|
PureBytes Links
Trading Reference Links
|
Here is the code for Unliateral Pairs Trading, from the book "Trade
like a hedgefund". It is in wealthlab format. Can it be converted to
metastock format? The formula's specfics areon page 24 and 25. But I
will type them in later on for reference. The method compares the QQQ
with SPY. There are 3 windows:
1) No of standard deviations
2) ratio of QQQ/SPY and 20 period MA
3) QQQ daily chart
Thank you,
Dennis
VAR Close1, Close2, RatioPane, StDevPane, TextPane, Bar, Sym,
ActualRatioSeries,
ActualRatioSMASeries, DeltaSeries, DeltaSMASeries,
DeltaDifferenceSeries, DeltaNormSeries, MAPeriod: Integer;
VAR Up_Threshold, Down_Threshold, Exit_Up_Threshold,
Exit_Down_Threshold,
R, Value: float;
VAR Stock1, Stock2, LongSymbol, ShortSymbol, CurrentSymbol,
TestSymbol: STRING;
// assigning values to variables
Up_Threshold := #OptVar1 / 10;
Down_Threshold := -(#OptVar2 / 10);
Exit_Up_Threshold := #OptVar4 / 10; // positions entered above
Up_Threshold are exited here
Exit_Down_Threshold := -(#OptVar5 / 10); // positions entered below
Down_Threshold are exited here
MAPeriod := #OptVar3;
// If you want to enter your symbols manually, comment the code
between the ****
// out and enter your stocks in the lines between the ####, then
click on one of
// the stocks of the chosen pair in your watchlist
//
**********************************************************************
******
// This loop makes sure all series are synchronized
FOR SYM := 0 TO WatchListCount - 1 DO
SetPrimarySeries( WatchListSymbol( SYM));
// end of synch loop
// find the best correlated symbol
R := 0.0;
LongSymbol := '';
Value := -1.0;
CurrentSymbol := GetSymbol;
FOR SYM := 0 TO WatchListCount - 1 DO
BEGIN
TestSymbol := WatchListSymbol( SYM);
SetPrimarySeries(TestSymbol);
Close1 := #Close;
RestorePrimarySeries;
R := Correlation( Close1, #Close, 0, BarCount - 1);
Print(TestSymbol + ' ' + FormatFloat('#.####', R));
IF (R > Value) AND (TestSymbol <> GetSymbol) THEN
BEGIN
CurrentSymbol := TestSymbol;
Value := R;
END;
END;
// end of "find the best correlated symbol" code
//
**********************************************************************
******
//
######################################################################
######
Stock1 := GetSymbol; // the symbol of the Price Series that is
currently being operated on
Stock2 := CurrentSymbol; // the symbol with the best correlation
//
######################################################################
######
// compute series
SetPrimarySeries( Stock1);
Close1 := #Close;
SetPrimarySeries( Stock2);
Close2 := #Close;
RestorePrimarySeries;
ActualRatioSeries := DivideSeries( Close1, Close2);
ActualRatioSMASeries := SMASeries( ActualRatioSeries, MAPeriod);
DeltaSeries := SubtractSeries( ActualRatioSeries,
ActualRatioSMASeries);
DeltaSMASeries := SMASeries( DeltaSeries, MAPeriod);
DeltaDifferenceSeries := SubtractSeries( DeltaSeries, DeltaSMASeries);
DeltaNormSeries := DivideSeries( DeltaDifferenceSeries, StdDevSeries(
DeltaSeries, MAPeriod));
// correlation coefficient
Value := Correlation( Close1, Close2, 0, BarCount - 1);
// graphics
HideVolume;
EnableNotes(false);
RatioPane := CreatePane( 100, True, True);
PlotSeries( ActualRatioSeries, RatioPane, #Navy, #Thick);
PlotSeries( ActualRatioSMASeries, RatioPane, #Blue, #Thick);
DrawLabel('Ratio ' + Stock1 + '/' + Stock2 + ' and its '
+ IntToStr(MAPeriod) + ' Period Moving Average' ,
RatioPane);
StDevPane := CreatePane( 100, True, True);
PlotSeries( DeltaNormSeries, StDevPane, #Red, #ThickHist);
DrawHorzLine( Up_Threshold, StDevPane, #Black, #Thick);
DrawHorzLine( Down_Threshold, StDevPane, #Black, #Thick);
DrawHorzLine( Exit_Down_Threshold, StDevPane, #Blue, #Thick);
DrawHorzLine( Exit_Up_Threshold, StDevPane, #Blue, #Thick);
DrawLabel('nb of standard deviations', StDevPane);
TextPane := CreatePane( 40, False, False);
DrawText( 'Correlation: ' + FormatFloat('0.####', Value), TextPane,
10, 10, #Black, 18 );
// procedures
PROCEDURE Close_Positions();
BEGIN
if (ShortSymbol = Stock1) then LongSymbol := Stock2
else LongSymbol := Stock1;
SetPrimarySeries( ShortSymbol);
CoverAtMarket( Bar + 1, LastPosition - 1, 'Cover ' + ShortSymbol);
SetPrimarySeries( LongSymbol);
SellAtMarket( Bar + 1, LastPosition, 'Sell ' + LongSymbol);
RestorePrimarySeries;
END;
PROCEDURE Enter_Positions();
BEGIN
if (ShortSymbol = Stock1) then LongSymbol := Stock2
else LongSymbol := Stock1;
SetPrimarySeries( ShortSymbol);
ShortAtMarket( Bar + 1, 'ShortSell ' + ShortSymbol);
SetPrimarySeries( LongSymbol);
BuyAtMarket( Bar + 1, 'Buy ' + LongSymbol);
RestorePrimarySeries;
END;
// main loop
FOR Bar := MAPeriod + 20 TO BarCount - 1 DO
BEGIN
IF LastPositionActive THEN
BEGIN
IF ((GetSeriesValue( Bar, DeltaNormSeries) < Exit_Up_Threshold)
AND (ShortSymbol = Stock1)) THEN
BEGIN
ShortSymbol := Stock1;
Close_Positions();
END; // < Exit_Up_Threshold
IF ((GetSeriesValue( Bar, DeltaNormSeries) > Exit_Down_Threshold)
AND (ShortSymbol = Stock2)) THEN
BEGIN
ShortSymbol := Stock2;
Close_Positions();
END; // < Exit_Up_Threshold
END // if LastPositionActive
ELSE // no position active
BEGIN
IF GetSeriesValue( Bar, DeltaNormSeries) > Up_Threshold THEN
BEGIN
ShortSymbol := Stock1;
Enter_Positions();
END; // if > Up_Threshold
IF GetSeriesValue( Bar, DeltaNormSeries) < Down_Threshold THEN
BEGIN
ShortSymbol := Stock2;
Enter_Positions();
END; // if < Down_Threshold
END; // else
END;
------------------------ Yahoo! Groups Sponsor --------------------~-->
Make a clean sweep of pop-up ads. Yahoo! Companion Toolbar.
Now with Pop-Up Blocker. Get it for free!
http://us.click.yahoo.com/L5YrjA/eSIIAA/yQLSAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|