Strategies / S41
Z-Score Reversion
Buy two standard deviations under the mean, sell back at it.
Results
| Market class | Return | Holding | Sharpe | Max DD | Win rate | Trades |
|---|---|---|---|---|---|---|
| Crypto, 1d | +147% | +602% | 0.58 | -43.5% | 67.2% | 829 |
| Stocks, 1d | +542% | +28K% | 0.62 | -21.6% | 71.3% | 988 |
| Forex, 1d | +0.7% | +3.1% | 0.02 | -19.7% | 65.7% | 642 |
| Commodities, 1d | +91.7% | +1,833% | 0.30 | -42.2% | 67.5% | 530 |
| Indices, 1d | +124% | +878% | 0.33 | -38.6% | 72.1% | 610 |
The exact rule
- Go long when close - SMA(20) / standard deviation(20) is below -2.
- Exit the long when close - SMA(20) / standard deviation(20) is above 0.
- Declared timeframe: 1d.
Explain it with Ask AI (Premium, on a desktop)
Watch it trade
This runs the same engine in your browser on the latest candles, with your own costs. Press Replay to watch every entry and exit arrive bar by bar.
Download
Pine ScriptFor TradingView
Paper botRuns on the Bot API, no real money
Python backtestOne file, no dependencies
READMEThe rule in plain words
Want it to run by itself? Read the automate guide, and use paper money first.
Related strategies
Three Down ClosesBuy after three lower closes in a row, hold five bars.Close Near The LowBuy a close in the bottom fifth of the bar, in an uptrend.Volume Climax ReversalBuy a heavy down bar on three times the volume, hold five bars.
Research, not advice. Past results do not predict future ones. Results run to 2026-10-31.