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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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Category: NinjaTrader 8 Indicators and More 


May 9th, 2018
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Keywords: normalized oscillator standarddeviation volatility zscore
LogReturnsZScore 4 *
This indicator plots the z-score of the log returns of a time series. It can be used to indicate periods of high and low volatility.

Ver 1.00 posted 20 June 2010

NT7b17 compile


Category The Elite Circle 
 
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Category: The Elite Circle 


June 19th, 2010
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Keywords: mxasj volatility zscore
ZScore
A ZScore indicator for NT7. ZScore looks at deviations from the moving average, and this plots an oscilator in a new panel. Note in the attached chart where Bollinger channels are breached and where ZScore lines are breached. Help make it better!

Changelog:

4 March 2010: Version 2.00 posted.
22 April 2010: Version 3.00 posted. Revamp of code, same calculation logic.

Compatability:

NT7 Only


Category The Elite Circle 
 
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April 22nd, 2010
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Keywords: oscilator zscore mxasj bollinger ma
 


 
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