AggZ: Another Composite Trend/Mean Reversion Indicator
Author: Eugene
Creation Date: 3/19/2010 11:57 AM
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Eugene

#1
Today, David Varadi presented a new indicator: AggZ: Another Composite Trend/Mean Reversion Indicator

QUOTE:
AggZ= (-1x( 10-day z-score)+(200-day z-score))/2

where z-score = (close-sma (closing prices over last n periods))/(standard deviation( closing prices over last n periods))


CODE:
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mikesblack

#2
Any ideas on how using ROC vs Price would effect this indicator?

QUOTE:
where z-score = (close-sma (closing prices over last n periods))/(standard deviation( closing prices over last n periods))


e.g.
CODE:
Please log in to see this code.

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Eugene

#3
In this case, when I replace Bars.Close to ROC(Close,1), it starts firing trades like mad (a 5x increase) and becomes overall loser...