StockSharp.Strategies.0218_ZScore_Reversal.py 5.0.0

Prefix Reserved 
dotnet add package StockSharp.Strategies.0218_ZScore_Reversal.py --version 5.0.0
                    


                    

                
NuGet\Install-Package StockSharp.Strategies.0218_ZScore_Reversal.py -Version 5.0.0
This command is intended to be used within the Package Manager Console in Visual Studio, as it uses the NuGet module's version of Install-Package. 
<PackageReference Include="StockSharp.Strategies.0218_ZScore_Reversal.py" Version="5.0.0" />
For projects that support PackageReference, copy this XML node into the project file to reference the package. 
<PackageVersion Include="StockSharp.Strategies.0218_ZScore_Reversal.py" Version="5.0.0" />
                    


                            Directory.Packages.props
                        

                    

                
<PackageReference Include="StockSharp.Strategies.0218_ZScore_Reversal.py" />
                    


                            Project file
For projects that support Central Package Management (CPM), copy this XML node into the solution Directory.Packages.props file to version the package. 
paket add StockSharp.Strategies.0218_ZScore_Reversal.py --version 5.0.0
                    


                    

                
#r "nuget: StockSharp.Strategies.0218_ZScore_Reversal.py, 5.0.0"
#r directive can be used in F# Interactive and Polyglot Notebooks. Copy this into the interactive tool or source code of the script to reference the package. 
#:package StockSharp.Strategies.0218_ZScore_Reversal.py@5.0.0
#:package directive can be used in C# file-based apps starting in .NET 10 preview 4. Copy this into a .cs file before any lines of code to reference the package. 
#addin nuget:?package=StockSharp.Strategies.0218_ZScore_Reversal.py&version=5.0.0
                    


                            Install as a Cake Addin
                        

                    

                
#tool nuget:?package=StockSharp.Strategies.0218_ZScore_Reversal.py&version=5.0.0
                    


                            Install as a Cake Tool

ZScore Reversal Strategy (Python Version)

The ZScore Reversal strategy measures how far price deviates from a moving average in terms of standard deviations. The resulting Z-Score highlights statistically stretched conditions that may snap back toward the mean.

A trade is opened long when the Z-Score falls below a negative threshold, signalling an oversold market. A short trade is taken when the Z-Score rises above the positive threshold. The position is closed once the Z-Score crosses back through zero, indicating price has normalized.

This technique is attractive for mean reversion traders who prefer objective entry levels. The stop-loss percentage keeps adverse moves manageable while waiting for the reversion.

Details

  • Entry Criteria:
    • Long: Z-Score < -Threshold
    • Short: Z-Score > Threshold
  • Long/Short: Both sides.
  • Exit Criteria:
    • Long: Exit when Z-Score crosses above 0
    • Short: Exit when Z-Score crosses below 0
  • Stops: Yes, percent stop-loss.
  • Default Values:
    • LookbackPeriod = 20
    • ZScoreThreshold = 2.0m
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(10)
  • Filters:
    • Category: Mean Reversion
    • Direction: Both
    • Indicators: Z-Score
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk Level: Medium
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Version Downloads Last Updated
5.0.0 274 7/20/2025