Chart – Spread PACF
It’s called Partial Autocorrelation is built with the data of the previous one and each histogram represents the average of the differences between its histograms:
the first histogram is the average of the differences between the first and the second histogram
the second histogram between the first and third
the third histogram between first and fourth….
the 19 histogram between the first and 20
Observing the histograms I will have to note values that do not come from the red and green bands drawn in the graph.
Frequent exits indicate correlation persistence.
What I have to observe: in the graph two pairs of horizontal lines are drawn representing the confidence levels at 95% and 99%. The observation of the histograms indicates that less often the confidence bands are touched plus the Z-Score graph will behave in a manner consistent with the strategy. Having positive and negative histograms is a good index.