Z-Score

Category: momentum, volatility

Calculates the number of standard deviations a data point is from its moving average, providing a standardized measure of price extremity.

Formula

Z = (Price - \text{SMA}(Price, n)) / \sigma_{n} \\ \text{where } \sigma \text{ is either Population or Sample standard deviation.}

Inputs

• Length (default: 14)
• Standard Deviation (default: Sample)
• Source (default: close)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.