I stumbled on a few snippets of code that allow to display data into a really neat calendar heatmap. I merged some of my own code with it to calculate rolling T-Stats which I then bound within a -1/+1 interval by using a normal probability density function. So here is the result applied to the spot EURUSD …I can of course use that with any time series…so you may end up seeing a few more charts of those going forward….
The line charts shows the historical price of the EURUSD whereas the calendar heatmat shows the rolling 21-day color coded T-stat of the EURUSD daily logarithmic returns… Not rocket science but a quite visual way to illustrate when the EURUSD was historically overbought/oversold.