Multi Z Score [DW]

30 באוק׳ 2018

This is an experimental study using z scores of multiple sampling periods to analyze price trends.
Z score measures the number of standard deviations price is from its mean.

In this study, z scores are calculated over a Fibonacci sequence of sampling periods from 3 to 4181.
The scores are then averaged with equal weighting, resulting in a display of long term trend with short term sensitivity.

Custom bar colors are included. The color scheme is based on the perceived trend from the average z score.

16 בדצמ׳ 2018

הערות שחרור

Updates:

Added dynamic weightings to the script based on a request @mcbw_.
There are four weigting methods to choose from:
-> Equal Weights - The original method.
-> Volume Weights - Weights each Z score by its cumulative volume
-> Length Weights - Weights each Z score by its sampling period
-> Volatility Weights - Weights each Z score by its standard deviation of price over its respective sampling period

Added exponential smoothing to the script for a noise reduced result

Made some changes to the aesthetic:
-> Average Z Score is now plotted as columns
-> Individual Z Scores are now plotted as circles

17 בפבר׳ 2020

הערות שחרור

Updates:

-> Migrated to v4.
-> Rebuilt script and reorganized the structure.
-> Main calculations have been converted to functions.
-> Z-scores now have adjustable periods and toggle switches so you can customize your experience.
-> Fixed an issue with volume detection. Now, when volume weigths are being used, tick volume will automatically be used when real volume is NaN.
-> Added an option to invert the weights for average Z-score. Enabling this will place heavier weighting on shorter term data. This does not affect the output when equal weights are used.
-> Revamped color scheme.