Full VZscore — Price & Volume Z-Score Analysis for Sierra Chart

A precision-built quantitative oscillator designed to reveal the true distance between price and volume activity from their statistical mean — giving traders a powerful edge in identifying exhaustion, reversals, and fading trends across any market condition.

Developed natively in ACSIL, the Full VZscore blends Price Deviation and Volume Deviation into a unified volatility-momentum model that measures crowd behavior in standard deviations from equilibrium.

🔍 How It Works

The Full VZscore computes independent Z-scores for both price and volume based on configurable moving averages and standard deviations.
By comparing each bar’s distance from its mean, the indicator quantifies the strength and sustainability of price movements — allowing you to see when momentum is being confirmed, exhausted, or fading silently.

The combined reading provides four key market states:

⚙️ Four Core Market Regimes

1️⃣ Extreme Zone (|Price Z| > 2.0)

• What it shows: Price has moved more than 2 standard deviations from its mean — a statistically rare event.
• Trading insight: Market is overextended, vulnerable to mean reversion or explosive continuation. Often precedes major turning points or volatility expansion.
• Use for: Identifying extremes, fade trades, anticipating volatility spikes.

2️⃣ Reversal Condition (High Volume Z + Extreme Price Z)

• What it shows: Both price and volume reach statistical extremes simultaneously.
• Trading insight: Maximum momentum with participation = climactic exhaustion.
• Real-world signals:
  • Price Z > +2.0 & Volume Z > +1.5 → Exhaustion top (potential short)
  • Price Z < -2.0 & Volume Z > +1.5 → Capitulation bottom (potential long)
• Use for: Counter-trend entries, taking profits on extended moves, spotting panic buying/selling.

3️⃣ End of Trend Condition (Low Volume Z + Extreme Price Z)

• What it shows: Price extremes without volume confirmation — movement without conviction.
• Trading insight: Trend is running on fumes; price continues mechanically but smart money isn’t participating.
• Real-world signals:
  • Price Z > +2.0 & Volume Z < +0.5 → Uptrend losing steam
  • Price Z < -2.0 & Volume Z < +0.5 → Downtrend weakening
• Use for: Timing trend exits, avoiding late entries, spotting divergence between price and participation.

4️⃣ Neutral / Equilibrium Zone

• What it shows: Price and volume near mean (Z ≈ 0).
• Trading insight: Market is balanced — low volatility, absorption, or consolidation before next move.
• Use for: Mean reversion setups, breakout prep, low-risk entry zones.

🎯 Practical Applications

✅ Reversal Detection — Identify volume-backed turning points early
✅ Trend Exhaustion Recognition — Spot fading participation before a pullback
✅ Volatility Mapping — Visualize statistical extremes relative to recent behavior
✅ Momentum Health Check — Evaluate whether volume supports or contradicts price action

📊 Visual Structure

• Blue Line (Price Zscore) – Standardized price deviation from mean
• Orange Histogram (Volume Zscore) – Standardized participation intensity
• Dashed ±2.0 Lines – Statistical extremes
• Zero Line (Gray) – Mean equilibrium reference

Color adaptation is automatic:

• 🔴 Red Line → Overextended High (potential exhaustion top)
• 🟢 Green Line → Oversold Extreme (potential exhaustion low)
• 🟡 Bright Volume Bars → High participation
• ⚪ Muted Bars → Low volume, weakening trend

🧠 Designed For

• Intraday Momentum Traders seeking to detect exhaustion and volume traps
• Swing Traders identifying statistical extremes across sessions
• Quantitative Analysts requiring normalized price/volume measures
• Orderflow Traders integrating volatility structure with participation dynamics

⚙️ Technical Highlights

✅ Dual Statistical Models – Price & Volume standard deviations
✅ Auto Color Logic – Visual alerting for regime transitions
✅ Persistent Condition Tracking – Prevents alert redundancy
✅ Configurable Parameters – Periods, smoothing, alert sounds
✅ ACSIL Native Performance – Low latency, real-time precision

⚠️ Note

Full VZscore is not a directional signal generator.
It provides statistical context — quantifying how far the market has stretched from equilibrium and whether volume supports or contradicts that move.

Used correctly, it becomes a precision layer of confirmation for momentum systems, volume triggers, or reversal frameworks — revealing shifts that raw price action alone cannot expose.