StockFetcher Forums · Filter Exchange · Mean-Reversion Z-score System<< >>Post Follow-up
stocktrader
293 posts
msg #55694
Ignore stocktrader
modified
10/14/2007 4:51:44 PM

See the latest Active Trader magazine for tests and usage.

Post your additions or comments.

Fetcher[/* Active Trader - November 2007 */
/* Testing the mean-reversion z-score system */

/* ZLength = 4 */
/* BuyLevel = -1.60 */
/* HoldDays = 5 */

apply to symlist(XLU,XLB,XLE,XLF,XLI,XLK,XLP,XLY,XLV)

set{zscoreb,close - CMA(close,4)}
set{zscore, zscoreb / standard deviation(4)}

set{zenith, 1}
set{nadir,-1.60}

set{zcross, count(zscore below nadir,1)}

draw zscore
draw zenith on plot zscore
draw nadir on plot zscore
draw zcross

add column zscore
add column zcross
Sort column 5 ascending

and chart-length is 6 months
]



stocktrader
293 posts
msg #55705
Ignore stocktrader
10/15/2007 10:47:01 AM

http://www.activetradermag.com/strategy.htm

TheRumpledOne
6,362 posts
msg #55717
Ignore TheRumpledOne
modified
10/15/2007 7:43:58 PM

Fetcher[
/* Active Trader - November 2007 */
/* Testing the mean-reversion z-score system */

/* ZLength = 4 */
/* BuyLevel = -1.60 */
/* HoldDays = 5 */

apply to symlist(XLU,XLB,XLE,XLF,XLI,XLK,XLP,XLY,XLV)

set{zscoreb,close - CMA(close,4)}
set{zscore, zscoreb / standard deviation(4)}

set{zenith, 1}
set{nadir,-1.60}

set{zcross, count(zscore below nadir,1)}

draw zscore
draw zenith on plot zscore
draw nadir on plot zscore
draw zcross

add column zscore
add column zscore 100 day high {Z100HI}
add column zscore 100 day low {Z100LO}
add column zcross
Sort column 5 ascending

and chart-length is 6 months
]




Thought it might help to have the zscore 100 day high/low.

Of course, you can then compute current zscore's position in the range....



stocktrader
293 posts
msg #55733
Ignore stocktrader
10/15/2007 9:47:15 PM

Thanks.

2 of these crossed today......
We'll see if they are gainers at the 5 day hold close.

Have not tested this other than the ETF's per the article.

TheRumpledOne
6,362 posts
msg #55734
Ignore TheRumpledOne
modified
10/15/2007 9:51:38 PM

10/15/2007 7:43:58 PM


Fetcher[
/* Active Trader - November 2007 */
/* zscore crossed above 0 */

/* ZLength = 4 */
/* BuyLevel = -1.60 */
/* HoldDays = 5 */

set{zscoreb,close - CMA(close,4)}
set{zscore, zscoreb / standard deviation(4)}

set{zenith, 1}
set{nadir,-1.60}

set{zcross, count(zscore below nadir,1)}

draw zscore
draw zenith on plot zscore
draw nadir on plot zscore
draw zcross

add column zscore
add column zscore 100 day high {Z100HI}
add column zscore 100 day low {Z100LO}
add column zcross

zscore crossed above 0

market is nasdaq

volume above 1000000

Sort column 5 ascending

and chart-length is 6 months
]



StockFetcher Forums · Filter Exchange · Mean-Reversion Z-score System<< >>Post Follow-up

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