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hi yuki,
the easiest way is to use
setforeign(), like dimitris already said. but you could also write a simple
#include file that references the 2 tickers you want to compare. under one
layout i have various indicator windows for the same pair showing me
correlation, stdev, volatility and a few things more.
the code below shows the standard
deviation difference for any pair both in relative and absolute terms. just make
sure to put a file "pairs.afl" in your include directory that defines the two
tickers of your pair, like pair1="8601.T";pair2=8603.T";
// Identifying Pairs: Difference from StDevS //<FONT
size=2>
#include <pairs.afl>
timeframe=Param<FONT
size=2>("Timeframe"<FONT
size=2>,21,<FONT
color=#ff00ff size=2>2,<FONT color=#ff00ff
size=2>100,1<FONT
size=2>);
x=Foreign<FONT
size=2>(pair1,"C");
y=Foreign<FONT
size=2>(pair2,"C");
MaxGraph=8;
pr=x/y;
pra=x-y;
movav=MA<FONT
size=2>(pr,timeframe);
sd=StDev<FONT
size=2>(pr,timeframe);
movava=MA<FONT
size=2>(pra,timeframe);
sda=StDev<FONT
size=2>(pra,timeframe);
Graph0=(pr-movav)/sd;
Graph1=(pra-movava)/sda;
Graph2=2;
Graph3=-2;
Graph2Style=Graph3Style=<FONT color=#ff00ff
size=2>8;
Plot(0<FONT
size=2>,"",<FONT
color=#ff00ff size=2>1,<FONT color=#ff00ff
size=2>4096);
Title=EncodeColor<FONT
size=2>(colorBrown)+Date<FONT
size=2>()+" "+<FONT
color=#0000ff size=2>EncodeColor<FONT
size=2>(colorBlue)+" Difference from
StDev (rel.):"+<FONT color=#0000ff
size=2>WriteVal(Graph0)+<FONT color=#0000ff
size=2>EncodeColor(colorRed)+<FONT
color=#ff00ff size=2>" Difference from StDev (abs.):"<FONT
size=2>+WriteVal<FONT
size=2>(Graph1)+EncodeColor<FONT
size=2>(colorCustom12)+" in last
"+timeframe+" Days
"+EncodeColor<FONT
size=2>(colorBlue)+" \n (3) Identifying
Pairs [Ratio Difference from 2StDev (short)] "+<FONT
color=#0000ff size=2>EncodeColor<FONT
size=2>(colorRed)+pair1+<FONT color=#0000ff
size=2>EncodeColor(colorBlue)+<FONT
color=#ff00ff size=2>" & "+<FONT color=#0000ff
size=2>EncodeColor(colorRed)+pair2;
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Yuki
Taga
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, February 10, 2004 2:01
AM
Subject: [amibroker] setting up for pair
trading
I'm getting interested in adding a couple of pairs to the
one pairthat I have been trading for years. The current pair has
twoartificial "stocks" in the MS database, which I update by hand
eachday. One artificial stock simply plots the daily raw
pricedifference of A versus B, and the other one plots the
percentagedifference.It's not too much trouble to update this one
pair by hand each day,but if I'm going to add more pairs, I'd like to know
if anyone hasany ideas on how this could be done automatically, via AFL,
or evenif that is possible. Particularly, I'd like to setup proxies
as Ihave, and actually be able to look at charts with standard
deviationlines on them. Is it possible for AB to fill in the
"prices" of anartificial stock each day, using real prices that I would
enter forthe underlying pair?YukiSend BUG
REPORTS to bugs@xxxxxxxxxxxxxSend SUGGESTIONS to
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