Правило Indicator Z-Score

Indicator Z-Score builds a trailing series of an indicator (RSI or ATR %), then scores the latest value as a z-score vs that lookback. Buy when z ≤ −threshold; sell when z ≥ +threshold.

Use it when you want the same statistical language as Price Z-Score / Return Z-Score, but on RSI or volatility level instead of price or returns.

Когда использовать

• Mean-revert on RSI extremes with a z threshold that travels across symbols
• Flag unusually high or low ATR% (volatility spikes or compressions)
• As a filter: only allow pending sides that match the indicator z fire

Что настроить в приложении

• Indicator — rsi or atrPct (ATR as percent of close)
• Period — indicator length (default 14)
• Lookback — bars for mean and σ of the indicator (default 20)
• Z threshold — magnitude that triggers buy/sell (default 2)

Warm-up bars (and zero-σ windows) do not fire.

Советы

• ATR% needs high/low/close history; RSI needs closes only.
• Lower thresholds fire more often; start near 2 and backtest.
• Invert swaps buy and sell (or the filter agreement side).

Связанные материалы

• Price Z-Score rule
• Return Z-Score rule
• RSI rule
• ATR breakout rule
• Strategy rules overview