 0 coloured(100,100,100) style(dottedline), 2 coloured(100,100,100) style(dottedline), -2 coloured(100,100,100) style(dottedline), 4 coloured(100,100,100) style(dottedline), -4 coloured(100,100,100) style(dottedline), smooth
Comments
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So many variables to be returned! The indicator is dynamic by its settings, so you can't know how much variables it would return, that's why I used dots made with a graphic instruction. Zscore is pretty much the same as a standard deviation, so bollinger bands do already this job for you.
Dear Alfapenna, I just saw my reply of this morning to you, it is completely mixed up (?) So I give it another try to answer your question: however ZFactor of 4 is an extreme value . if zscore< -4 then //ADJUSTED; was if zscore 4 then //NEW LINE r=0 g=255-(30*i) drawtext(".",barindex,zscore,Dialog,Bold,20) coloured(r,max(g,100),0) endif endif //NEW LINE
Dear Alfapenna, I would think the following 3 additions/changes in the code will do; however 4 is an extreme value . if zscore <= -4 then (CHANGE INSTEAD OF = 4 then ( CHANGE ADDED LINE) r=0 g=255-(30*i) drawtext(".",barindex,zscore,Dialog,Bold,20) coloured(r,max(g,100),0) endif endif (CHANGE ADDED ADDITIONAL ENDIF)
Thank you