Windowed Z-Score [WinZ]

Return to Complete List of Functions

The Windowed Z-Score function determines the statistical z-score of a value over a given period of time. Parameters ------------------ Data          The data to use for the calculation. Period        The number of bars of data to include in the calculation, including the current value.                   For example, a period of 3 uses the current bar and the two previous bars. Function Value ------------------------ The z-score calculates the number of standard deviations a value is from its current mean. Values above the mean result in positive values. Values below the mean result in negative values. This relates directly to the position of a value between its Bollinger Bands. Bollinger Bands functions provide a channel +/- two standard deviations wide around the mean. Therefore, a z-score of 2 indicates that the value is currently on its upper Bollinger Band (assuming the same data and period are used). Source ------------ This function is based on the article "Z-Score Indicator" by Veronique Valcu in the February 2003 issue of "Technical Analysis of Stocks and Commodities".