Re: What, exactly, is Z-score?

[Essan Soobratty <trader@xxxxxxxxxxxxxx>]

Not sure if your formula is right or not.

To me the z-score is a measure of the tendancy for a particular trading system to
win (or lose!) in streaks.

Try the following website for further info (I have not affiliation):
www.moneysoftware.com.  Also there was an article not too long ago in either TASC
or Futures Mag - not too sure which one or when it appeared.

E.

CP4w@xxxxxxx wrote:

> z = particular score (e.g. price) - mean of scores (e.g. value of 10-moving
> average) divided by the standard deviation of the scores. z is a measure of
> variability and is related to probability (if the scores are assumed to be
> normally distributed). For example, if a score has a z-value of 1.0 that score
> is higher than 85% of the scores. The probability of a higher value is 0.15.
> The bottom line is that z can suggest the probability of a score occuring. If
> a stocks price has a probability of .05 it is a relatively rare event and some
> may consider it significant, suggesting a reliable breakout or something maybe
> occuring.
>
> Further, the prices of different stocks can be compared using z-values. If ABC
> has a z of 1.5 and XYZ has a z-value of 2, then the price of XYZ  is further
> from its mean than is ABC.