Z-Score Dynamic Bands: Free TradingView Indicator (Pine Script)

Add It to Your TradingView Chart

1Copy the scriptPress Copy script above, or the copy button on the code below.
2Open the Pine EditorOpen a TradingView chart and choose Pine Editor at the bottom of the screen.
3Paste over the templateCreate a new indicator, select all of the template text and paste. Press Save and give it a name.
4Add it to the chartPress Add to chart, then adjust the settings with the gear icon next to its name.

Source Code

227 lines of Pine Script v5 from deal-api/src/main/resources/PineScript/Z-Score Dynamic Bands.pine, published under MPL-2.0 (file header). Keep the author's credit and licence lines when you reuse it.

Z-Score Dynamic Bands.pine

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// Z-Score with Dynamic Bands
// Adapts band width based on volatility regime and Hurst exponent

//@version=5
indicator('Z-Score Dynamic Bands', 'Z-Dyn📈', precision=2, max_bars_back=1000)

// ══════════════════════════════════════════════════════════════════════════════
// INPUTS
// ══════════════════════════════════════════════════════════════════════════════
group1 = 'Z-Score Settings'
group2 = 'Dynamic Band Settings'
group3 = 'Display'

src = input.source(close, 'Source', group=group1)
lookback = input.int(50, 'Lookback Period', minval=10, maxval=500, group=group1)
maType = input.string('EMA', 'Mean Type', options=['SMA', 'EMA', 'WMA', 'VWMA'], group=group1)

// Dynamic band inputs
useAdaptive = input.bool(true, 'Use Adaptive Bands', group=group2, tooltip='Adjusts bands based on volatility regime')
volLookback = input.int(30, 'Volatility Lookback', minval=10, maxval=100, group=group2)
baseThreshold = input.float(2.0, 'Base Z-Score Threshold', minval=1.0, maxval=4.0, step=0.25, group=group2)
minThreshold = input.float(1.5, 'Minimum Threshold', minval=0.5, maxval=2.5, step=0.25, group=group2)
maxThreshold = input.float(3.0, 'Maximum Threshold', minval=2.0, maxval=5.0, step=0.25, group=group2)

// Display inputs
showHistogram = input.bool(true, 'Show Histogram', group=group3)
showTable = input.bool(true, 'Show Info Table', group=group3)
bgColor = input.bool(true, 'Dark Background', group=group3)
signalMode = input.string('Mean Reversion', 'Signal Mode', options=['Mean Reversion', 'Breakout'], group=group3)

bgcolor(bgColor ? color.new(#000000, 80) : na)

// ══════════════════════════════════════════════════════════════════════════════
// MOVING AVERAGE CALCULATION
// ══════════════════════════════════════════════════════════════════════════════

ma = switch maType
    'SMA' => ta.sma(src, lookback)
    'EMA' => ta.ema(src, lookback)
    'WMA' => ta.wma(src, lookback)
    'VWMA' => ta.vwma(src, lookback)
    => ta.sma(src, lookback)

// Standard deviation
stdev = ta.stdev(src, lookback)

// Z-Score calculation
zScore = stdev != 0 ? (src - ma) / stdev : 0

// ══════════════════════════════════════════════════════════════════════════════
// VOLATILITY REGIME DETECTION
// ══════════════════════════════════════════════════════════════════════════════

// Historical volatility (annualized)
logReturn = math.log(src / src[1])
hvol = ta.stdev(logReturn, volLookback) * math.sqrt(252) * 100

// Volatility percentile (where are we relative to history)
volPercentile = ta.percentrank(hvol, lookback)

// Volatility regime classification
isLowVol = volPercentile < 25
isHighVol = volPercentile > 75
isNormalVol = not isLowVol and not isHighVol

// ══════════════════════════════════════════════════════════════════════════════
// HURST EXPONENT (Simplified R/S Method)
// ══════════════════════════════════════════════════════════════════════════════

// Simple Hurst approximation using variance ratio
// H ≈ log(R/S) / log(n) where R/S is rescaled range
n = lookback
meanReturn = ta.sma(logReturn, n)

// Cumulative deviation
var float maxCumDev = 0.0
var float minCumDev = 0.0
var float cumDev = 0.0

if bar_index >= n
    cumDev := 0.0
    maxCumDev := 0.0
    minCumDev := 0.0
    for i = 0 to n - 1
        cumDev := cumDev + (logReturn[i] - meanReturn)
        maxCumDev := math.max(maxCumDev, cumDev)
        minCumDev := math.min(minCumDev, cumDev)

rescaledRange = maxCumDev - minCumDev
stdReturn = ta.stdev(logReturn, n)
rs = stdReturn != 0 ? rescaledRange / stdReturn : 0

// Hurst estimate (simplified)
hurstEstimate = math.log(n) != 0 ? math.log(rs + 0.0001) / math.log(n) * 0.5 + 0.5 : 0.5
hurstClamped = math.max(0.0, math.min(1.0, hurstEstimate))

// Mean reversion strength (inverted Hurst)
meanRevStrength = 1 - hurstClamped

// ══════════════════════════════════════════════════════════════════════════════
// DYNAMIC THRESHOLD CALCULATION
// ══════════════════════════════════════════════════════════════════════════════

float dynamicThreshold = baseThreshold

if useAdaptive
    // Adjust based on volatility regime
    volAdjustment = isHighVol ? 0.5 : isLowVol ? -0.3 : 0.0
    
    // Adjust based on mean reversion strength (lower threshold when mean reverting)
    hurstAdjustment = (meanRevStrength - 0.5) * 1.0  // Range: -0.5 to +0.5
    
    dynamicThreshold := baseThreshold + volAdjustment - hurstAdjustment
    dynamicThreshold := math.max(minThreshold, math.min(maxThreshold, dynamicThreshold))

// ══════════════════════════════════════════════════════════════════════════════
// SIGNALS
// ══════════════════════════════════════════════════════════════════════════════

// Mean Reversion signals (traditional)
mrOversold = zScore < -dynamicThreshold
mrOverbought = zScore > dynamicThreshold
mrBuySignal = ta.crossover(zScore, -dynamicThreshold)
mrSellSignal = ta.crossunder(zScore, dynamicThreshold)

// Breakout signals (opposite logic)
boLongSignal = ta.crossover(zScore, dynamicThreshold)
boShortSignal = ta.crossunder(zScore, -dynamicThreshold)

// Select based on mode
buySignal = signalMode == 'Mean Reversion' ? mrBuySignal : boLongSignal
sellSignal = signalMode == 'Mean Reversion' ? mrSellSignal : boShortSignal

// Extreme readings
extremeOversold = zScore < -3.0
extremeOverbought = zScore > 3.0

// ══════════════════════════════════════════════════════════════════════════════
// COLORS
// ══════════════════════════════════════════════════════════════════════════════

// Z-Score coloring
zColor = zScore > dynamicThreshold ? color.red : zScore < -dynamicThreshold ? color.lime : 
         zScore > 0 ? color.new(color.red, 60) : color.new(color.lime, 60)

// Band coloring (shows if adaptive)
bandColor = useAdaptive ? 
    (dynamicThreshold > baseThreshold ? color.orange : dynamicThreshold < baseThreshold ? color.aqua : color.yellow) : 
    color.yellow

// Regime background
regimeColor = hurstClamped < 0.45 ? color.new(color.green, 95) : 
              hurstClamped > 0.55 ? color.new(color.red, 95) : na

// ══════════════════════════════════════════════════════════════════════════════
// PLOTS
// ══════════════════════════════════════════════════════════════════════════════

// Background for regime
bgcolor(regimeColor)

// Z-Score plot
plot(zScore, 'Z-Score', color=zColor, linewidth=2, style=showHistogram ? plot.style_columns : plot.style_line)

// Dynamic threshold bands
plot(dynamicThreshold, 'Upper Threshold', color=bandColor, linewidth=1, style=plot.style_stepline)
plot(-dynamicThreshold, 'Lower Threshold', color=bandColor, linewidth=1, style=plot.style_stepline)

// Fixed reference lines
hline(0, 'Zero', color=color.new(color.white, 50), linestyle=hline.style_solid)
hline(3, 'Extreme +3σ', color=color.new(color.red, 70), linestyle=hline.style_dotted)
hline(-3, 'Extreme -3σ', color=color.new(color.lime, 70), linestyle=hline.style_dotted)

// Signals
plotshape(buySignal, 'Buy', shape.triangleup, location.bottom, color.lime, size=size.small)
plotshape(sellSignal, 'Sell', shape.triangledown, location.top, color.red, size=size.small)

// Extreme warnings
plotshape(extremeOversold, 'Extreme Oversold', shape.xcross, location.bottom, color.yellow, size=size.tiny)
plotshape(extremeOverbought, 'Extreme Overbought', shape.xcross, location.top, color.yellow, size=size.tiny)

// ══════════════════════════════════════════════════════════════════════════════
// INFO TABLE
// ══════════════════════════════════════════════════════════════════════════════

var table infoTable = table.new(position.top_right, 2, 6, bgcolor=color.new(#1a1a2e, 10), frame_color=color.gray, frame_width=1)

if barstate.islast and showTable
    // Z-Score
    table.cell(infoTable, 0, 0, 'Z-Score', text_color=color.white, bgcolor=color.new(color.gray, 50))
    table.cell(infoTable, 1, 0, str.tostring(math.round(zScore, 2)), text_color=zColor, bgcolor=color.new(zColor, 85))
    
    // Dynamic Threshold
    table.cell(infoTable, 0, 1, 'Threshold', text_color=color.white, bgcolor=color.new(color.gray, 50))
    table.cell(infoTable, 1, 1, '±' + str.tostring(math.round(dynamicThreshold, 2)), text_color=bandColor, bgcolor=color.new(color.gray, 70))
    
    // Volatility Percentile
    volColor = isHighVol ? color.red : isLowVol ? color.lime : color.gray
    table.cell(infoTable, 0, 2, 'Vol %ile', text_color=color.white, bgcolor=color.new(color.gray, 50))
    table.cell(infoTable, 1, 2, str.tostring(math.round(volPercentile, 0)) + '%', text_color=volColor, bgcolor=color.new(color.gray, 70))
    
    // Hurst Estimate
    hurstColor = hurstClamped < 0.45 ? color.lime : hurstClamped > 0.55 ? color.red : color.gray
    table.cell(infoTable, 0, 3, 'Hurst', text_color=color.white, bgcolor=color.new(color.gray, 50))
    table.cell(infoTable, 1, 3, str.tostring(math.round(hurstClamped, 2)), text_color=hurstColor, bgcolor=color.new(color.gray, 70))
    
    // Regime
    regimeText = hurstClamped < 0.45 ? 'Mean Revert' : hurstClamped > 0.55 ? 'Trending' : 'Random'
    table.cell(infoTable, 0, 4, 'Regime', text_color=color.white, bgcolor=color.new(color.gray, 50))
    table.cell(infoTable, 1, 4, regimeText, text_color=hurstColor, bgcolor=color.new(hurstColor, 85))
    
    // Signal state
    stateText = mrOverbought ? 'OVERBOUGHT' : mrOversold ? 'OVERSOLD' : 'NEUTRAL'
    stateColor = mrOverbought ? color.red : mrOversold ? color.lime : color.gray
    table.cell(infoTable, 0, 5, 'State', text_color=color.white, bgcolor=color.new(color.gray, 50))
    table.cell(infoTable, 1, 5, stateText, text_color=stateColor, bgcolor=color.new(stateColor, 85))

// ══════════════════════════════════════════════════════════════════════════════
// ALERTS
// ══════════════════════════════════════════════════════════════════════════════

alertcondition(buySignal, 'Buy Signal', 'Z-Score: Buy signal triggered')
alertcondition(sellSignal, 'Sell Signal', 'Z-Score: Sell signal triggered')
alertcondition(extremeOversold, 'Extreme Oversold', 'Z-Score: Extreme oversold (<-3σ)')
alertcondition(extremeOverbought, 'Extreme Overbought', 'Z-Score: Extreme overbought (>3σ)')
alertcondition(ta.cross(hurstClamped, 0.5), 'Regime Change', 'Z-Score: Market regime change detected')

Overview

Inputs set the lookback, volatility lookback, base, minimum and maximum thresholds, and a signal mode of mean reversion or breakout. A histogram, information table and dark background are optional. It plots in a separate pane and is a signal aid rather than a full strategy.

Z-score against SMA, EMA, WMA or VWMA
Adaptive thresholds from volatility regime
Mean reversion or breakout signal mode
Optional histogram and information table

Details

Published by

Teerth1 on GitHub

Type

Indicator, Pine Script v5

Draws

Separate pane below the chart

Markets

Any symbol

Timeframes

Any timeframe

Risk Notes

No repainting, lookahead or stacked entries were found in its code or README. That says nothing about how well it works: test it first.

File

deal-api/src/main/resources/PineScript/Z-Score Dynamic Bands.pine

Repository

github.com/Teerth1/options-analytics-bot. See its other scripts in the library

Settings

The inputs you can change from the gear icon on the chart. Defaults are the author's.

Setting	Type	Default	Variable
Source	`source`	`close`	`src`
Lookback Period	`int`	`50`	`lookback`
Mean Type	`string`	`EMA`	`maType`
Use Adaptive Bands	`bool`	`true`	`useAdaptive`
Volatility Lookback	`int`	`30`	`volLookback`
Base Z-Score Threshold	`float`	`2.0`	`baseThreshold`
Minimum Threshold	`float`	`1.5`	`minThreshold`
Maximum Threshold	`float`	`3.0`	`maxThreshold`
Show Histogram	`bool`	`true`	`showHistogram`
Show Info Table	`bool`	`true`	`showTable`
Dark Background	`bool`	`true`	`bgColor`
Signal Mode	`string`	`Mean Reversion`	`signalMode`

Third-party code. ForexR did not write, test or endorse this script, and the summary above was generated automatically from its code and README. Indicators describe the past, and a strategy's backtest can look better than live trading, especially when a script repaints. Check it in the Strategy Tester and on a demo account before you rely on it.

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