The z-score is a way of counting the number of standard deviations between a given data value and the mean of the data set.
Z-score = (x̄ - μ) / (σ / √ n)
x̄ = sample mean (using the array.avg function = array(a,close), where i = 1 to 21) μ = population mean ( = avg(close, n)) σ = standard deviation of the population ( = stdev(close,n)) n = number of 'close' or trading day closes
n = input
... Note: The previous indicator is part of a larger series of indicators [statistical analysis of time series]
Thanks for sharing this indictor! Z-Score is brand new to me. How to usse it in trading?
luminaryfi
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@blackcat1402, There's really not much you can do with just the z-score in trading, but I'm going to add to the indicator. the next step will be to break it down (it gets pretty complex mathematically) into eigenvectors and eigenvalues, but the gist of it will be to show which specific days/times/second periods are causing the most volatility in the stock.