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Strategies / Mean reversion / Smoothed Z-Score Crossover

Smoothed Z-Score Crossover

Buys when the 3-bar average of a 3-bar z-score of close crosses above its 5-bar average, and sells when it crosses back below. Buys are skipped after 4 rising closes, sells after 4 falling closes, and triggers need 5 bars between them.

Mean reversionLong onlySwingDow JonesDaily
1.34Profit factor
39,631Net profit EUR
49.89%Win rate
1,808Trades
-6,273Max drawdown
21.92Avg trade

Best run of 5. Dow Jones, Daily, spread 3, from run pf:2026-10-13-DOW30-D.tsv:6.

Entry rules, long

  2. The last closes are not 4 consecutive rising closes.
  3. More than 5 bars have passed since the last entry trigger.
  4. Only when no long position is open.

Exit rules

  2. The last closes are not 4 consecutive falling closes.
  3. More than 5 bars have passed since the last exit trigger.
  4. Applies only while a long position is open.

Test conditions

PeriodUp to 2026-10-13
InstrumentDow Jones, Daily
Spread3 points
Starting capital1,000,000
CostsSpread only. Commissions and overnight financing are not included.
BarsUp to 200,000 bars, fewer where the instrument has less history
Last tested2026-10-13

Every run

Markets and timeframes tested

MarketTimeframePFTradesWin %NetMax DD
Dow JonesBest runDaily1.34 1,80849.8939,631 EUR-6,273
Dow Jones4 hoursn/a 1,32150.8715,548 EUR-8,951
Nasdaq 100Dailyn/a 1,39448.649,039 EUR-4,768
DAX 40Dailyn/a 1,87248.567,381 EUR-5,523
S&P 500Dailyn/a 1,87445.463,219 EUR-938

Charts

Results by run

Net profitMax drawdown

The code

ProBuilder code, as tested

// ==============================================================
// Smoothed Z-Score Crossover
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: Daily
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE myZ = 0
ONCE lastentry = -1000
ONCE lastexit = -1000

mean = Average[3](close)
sd = STD[3](close)

25 more lines: the entry and exit rules.

Setup

How to load it

  1. Copy the code with the copy button on the code block.
  2. In ProRealTime, open a chart of the instrument and timeframe you want to test, then open ProOrder > New trading system and choose "Create with programming".
  3. Paste the code, give the system a name and save it.
  4. Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

SMAStandard Deviation
Read this firstKnown weaknesses2 points
  • The code sets no stop loss, so a losing trade stays open until an exit signal arrives.
  • Results include the spread only. Commissions and overnight financing are not included.

Questions

About this strategy

Can I run Smoothed Z-Score Crossover in ProOrder?

Yes. The code is ProBuilder and runs as an automated ProOrder system. Backtest it on your own account with your own spread and position size before trading it live.

Which markets was it tested on?

It was tested on 5 market and timeframe combinations. The best run was Dow Jones, Daily, with a profit factor of 1.34 over 1,808 trades.

How large was the drawdown?

The best run had a maximum drawdown of 6,273 EUR at the tested position size, against a net result of 39,631 EUR.

Does it trade long, short or both?

It only takes long trades.

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Bollinger %B Reversal Long

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Copy trading on US indices is available to ProRealAlgos members as spots open.

Past backtest results do not guarantee future results. This is not financial advice. Curated and maintained by ProRealAlgos. ProRealTime™ is a trademark of ProRealTime SAS. prorealalgos.comStatsDocs