Z-Score

Objective

A Z-Score is a statistical measurement of a score's relationship to the mean in a group of scores. A Z-score can reveal to a trader if a value is typical for a specified data set or if it is atypical. In general, a Z-score of -3.0 to 3.0 suggests that a stock is trading within three standard deviations of its mean.

Example

time window:
  emitting type: slidingZScore
  window functions:
    normalization:
      function:
        zscore: {}
      attributes: [ ask,bid ]
  policy:
    type: slidingTime
    slide: 500
    window size: 2500

Output attributes

Event output attributes from the above example.

• ask_ZSCORE

• bid_ZSCORE

Response variable

List of calculated double values.

Postfix ID

Applied to attribute

• ZSCORE