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Z-score (amaZScore) 5 *
Version 1.3 September 25, 2017

The Z-score or standard score is a numerical measurement of a value’s relationship to the arithemic mean of the data set. The Z-score is the signed number of standard deviations by which the current value of a data point is above the mean value or below the mean value as calculated for the selected lookback period.

For a normally distributed sample 95.8% of the z-scores of all data points fall within the range [-2, +2]. A Z-score of 0 indicates that the data point is identical with the arithmetic mean of the data set.

The Z-score is a normalized oscillator that can be used to identify extreme readings of the input series. The Z-score is calculated by dividing the absolute difference between a data point and the arithmetic mean by the standard deviation.

One of the main applications of the Z-score is that it can be used to normalize any oscillator. For example, the MACD is a non-normalized oscillator which does not pass the c-test introduced by William Eckhardt. However, when the Z-score is used to normalize the MACD, the resulting oscillator uses a normalized scale and will pass the c-test. The normalized MACD is obtained, when the MACD is used as the input series for the Z-score.


Category NinjaTrader 8 Indicators and More 
 
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Details: Z-score (amaZScore)
Category: NinjaTrader 8 Indicators and More 


May 9th, 2018
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Keywords: normalized oscillator standarddeviation volatility zscore
Comments/ratings
4 * zohar May 10th, 2018 10:22 AM
thanks
5 * Botts May 11th, 2018 11:00 AM
thanks again for all you do.
5 * guidoisot May 11th, 2018 06:04 PM
Thanks
5 * tehuff May 19th, 2018 12:02 PM
an important indicator for systems; thanks for the conversion
5 * kiro June 15th, 2018 06:56 AM
Thanks Harry!
5 * dnkhoward2 August 24th, 2018 08:39 AM
Thank you Fat tails
5 * gregschr December 28th, 2020 08:10 AM
Thanks Bud!

 
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