AggZ: Another Composite Trend/Mean Reversion Indicator
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.