Balance
The percentage ratio of the values of two indicators.
For example, the balance of buys to sells can be calculated as:
Balance = (Buys * 100) / (Buys + Sells)
The balance changes in percentage terms. The balance indicator ranges from 0 to 100.
Standard Deviation
A statistical metric that measures how much an asset's price fluctuates relative to its average value over a specific period. This metric helps assess the degree of price volatility: the higher the standard deviation, the greater the price fluctuations, and vice versa.
Applications in trading and analysis:
Trade Planning: Traders can use standard deviation to set stop-loss and take-profit levels based on the expected volatility of an asset.
Z-score
Z-score is a statistical metric that shows how far and in which direction a particular value is from the mean of a data set, measured in units of standard deviation. It helps identify whether a value is "normal" (close to the mean) or "anomalous" (significantly deviating from the mean).
How to interpret Z-score:
Z = 0: The value matches the mean.
Z > 0: The value is above the mean (positive deviation).
Z < 0: The value is below the mean (negative deviation).
Large absolute Z-values ( |Z| > 2 or |Z| > 3) indicate that the value significantly differs from the mean and may be an anomaly.
Applications of Z-score in the Market:
Anomaly Detection: Z-score helps identify outlier values that may indicate sharp trend changes or unusual volatility.
Risk Assessment: Used for calculating and analyzing risks by evaluating how far the current price or volume differs from historical values.
Trading Strategies: Z-score is employed in certain strategies to enter or exit positions when the price deviates from the mean (e.g., in pairs trading to assess deviations in the price of a coin pair).
Example Calculation of Z-score for an Asset's Price:
If today’s asset price is 105, the average price over the last 30 days is 100, and the standard deviation is 2, then the Z-score is:
Z-score = (105 - 100) / 2 = 2.5
This means today’s price is 2.5 standard deviations above the average, which can be considered a significant deviation.