Get started
bronko791

MeanReversion - LogReturn/Vola ZScore

bronko791  
options statistics Volatility impliedvolatility meanreversion option quant returns statistic normaldistribution
14
0
options statistics volatility impliedvolatility meanreversion option quant returns statistic normaldistribution
Shows the z-Score of log-return (blue line) and volatility (black line). In statistics, the z-score is the number of standard deviations by which a value of a raw score is above or below the mean value.

This indicator aggregates z-score based on two indicators:

MeanReversion by Logarithmic Returns
MeanReversion by Logarithmic Returns

MeanReversion by Volatility
MeanReversion by Volatility

Change the time period in bars for longer or shorter time frames. At a daily chart 252 mean on trading year, 21 mean one trading month.


Protected script
This script is published closed-source but you may use it freely. You can favorite it to use it on a chart. You cannot view or modify its source code.
Disclaimer

The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.

Want to use this script on a chart?