Z-Score Signals: Rolling Mean and σ, Entry, Exit and Stop Levels
This lesson is part of the course
In this lesson
You measure the spread against its own last 20 days with a rolling mean and σ, turn it into a z-score and label each day as entry, exit, stop or hold.
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Lessons in this course
- Two Price Series: Normalising, Log Returns and a Correlation Written Out Locked
- The Hedge Ratio: SLOPE, the Intercept by Hand and the Spread Locked
- Is the Spread Mean-Reverting? A Regression Test Against a Fictional Table Locked
- Z-Score Signals: Rolling Mean and σ, Entry, Exit and Stop Levels Locked
- Half-Life of Mean Reversion: Sizing the Look-Back Window and the Holding Limit Locked
- Positions and P&L: A State Column, Units per Leg and the Daily Result Locked
- Costs and Capital: Trading Costs, Borrow Fees, Trade Count and Maximum Drawdown Locked
- Capstone: In-Sample vs Out-of-Sample, a Drifting Hedge Ratio and a Threshold Grid Locked