I was taught about the z-value for 1st time in 2006 at Statistics 101. Then on May 2008 I was taught that this indicator is good for evaluating trading strategies when back testing. But it was not until Christmas of 08 (thinking about a system for the corn intra day) that I learned this figure was a teller of performance relative to volatility; pretty much like a mediocre indicator.
Trying to get a hand at the concept I plotted the numbers from 1 to 50 and calculated the z-value of the return. I noticed the more firm the line, the higher the value. Was like an Epiphany.
Few days back I decided to apply to pure market returns: a market in a strong bull mkt would deliver a heavy z-value, also a brave bear would deliver a negative and high figure.
Now we are trying it intra day and intra week. We’ll see what can this idea bring us. If you have any, don’t be selfish and bring it on.