Snap Back — statistical mean reversion, the z-score way.

Measuring the stretch

A z-score asks how unusual the current price is compared with its own recent behaviour, measured in standard deviations. Two deviations from the mean is the same boundary a Bollinger Band draws — this is the statistical twin of that idea, expressed as a number rather than a line.

Because it is normalised, the reading means the same thing in a quiet market as in a volatile one, which a fixed-distance measure never could.

Trading the snap

A stretch to the downside is bought and a stretch to the upside is sold, on the expectation that price reverts toward its mean. It is a two-sided playbook with no directional bias at all.

The ATR stop scales with volatility, and the entry cutoff keeps positions out of the late session where a stretch is more likely to be the start of a trend than the end of one.

The settings that matter

The z-period sets what "normal" means — the window the mean and deviation are measured over. Shorter makes it twitchier and more reactive; longer makes it demand a genuinely unusual move.

The entry cutoff bounds the session, and the ATR stop multiple with the 2R target shapes each trade.