NUMEX Z-Score Reversal
Mean-reversion strategy on Renko bricks: entry after a Z-score extreme, with a fixed stop and target.
- Type
- Strategies
- Market
- MES
- Platform
- NinjaTrader 8
- Deliverable
- .cs file or compiled export
Logic
NUMEX Z-Score Reversal is a mean-reversion strategy for Renko charts (ninZaRenko). It measures how far the typical price sits from its 100-brick average, in standard deviations.
When a bullish brick closes with a Z-score above the threshold, the strategy arms a short. When a bearish brick closes below the negative threshold, it arms a long. An orange triangle marks the arming. The entry comes on the close of the first opposite-colour brick, a sign that the leg is running out of steam. If the Z-score crosses to the other side first, the setup is cancelled.
Each position carries a fixed stop and target in ticks. One position at a time, calculated on brick close, with an automatic exit 30 seconds before the session ends.
Features
- Z-score of the typical price over 100 bricks
- Arms beyond the threshold: short above, long below
- Entry on the first opposite-colour brick
- Arming cancelled if the Z-score flips to the other side
- Fixed stop and target in ticks
- Automatic exit before the session ends
Parameters
- Z threshold (default 2.0)
- Target (default 120 ticks)
- Stop (default 80 ticks)
- Quantity (default 1)
- Allow longs / shorts (default yes)
Screenshots
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