Strategies / Mean reversion / Weighted Average Z Score Reversion

Weighted Average Z Score Reversion

This idea buys when the price moves well below its recent average and begins turning back up. It closes the long when the z-score returns above a high level and starts falling, using one long position at a time.

Mean reversionLong onlySwingSilver1 hour

3.77Profit factor

537,148Net profit USD

62.80%Win rate

1,777Trades

-38,840Max drawdown

302Avg trade

Best run of 18. Silver, 1 hour, spread 2, from run pf:2026-10-12-SILVER-1h.tsv:18.

Entry rules, long

The z-score is higher than its value on the prior bar.
A long is opened only when no long position is already open.

Exit rules

No stop or target is coded.

Test conditions

Period	Up to 2026-10-12
Instrument	Silver, 1 hour
Spread	2 points
Starting capital	1,000,000
Costs	Spread only. Commissions and overnight financing are not included.
Bars	Up to 200,000 bars, fewer where the instrument has less history
Last tested	2026-10-12

Every run

Markets and timeframes tested

Market	Timeframe	PF	Trades	Win %	Net	Max DD
SilverBest run	1 hour	3.77	1,777	62.80	537,148 USD	-38,840
FTSE 100	Daily	2.17	196	78.06	11,394 EUR	-2,643
USD/JPY	4 hours	n/a	547	66.18	282,510 USD	-248,460
Dow Jones	Daily	n/a	241	76.35	29,166 EUR	-8,615
Nikkei 225	4 hours	n/a	397	70.03	23,922 USD	-11,536
Silver	Daily	n/a	204	69.61	20,564 USD	-11,221
Dow Jones	1 hour	n/a	635	69.76	17,886 EUR	-8,696
DAX 40	4 hours	n/a	489	69.94	17,439 EUR	-5,659
Nasdaq 100	4 hours	n/a	502	73.90	16,773 EUR	-5,641
Nasdaq 100	1 hour	n/a	1,835	66.76	14,448 EUR	-4,337
Nikkei 225	1 hour	n/a	1,424	63.34	12,767 USD	-10,860
Nasdaq 100	Daily	n/a	168	72.02	10,166 EUR	-4,522
DAX 40	Daily	n/a	224	67.41	10,131 EUR	-5,272
FTSE 100	1 hour	n/a	1,719	67.83	4,514 EUR	-2,692
S&P 500	4 hours	n/a	500	73.20	4,077 EUR	-1,384
FTSE 100	4 hours	n/a	457	68.05	3,628 EUR	-2,635
S&P 500	Daily	n/a	238	76.05	3,191 EUR	-1,098
S&P 500	1 hour	n/a	1,882	66.15	2,810 EUR	-1,088

Charts

Results by run

Top 10 of 18 runs. The full list is in the table above.

Above 1.0 made money, below 1.0 lost money.

The code

ProBuilder code, as tested

// ==============================================================
// Weighted Average Z Score Reversion
// ProRealAlgos Strategy Library  |  prorealalgos.com
// Type: Mean reversion
// Direction: Long only
// Timeframe tested: 1 hour
// ==============================================================

DEFPARAM CumulateOrders = false

ONCE rate = 0

fp = WeightedAverage[3](TotalPrice)
sd = STD[17](fp)
em = ExponentialAverage[17](fp)

13 more lines: the entry and exit rules.

Setup

How to load it

Copy the code with the copy button on the code block.
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".
Paste the code, give the system a name and save it.
Click "Backtest", set your own spread and position size, and run it before you consider trading it live.

Indicators used

WMAEMAStandard Deviation

Read this firstKnown weaknesses2 points

Results include the spread only. Commissions and overnight financing are not included.
The code is published as it was backtested and has not been compiled again since.

Questions

About this strategy

Can I run Weighted Average Z Score Reversion 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 18 market and timeframe combinations. The best run was Silver, 1 hour, with a profit factor of 3.77 over 1,777 trades.

How large was the drawdown?

The best run had a maximum drawdown of 38,840 USD at the tested position size, against a net result of 537,148 USD.

Does it trade long, short or both?

It only takes long trades.

Reversal Pattern With Chaikin Volatility

Uses the same indicator.

2.26 PF · 6,872 trades

SMA Crossover With RSI Exit

Best run on the same market, Silver.

2.13 PF · 8,999 trades

Turnaround Tuesday

Also a mean reversion strategy.

3.80 PF · 39 trades

See how ProRealAlgos combines strategies like this into one automated portfolio.

The ProRealAlgos community gets the full rules, the complete code and the automated portfolio.

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.com Stats Docs