StockSharp.Strategies.0218_ZScore_Reversal

ZScore Reversal Strategy (C# Version)

The ZScore Reversal strategy measures how far price deviates from a moving average in terms of standard deviations. The resulting Z-Score highlights statistically stretched conditions that may snap back toward the mean.

Testing indicates an average annual return of about 91%. It performs best in the stocks market.

A trade is opened long when the Z-Score falls below a negative threshold, signalling an oversold market. A short trade is taken when the Z-Score rises above the positive threshold. The position is closed once the Z-Score crosses back through zero, indicating price has normalized.

This technique is attractive for mean reversion traders who prefer objective entry levels. The stop-loss percentage keeps adverse moves manageable while waiting for the reversion.

Details

• Entry Criteria:
  • Long: Z-Score < -Threshold
  • Short: Z-Score > Threshold
• Long/Short: Both sides.
• Exit Criteria:
  • Long: Exit when Z-Score crosses above 0
  • Short: Exit when Z-Score crosses below 0
• Stops: Yes, percent stop-loss.
• Default Values:
  • LookbackPeriod = 20
  • ZScoreThreshold = 2.0m
  • StopLossPercent = 2m
  • CandleType = TimeSpan.FromMinutes(10)
• Filters:
  • Category: Mean Reversion
  • Direction: Both
  • Indicators: Z-Score
  • Stops: Yes
  • Complexity: Intermediate
  • Timeframe: Intraday
  • Seasonality: No
  • Neural networks: No
  • Divergence: No
  • Risk Level: Medium