Fast Z-Score

2019년 4월 19일

Introduction

The ability of the least squares moving average to provide a great low lag filter is something i always liked, however the least squares moving average can have other uses, one of them is using it with the z-score to provide a fast smoothing oscillator.

The Indicator

The indicator aim to provide fast and smooth results. length control the smoothness.

The calculation is inspired from my sample correlation coefficient estimation described here

Instead of using the difference between a moving average of period length/2 and a moving average of period length, we use the difference between a lsma of period length/2 and a lsma of period length, this difference is then divided by the standard deviation. All those calculations use the price smoothed by a moving average as source.



The yellow version don't divide the difference by a standard deviation, you can that it is less reactive. Both version have length = 200

Conclusion

I presented a smooth and responsive version of a z-score, the result could be used to estimate an even faster lsma by using the line rescaling technique and our indicator as correlation coefficient.

Hope you like it, feel free to modify it and share your results ! :)

Notes

I have been requested a lot of indicators lately, from mt4 translations to more complex time series analysis methods, this accumulation of work made that it is impossible for me to publish those within a short period of time, also some are really complex. I apologize in advance for the inconvenience, i will try to do my best !