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Here is a super simple indicator with dozens of applications. Similar to AggM, the AggZ is a composite trend and mean-reversion indicator rolled into one. The concept of both is to anchor a long term trending measure to a short-term mean-reverting measure so that you can have an indicator that can be traded for both long and short-term intervals. The AggZ did 20% CAGR over the last 2000 bars on the CAGR using dividend adjusted data on the SPY. The calculation is dead simple:
AggZ= (-1x( 10-day z-score)+(200-day z-score))/2
where z-score = (close-sma (closing prices over last n periods))/(standard deviation( closing prices over last n periods))
Basic Strategy on SPY: buy above 0, sell below 0.
You can optimize both variables.
Author: David Varadi/ CSS Analytics
http://cssanalytics.wordpress.com/2010/03/19/aggz-another-composite-trendmean-reversion-indicator/
Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.
