ZScoreAnalysis

Library "ZScoreAnalysis"
Z-score analysis for detecting statistical deviations and excess market behavior

calculate_zscore(source, lookback, threshold, switch_enabled)
Calculate Z-score and related metrics with history tracking
Parameters:
source (float): Data source for Z-score calculation
lookback (int): Lookback period for mean and standard deviation
threshold (float): Z-score threshold for significance
switch_enabled (string): Enable/disable switch ("Enabled"/"Disabled")
Returns: [z_score, z_hist, z_avg] Z-score, historical significant values, and running average

get_zscore_threshold(opt, input_thr, avg)
Get threshold based on threshold option
Parameters:
opt (string): Threshold option ("User Input Threshold", "Average as Threshold", or other)
input_thr (float): User input threshold
avg (float): Average threshold
Returns: Calculated threshold value

is_zscore_filtered(switch_enabled, zscore, threshold)
Check if a metric passes the Z-score filter
Parameters:
switch_enabled (string): Enable/disable switch
zscore (float): Current Z-score value
threshold (float): Z-score threshold
Returns: True if filtered (exceeds threshold)

get_consecutive_distances(body_dir, breakout_dir, is_inside_bar)
Calculate consecutive distances for Z-score analysis
Parameters:
body_dir (int): Body direction
breakout_dir (int): Breakout direction
is_inside_bar (bool): Inside bar flag
Returns: [consecutive_close_dist, consecutive_hl_dist]

get_trend_to_mean_distance()
Calculate distance from trend to mean for momentum analysis
Returns: Distance between trend and mean

get_all_zscores(lookback, threshold, bar_dist_switch, body_dist_switch, chl_dist_switch, cc_dist_switch, m_dist_switch, body_dir, breakout_dir, is_inside_bar)
Get all Z-score calculations for the indicator
Parameters:
lookback (int): Z-score lookback period
threshold (float): Z-score threshold
bar_dist_switch (string): Enable bar distance Z-score
body_dist_switch (string): Enable body distance Z-score
chl_dist_switch (string): Enable consecutive highs/lows Z-score
cc_dist_switch (string): Enable consecutive closes Z-score
m_dist_switch (string): Enable momentum distance Z-score
body_dir (int): Body direction
breakout_dir (int): Breakout direction
is_inside_bar (bool): Inside bar flag
Returns: [z_results] Array of Z-score results and filters

get_combined_zscore_filters(z_filters)
Get combined Z-score filters
Parameters:
z_filters (map<string, bool>): Map of individual Z-score filters
Returns: [combined_filters] Various combinations of Z-score filters

get_basic_distances()
Calculate basic distances used in Z-score analysis
Returns: [bar_dist, body_dist] Bar range and body range

get_individual_zscore_filter(z_filters, filter_name)
Get individual Z-score filter by name
Parameters:
z_filters (map<string, bool>): Map of Z-score filters
filter_name (string): Name of the filter ("bar_dist", "body_dist", etc.)
Returns: Boolean filter result

has_any_zscore_signal(z_filters)
Check if any Z-score filter is active
Parameters:
z_filters (map<string, bool>): Map of individual Z-score filters
Returns: True if any Z-score exceeds threshold

Release Notes

Pine library

In true TradingView spirit, the author has published this Pine code as an open-source library so that other Pine programmers from our community can reuse it. Cheers to the author! You may use this library privately or in other open-source publications, but reuse of this code in publications is governed by House Rules.

alkaisme

Disclaimer

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Pine library

alkaisme