We spent countless hours working to create an indicator that would allow us to use the data that the ZScore provides in a visual format for us to determine what, when and for how long to trade a particular instrument. The ZScore Indicator Suite is available for rental use for the MT5 platform
If you are new to this website, we highly recommend you go through the following post in numerical order in order for you to familiarize with the concept and potential uses of the ZScore indicator suite
The ZscoreSuite offers to calculate & illustrate the Zscore not only of Price, but of Moving Averages, Standard Deviations & Volume in the form of a Histogram combined with a moving average of the Zscore which serves as a signal line to better determine entries or exits when these two cross.
The following 4 modes are available within the ZScore Indicator Suite:
1) Classic (Calculates ZScore of Price), in this mode you can see whether price is above or below the mean average (period of your choice) determined by a + or – value. The value itself represents a Standard Deviation multiplier. In essence it tells you how much Price is currently deviated from such Moving Average.
2) Average (Calculates the ZScore of an Average, instead of price) in this mode you can see whether an Average of your choice (ideally a short period moving average), instead of Price, is above or below the mean average (A slow moving average, period of your choice) determined by a + or – value. The value itself represents a Standard Deviation multiplier. In essence it tells you how much a Short Period Moving Average is currently deviated from the Long Period Moving Average. The idea here was to eliminate noise of price by using an average instead of Price itself. In this mode one can easily identify Moving Average Crossovers since any crossing of the ZERO line signifies a crossing of the averages.
3) ZDev (Calculates ZScore of Standard Deviation), in this mode you can see whether the actual Standard Deviation is above or below the mean average of the Standard Deviation (period of your choice) determined by a + or – value. The value itself represents a Standard Deviation multiplier. In essence it tells you how much the Standard Deviation is currently deviated from the Average. A low reading of below -1.00 simulates the Bollinger Band Squeeze, a time of price consolidation that is bound to break. Ideally you want to enter trades when the ZDEV is increasing. Strategies where price is trending sideways will benefit when the ZDEV is decreasing as it signifies price entering consolidation mode.
4) Volume (Calculates ZScore of Tick Volume, Volume Delta or Cumulative Volume Delta), in this mode you can see whether Volume is above or below the mean average (period of your choice) determined by a + or – value. The value itself represents a Standard Deviation multiplier. In essence it tells you whether Volume is currently above or below the average of Volume for such period. As explained in the Volume ~ The Fuel of Price article a good Volume indicator is a must have for any trader.
5) ZTrend Index is a new mode recently added and explained in our Trend Strength Indicator post. It basically gives you a clear picture of whether an trading instrument is trending or not for a particular period/timeframe.
I would like to give credits to: Brian Twomey, FX trader & author, without whom I would be clueless about ZScore & statistics in trading and to Igor Durkin, Master MQL developer, without whom this project would not have been completed.