Log-Normal Z-Score

Log-Normal Z-Score

This Pine Script indicator calculates a modified Z-Score based on log-normal returns, aiming to identify statistically significant price deviations.

Indicator Parameters:
Model Length: The number of bars used to calculate the mean and standard deviation of log returns.

Lookback Length: The number of bars used to compute the lookback return and volatility. This is the main timeframe over which the Z-Score is calculated.

Volatility SMA Length: The smoothing length for the volatility, applying a simple moving average to the calculated volatility.