StockFetcher Forums · General Discussion · Z-Score<< >>Post Follow-up
snappyfrog
661 posts
msg #160616
Ignore snappyfrog
modified
10/11/2023 9:11:49 AM

Here is my take on using the Z-score for finding mean reversions.

"In most large data sets (assuming a normal distribution of data), 99.7% of values lie between -3 and 3 standard deviations, 95% between -2 and 2 standard deviations, and 68% between -1 and 1 standard deviations."

I sort by Z-score, typically looking for stocks below -2 deviations.


Fetcher[
market is not otcbb
market is not etf
price > 5
avgvol(30) > 1000000

set{var1, ema(200)}
set{var2, close - var1}
set{zscore, var2 / Standard Deviation(200)}
draw zscore line 1.5
draw zscore line -1.5
add column separator
add column zscore
]



Mactheriverrat
3,136 posts
msg #160618
Ignore Mactheriverrat
10/11/2023 5:28:48 PM

Thanks for the code!

StockFetcher Forums · General Discussion · Z-Score<< >>Post Follow-up

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