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Pairs Ratio Plot for Amibroker (AFL)
Rating:
4 / 5 (Votes 4)
Tags:
amibroker, channel, regression
Pair ratio plot with regression channel enter pair ticker in parameter box.
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Indicator / Formula
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 | _SECTION_BEGIN("Pair ratio");Ticker= ParamStr("Short ticker", "type in ticker");//short stock////////////////////////////////////////////tickersc=Foreign( ticker, "C");//Short stock////////////////////////////////////////////ratio=C/tickersc;P=ratio;Plot(p ," /"+ ticker,5,5);///////////////////////////////////////////////////////_SECTION_END();_SECTION_BEGIN("Linear_Regression_Line_w__Std_Deviation_Channels");// Linear Regression Line with 2 Standard Deviation Channels Plotted Above and Below // Written by Patrick Hargus, with critical hints from Marcin Gorzynski, Amibroker Technical Support // Designed for use with AB 4.63 beta and above, using drag and drop feature. // Permits plotting a linear regression line of any price field available on the chart for a period determined by the user. // 2 Channels, based on a standard deviation each determined by the user, are plotted above and below the linear regression line. // A look back feature is also provided for examining how the indicator would have appeared on a chart X periods in the past. P = ParamField("Price field",-1);Daysback = Param("Period for Liner Regression Line",21,1,360,1);shift = Param("Look back period",0,0,360,1); // =============================== Math Formula =============================================================x = Cum(1);lastx = LastValue( x ) - shift; aa = LastValue( Ref(LinRegIntercept( p, Daysback), -shift) ); bb = LastValue( Ref(LinRegSlope( p, Daysback ), -shift) ); y = Aa + bb * ( x - (Lastx - DaysBack +1 ) ); // ==================Plot the Linear Regression Line ==========================================================LRColor = ParamColor("LR Color", colorCycle ); LRStyle = ParamStyle("LR Style");LRLine = IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y, Null );Plot( LRLine , "LinReg", LRCOLOR, LRSTYLE ); // styleDots ); // ========================== Plot 1st SD Channel ===============================================================SDP = Param("Standard Deviation", 1.5, 0, 6, 0.1);SD = SDP/2;width = LastValue( Ref(SD*StDev(p, Daysback),-shift) ); // THIS IS WHERE THE WIDTH OF THE CHANELS IS SET SDU = IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y+width , Null ) ;SDL = IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y-width , Null ) ;SDColor = ParamColor("SD Color", colorCycle ); SDStyle = ParamStyle("SD Style");Plot( SDU , "Upper Lin Reg", SDColor,SDStyle ); Plot( SDL , "Lower Lin Reg", SDColor,SDStyle ); // ========================== Plot 2d SD Channel ===============================================================SDP2 = Param("2d Standard Deviation", 2.0, 0, 6, 0.1);SD2 = SDP2/2;width2 = LastValue( Ref(SD2*StDev(p, Daysback),-shift) ); // THIS IS WHERE THE WIDTH OF THE CHANELS IS SET SDU2 = IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y+width2 , Null ) ;SDL2 = IIf( x > (lastx - Daysback) AND BarIndex() < Lastx, y-width2 , Null ) ;SDColor2 = ParamColor("2 SD Color", colorCycle ); SDStyle2 = ParamStyle("2 SD Style");Plot( SDU2 , "Upper Lin Reg", SDColor2,SDStyle2 ); Plot( SDL2 , "Lower Lin Reg", SDColor2,SDStyle2 ); // ============================ End Indicator Code ==============================================================_SECTION_END(); |
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Very useful,if you want to shift from one stock to another in the same sector. Thanks a lot
cnb
This I believe should be helpful in ETF pairs trading. But, I,m having a hard time knowing what it is telling me. Could someone tell me what to look for (to go Long/Short etc. Thanks
Dick H.
email areehoi@yahoo.com