Studies · Statistical
Z-Score
zScore · Deviation from the rolling mean, in standard deviations
Drawn in its own panelReads one column (close here)Guide lines at -2, 0, 2
Hover the chart to read values · practice data: a seeded random walk with no overnight gaps
What it measures
How many standard deviations the price is from its moving average over the window. 0 is on the average, +2 is two standard deviations above it.
How traders use it
- Mean reversion: readings beyond ±2 mark prices that are stretched relative to their recent behaviour.
- Pairs and spread trading: the z-score of a spread is the usual trigger for entering and exiting.
- Because it is unit-free, it compares across instruments.
Parameters
| Name | Value | Default | Allowed | What it does |
|---|---|---|---|---|
| period | 20 | ≥ 1 usual 10–60 | Window for the average and the standard deviation. |