a(1)=0; thereafter a(n) is the smallest number (in absolute value) not yet in the sequence such that the arithmetic mean of the first n terms a(1), a(2), ..., a(n) is a nonzero integer. Preference is given to positive values of a(n).
Nest[Append[#, Block[{k = 1, s = 1}, While[Nand[FreeQ[#, s k], And[IntegerQ@ Mean@ #, Total@ # != 0] &@ Append[#, s k]], If[s == 1, s = -1, k++; s = 1]]; s k]] &, {0}, 52] (* Michael De Vlieger, Dec 12 2017 *)