Z-Score

Description

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: slidingZScoreAnalytics
  window listeners:
    - zscore normalization:
        attributes: [ ask, bid ]
  policy:
    type: slidingTime
    slide: 500
    window size: 2500

Output attributes

Event output attributes from the above example.

  • ask_ZSCORE

  • bid_ZSCORE

Postfix ID

Applied to attribute

  • ZSCORE

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