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AggZ: Another Composite Trend/Mean Reversion Indicator

March 19, 2010

Here is a super simple indicator with dozens of applications. Similar to AggM, the AggZ is a composite trend and mean-reversion indicator rolled into one. The concept of both is to anchor a long term trending measure to a short-term mean-reverting measure so that you can have an indicator that can be traded for both long and short-term intervals. The AggZ did 20% CAGR over the last 2000 bars on the CAGR using dividend adjusted data on the SPY. The calculation is dead simple:

AggZ= (-1x( 10-day z-score)+(200-day z-score))/2

where z-score = (close-sma (closing prices over last n periods))/(standard deviation( closing prices over last n periods))

buy above 0, sell below 0 as a basic strategy.

Users may try different variations of z-lengths as well as entry/exits. On a side note, expect DV Indicators for Amibroker to be out next week—we are finally done! More information to follow.

11 Comments leave one →
  1. quant.this permalink
    March 19, 2010 6:08 am

    What is the x?

  2. quant.this permalink
    March 19, 2010 6:18 am

    duh, -1 x (

    So used to never seeing a multiplication sign in equations, sorry. Will be neat to run this through a rolling genetic optimizer.

  3. Mike permalink
    March 19, 2010 8:02 am

    Any word on an excel based platform for these indicators?

    • david varadi permalink*
      March 19, 2010 7:50 pm

      hi mike, we have an excel platform coming out next week barring any major hiccups. it should be very powerful with real-time capability and historical data downloads.
      best
      david

  4. dha3936420 permalink
    March 19, 2010 1:01 pm

    what about AggZ as way to reduce drawdowns in Livermore top 10 rotation sys

    • david varadi permalink*
      March 19, 2010 7:49 pm

      hehe–good idea! some of us are already looking into that :o)
      dv

  5. Jeff Pietsch permalink
    March 19, 2010 5:01 pm

    Rumor has it that DV is days away from offering all indicators in Amibroker with an Excel plug-in and charting package to boot. Are those rumors true?

    • david varadi permalink*
      March 19, 2010 6:57 pm

      Yes that is true. How did you know🙂

      DV

  6. Denis permalink
    March 20, 2010 2:12 am

    From 2000 to 2010, excellent results.
    From 1990 to 2000, nightmare !

    Denis

  7. Rajiv permalink
    March 20, 2010 11:06 pm

    What is the Amibroker code for this?

  8. Sam permalink
    March 27, 2010 9:19 pm

    I am using the “Zprob” function with Tradestation and can’t replicate the results:

    value9=(c-average(c,len))/standarddev(c,len,1);
    AggZ= (-1*( ZProb(value9, 10))+(ZProb(value9, 200)))/2;

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