This indicator visualizes in a straight forward way the distance price is away from the mean in absolute standard deviations (Z-score) over a certain lookback period (can be configured). Additionally I've included a moving average of the distance, the MA type can be configured in the settings.
Personally using this indicator for some of my algo mean reversion strategies. Price reaching the extreme treshold (can be configured in settings, standard is 3) could be seen as a point where price will revert to the mean.
I've included alerts for when price crosses into extreme areas, as well as alerts for when crosses back into 'normal' territory again. Both are also plotted on the indicator through background coloring/shapes.
Since I've learned so much from other developers I've decided to open source the code. Let me know if you have any ideas on how to improve, I'll see if I can implement them.
Enjoy!
Phát hành các Ghi chú
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Updated to Pine v5
Line now colors red/lime if Z-score is above/below treshold to increase visibility
For the zscore_mean, instead of using SMA, can you include the option of using a fixed starting candle to calculate the mean (average) ? For instance, the first candle of the week. First candle = 1.25, mean of first candle = 1.25/1 = 1.25 Second candle = 1.30, mean of second candle = (1.25+1.30)/2 = 1.275 Third candle = 1.50, mean of third candle = (1.25+1.30+1.50)/3 = 1.35 and so on...
First candle = 1.25, mean of first candle = 1.25/1 = 1.25
Second candle = 1.30, mean of second candle = (1.25+1.30)/2 = 1.275
Third candle = 1.50, mean of third candle = (1.25+1.30+1.50)/3 = 1.35
and so on...