Fabian Z-ScoreFabian Z-Score — % Distance & Z-Scores for SPX / DJI / XLU
What it does
This indicator measures how far three market proxies are from a moving average and standardizes those distances into z-scores so you can spot stretch/mean-reversion and relative out/under-performance.
Universe: S&P 500 (SPX), Dow Jones (DJI) and Utilities (XLU). You can change any of these in Inputs.
Anchor MA: user-selectable MA type (SMA/EMA/RMA/WMA/VWMA/HMA/LSMA/ALMA) and length (default 39; a popular weekly anchor).
Outputs
% from MA: 100 × (𝐶𝑙𝑜𝑠𝑒 − 𝑀𝐴) / 𝑀𝐴
Time-series Z: z-score of the last N % distances (default 39) → “how stretched vs its own history?”
Cross-sectional Z: z-score of each % distance within the trio on this bar → “who’s strongest vs the others right now?”
A compact mini table (top-right) shows the latest values for each symbol: % from MA, Z(ts) and Z(xsec).
Panels & Visualization
Toggle what you want to see in View:
Plot % distance — raw % above/below the MA (0% line shown).
Plot time-series Z — standardized stretch with ±Threshold guides (default ±2σ).
Plot cross-sectional Z — relative z across SPX, DJI, XLU (0 = at the trio’s mean).
Smoothing — optional light MA on the plotted series (set to 1 for none).
A price-panel Moving Average is drawn with your chosen type/length for visual context.
Colors: SPX = teal, DJI = orange, XLU = purple.
Alerts
Two built-in alert conditions (time-series Z only):
“Z(ts) crosses up +Thr” — any of the three crosses above +Threshold.
“Z(ts) crosses down -Thr” — any crosses below −Threshold.
When enabled, the chart background tints faint green (up cross) or red (down cross) on those bars.
How to use (ideas, not advice)
On weekly charts, a 39-length MA/Z lookback often captures major risk-on/off swings. (Fabian Timing)
Deep negative Z(ts) (e.g., ≤ −2σ or −3σ) frequently accompanies panic and mean-reversion setups.
High positive Z(ts) suggests over-extension; watch for momentum fades.
Cross-sectional Z helps rank leadership today:
Z(xsec) > 0 → stronger than the trio’s mean this bar; Z(xsec) < 0 → weaker.
Utilities (XLU) turning positive x-sec while the others are negative can hint at defensive rotation.
If all 3 are above 0, go long, if below 0 go cash.
Combine: look for extreme Z(ts) aligning with lead/lag Z(xsec) to time entries/exits or hedges.
Inputs (quick reference)
Symbols: SPX / DJI / XLU (editable).
MA type & length: SMA, EMA, RMA, WMA, VWMA, HMA, LSMA, ALMA; default EMA(39).
Z-score lookback (ts): default 39.
Smoothing on plots: default 1 (off).
Z threshold (±): default 2.0 (guide lines & alerts).
