Syntax
public ZScore(DataSeries ds, int period, WealthLab.Indicators.StdDevCalculation type, string description)
public static ZScore Series(DataSeries ds, int period, WealthLab.Indicators.StdDevCalculation type)Parameter Description
| ds | DataSeries |
| period1 | Lookback period |
| type | StdDevCalculation.Population or StdDevCalculation.Sample |
Description
Z-Score is a statistical measurement of a DataSeries' relationship to the mean (average) of a group of values, measured in terms of standard deviations from the mean. If a Z-Score is 0, it indicates that the data point's score is identical to the mean score. A Z-Score of 1.0 would indicate a value that is one standard deviation from the mean. Z-Scores may be positive or negative, with a positive value indicating the score is above the mean and a negative score indicating it is below the mean.
Calculation
Interpretation
Example
Please refer to article in
S&C May 2019 issue, "Backtesting A Mean-Reversion Strategy In Python (Garner)"