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.
Release Notes
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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
Release Notes
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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.
Man, absolutely love this one. Thanks for putting it together. I paired it with McGinley Fan (13, 26, 52) and it works like a charm
akashgarhwal
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@kviateq, how are you using it with which instrument ??
michisuperfreak
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Can't wait to play with it, Thank you mate
mcbw_
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Would be super interesting to see this with dynamic weightings
DonovanWall
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@mcbw_, A dynamic weighting would potentially deliver an interesting result. However, the reason for the equal weightings is that I wanted equal emphasis on long and short term parts.
I could always incorporate different weighting options though, so I'll play around with some different methods for weighting and incorporate any useful ones in an update.
DonovanWall
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@mcbw_ , The script now has four weighting options.
mcbw_
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Hey @DonovanWall ! I am very excited to test this out and see what new possibilities there are. Thanks for throwing this in! Always solid work
Would love to test this out more - I'm wondering if there's anyway this can be converted to a Strategy/Backtester script I can have a play with? I've gave it a go and it's obviously way over my head as my strategy work only incorporates basic 2-line cross based indicators at this stage...
PickEmDan
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Found this gem in the rough. Wonderfull work my friend. Bravo.
Yelian
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Awesome script! Is it just me or does the average z-score does not show?