As explained here, I asked a question on Stack Overflow. A user with high reputation suggested me to move the question to Cross-Validated, and since in meantime the question had received 3 votes to close it and move it to Cross-Validated, I decided to delete the question and move it to CV here. It was put on hold immediately, in less time than it would take to me to read a question that long, without a specific comment indicating what precisely I could modify in order to improve the question. I see that it is not the first time this happens. So what should I do now? I frankly cannot believe the question doesn't belong anywhere on Stack Exchange. Can I get some useful comment helping me to improve it? If I have to move it again to Stack Overflow, what can I do to avoid getting new requests to move it here?
If you consider the universe of questions which are daily closed or reopened it will not be the first nor the last time to happen. It just happens.
If you spend some time in this community you'll see how our experienced users are engaged to provide feedback and help reversing situations like that.
Remembering that letting a comment after putting a question on hold is not mandatory (despite a comment can always help), because when a question is put on hold there is already a notice message explaining why.
Let's go to your questions:
So, what should I do now?
First thing, edit the question to address the notice message (and comments, if any). In your case, edit the question and explain why it is about statistics and not solely about programming. The question will automatically go to the Reopen queue. There is a chance reviewers might decide to reopen it.
If it does not (and OP still believes he/she has a case), asking for help on Meta (or chat) is always an option (like you did).
Can I get some useful comment helping me to improve it?
Yes you can, but you need to take advantage of the hints you receive. In my humble opinion, you could have explored more Scortchi's advice. So, I am suggesting another edit to your question. See if you like it.
If I have to move it again to Stack Overflow, what can I do to avoid getting new requests to move it here?
I'd say edit it to emphasize it is a pure programming question, rather than involving statistics knowledge to get it solved.