Pressure Z-Score — Signal Playbook

What it detects

Order-book imbalance is statistically unusual for this pair — at least two standard deviations from its own recent norm. A “this is out of character” flag rather than a raw level.

How Pressure Z-Score paints across a heatmap row — the colour language it speaks on the live map.

How to play it

Use it as scanner context, not an automatic entry:

• Use it as an attention filter: it surfaces pairs behaving abnormally right now.
• A high z-score on a normally-balanced pair is more interesting than on a chronically one-sided one.
• Demand market confirmation before treating it as tradeable.
• Pair with a level or flow read — z-score answers “unusual?”, not “which way?”.

Confirmation

What strengthens the read:

• Price reacts in the direction of the pressure.
• The z-score stays elevated rather than instantly reverting.
• A second metric (OFI, flow) agrees.

Invalidation

What kills it:

• The reading reverts to its mean with no price effect.
• Spread is also elevated (the “unusual” reading is just noise).

Risk & honest evidence

Respect the limits:

• Rare ≠ tradeable — extremes can get more extreme.
• Z-scores are recomputed live and need recent history to be meaningful.
• Evidence: grounded in market-microstructure research. vyx's own live backtest is still accruing — treat this as scanner context, not a proven edge.