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Hi MG
You suggest that A/B has 'additional benefits for trading'. What do you see
those as? My preference on composites is to use combinations that I can
actually trade, which usually means A - B in some form. A/B avoids going
negative simply by compressing the lower end of the scale, rendering an area
of output insensitive to changes in the data. This is similar to the problem
with 'bounded' indicators, like stochastics.
Using A-B creates two issues - the horizontal shift (an arbitrary number
seems to do fine in most applications) and the trade ratio (trickier - I
like to volatility adjust).
Interested in your thoughts
Andrew
-----Original Message-----
From: equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx]
On Behalf Of mgf_za_1999
Sent: Wednesday, September 28, 2005 6:26 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Re: Metastock Composite - Help Needed
Hi Mehul,
I assume you have two tickers, say A and B. Now I assume you calculate the
spread or difference between these two, thus you create a composite that is
simply
A - B
and this has problems, as it sometimes takes on negative values. You need
to deal with these and that is why you posted the original message.
What I suggest is that you calculate the ratio
A / B
rather, this will always be positive and also has additional benefits for
trading, depending on what A and B is.
Anyhow, hope this is clear.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "mehul07941681195"
<mehul07941681195@xxxx> wrote:
> Hi
>
> Thanks for your msg, i am quite new to metastock so do not understand
> what you have said, could you take some time to explain further ?
>
> my msn is indexarb@xxxx
>
> would really appreciate your help
>
> thanks
>
> mehul
>
>
>
>
>
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx>
> wrote:
> > I assume you are using the spread, try to use the ratio between the
> > two. This will guarantee positive values for one and has a lot of
> > other benefits as well.
> >
> > Regards
> > MG Ferreira
> > TsaTsa EOD Programmer and trading model builder
> > http://www.ferra4models.com http://fun.ferra4models.com
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "mehul07941681195"
> > <mehul07941681195@xxxx> wrote:
> > > Hi
> > >
> > > I have created a composite security in metastock using 2
> securities,
> > > however as the composite sometimes has negative values i can not
> > > backtest any indicators as they do not like negative values.
> > >
> > > Does anyone know a way around this ? ie is there a way to add 100
> > > infront of all the data or another solution ?
> > >
> > > Sample data file from the downloader.
> > >
> > > Thanks in advance for your help, my msn is indexarb@xxxx
> > >
> > > 6.02001
> > > 4.99000
> > > 0.69000
> > > 1.55001
> > > 2.43000
> > > 6.55000
> > > 6.65000
> > > 6.98000
> > > 7.68000
> > > 3.75000
> > > 3.68000
> > > 4.38000
> > > 5.06000
> > > 4.37000
> > > 4.33000
> > > 3.94000
> > > 3.91000
> > > 3.82999
> > > 4.01000
> > > 4.48000
> > > 4.40000
> > > 3.38000
> > > 2.70000
> > > 2.50000
> > > 1.80000
> > > 0.85000
> > > 0.83000
> > > -1.08000
> > > -0.18999
> > > -1.60000
> > > -0.72001
> > > -3.88000
> > > -3.52000
> > > -4.19000
> > > -3.25999
> > > -3.59000
> > > -4.64000
> > > -4.17000
> > > -3.21999
> > > -4.37000
> > > -7.46000
> > > -6.51000
> > > -5.78000
> > > -5.91000
> > > -6.57000
> > > -6.05000
> > > -5.46000
> > > -5.56000
> > > -6.50000
> > > -6.00000
> > > -5.64000
> > > -4.48999
> > > -2.60000
> > > -3.11000
> > > -1.48000
> > > -1.01001
> > > -1.66000
> > > -2.15001
> > > -2.77000
> > > -3.85000
> > > -3.87000
> > > -3.27999
> > > -3.83000
> > > -2.71000
> > > -0.27999
> > > 0.57001
> > > 3.02000
> > > 2.68999
> > > 3.47000
> > > 4.62000
> > > 7.49000
> > > 4.34000
> > > 4.18999
> > > 4.55000
> > > 5.08000
> > > 3.08000
> > > 3.73000
> > > 2.40000
> > > 5.17000
> > > 5.93001
> > > 5.55001
> > > 5.05999
> > > 4.42000
> > > 5.31000
> > > 4.80999
> > > 6.17000
> > > 7.35001
> > > 6.32000
> > > 5.23000
> > > 6.58000
> > > 5.32000
> > > 7.62000
> > > 7.31999
> > > 7.09000
> > > 7.49000
> > > 9.41001
> > > 9.17000
> > > 8.18000
> > > 7.01000
> > > 6.67001
> > > 6.97001
> > > 6.86000
> > > 8.85000
> > > 6.68001
> > > 7.07000
> > > 8.10000
> > > 8.63000
> > > 6.47000
> > > 6.68000
> > > 5.45999
> > > 5.97001
> > > 6.70000
> > > 5.57999
> > > 5.94000
> > > 6.62000
> > > 7.27000
> > > 7.99001
> > > 8.55000
> > > 7.77999
> > > 8.44999
> > > 6.41999
> > > 5.64000
> > > 4.42000
> > > 6.08999
> > > 5.64000
> > > 4.39001
> > > 4.54000
> > > 4.69000
> > > 4.02999
> > > 3.30000
> > > 3.59000
> > > 3.38000
> > > 2.85000
> > > 4.31000
> > > 4.97000
> > > 4.21000
> > > 3.54000
> > > 2.09999
> > > 1.02000
> > > 1.47000
> > > 0.83000
> > > 1.58000
> > > -0.45000
> > > 0.24000
> > > 0.69000
> > > 0.74000
> > > 1.02000
> > > 2.53999
> > > 4.60000
> > > 3.54999
> > > 4.08001
> > > 5.15999
> > > 5.77000
> > > 5.44000
> > > 5.63000
> > > 5.93000
> > > 5.38000
> > > 5.23000
> > > 5.83000
> > > 4.96999
> > > 6.05000
> > > 5.20000
> > > 4.89000
> > > 5.15000
> > > 4.71001
> > > 4.84999
> > > 4.64000
> > > 5.39000
> > > 6.46000
> > > 5.98000
> > > 7.00000
> > > 8.73000
> > > 10.9600
> > > 8.51001
> > > 9.27999
> > > 9.86000
> > > 8.82999
> > > 8.64000
> > > 8.68999
> > > 5.79000
> > > 7.21000
> > > 7.32001
> > > 6.39999
> > > 6.31999
> > > 5.95000
> > > 5.86000
> > > 5.35000
> > > 5.10001
> > > 5.43000
> > > 6.12000
> > > 5.65000
> > > 6.99000
> > > 7.18000
> > > 7.07000
> > > 7.47001
> > > 7.10000
> > > 6.69001
> > > 6.71000
> > > 6.00000
> > > 6.82001
> > > 7.52000
> > > 6.03999
> > > 8.64999
> > > 8.43000
> > > 8.18999
> > > 8.09000
> > > 7.07000
> > > 8.41000
> > > 8.93000
> > > 7.97000
> > > 8.81000
> > > 7.88000
> > > 7.22000
> > > 8.55000
> > > 8.62001
> > > 7.80000
> > > 7.28000
> > > 7.99000
> > > 7.81000
> > > 8.95000
> > > 10.4300
> > > 9.66999
> > > 8.99001
> > > 8.48000
> > > 9.96000
> > > 10.1100
> > > 9.48000
> > > 9.60000
> > > 9.41000
> > > 9.67999
> > > 8.98000
> > > 9.65000
> > > 9.43000
> > > 9.46000
> > > 8.14999
> > > 8.27000
> > > 8.27000
> > > 8.89000
> > > 8.13000
> > > 7.77000
> > > 6.36000
> > > 3.61001
> > > 1.94000
> > > 0.98999
> > > 1.40000
> > > 2.20000
> > > 1.35999
> > > 1.30000
> > > 1.39000
> > > 1.68000
> > > 0.94000
> > > 1.43000
> > > 0.68000
> > > -1.21000
> > > -0.32000
> > > -0.06000
> > > 0.77000
> > > 1.45001
> > > 0.43999
> > > 1.14000
> > > -0.75999
> > > -2.37000
> > > -2.96000
> > > -1.78000
> > > -2.91000
> > > -3.41000
> > > -3.20000
> > > -3.53000
> > > -3.83000
> > > -4.18000
> > > -5.21001
> > > -6.30001
> > > -5.84000
> > > -4.10000
> > > -5.08000
> > > -4.68999
> > > -4.50999
> > > -4.42001
> > > -4.55000
> > > -7.24000
> > > -7.02000
> > > -7.83000
> > > -7.29000
> > > -8.17000
> > > -8.86000
> > > -8.48001
> > > -7.92000
> > > -7.95000
> > > -7.52000
> > > -6.14999
> > > -7.46999
> > > -9.49001
> > > -10.2600
> > > -10.0400
> > > -9.73000
> > > -9.87000
> > > -8.64999
> > > -9.26999
> > > -9.59000
> > > -10.2400
> > > -9.30001
> > > -9.05999
> > > -10.4500
> > > -10.8700
> > > -12.6400
> > > -11.1200
> > > -8.25999
> > > -9.69001
> > > -10.6800
> > > -11.7100
> > > -12.4300
> > > -11.8500
> > > -11.7600
> > > -11.2800
> > > -7.36000
> > > -7.60999
> > > -7.12000
> > > -6.12000
> > > -6.79000
> > > -7.21000
> > > -8.89000
> > > -9.46000
> > > -8.59000
> > > -7.90999
> > > -7.16000
> > > -6.59001
> > > -6.96000
> > > -6.58999
> > > -5.72000
> > > -5.94000
> > > -6.88000
> > > -6.79000
> > > -6.17000
> > > -7.34000
> > > -7.04000
> > > -7.63000
> > > -7.35000
> > > -8.99999
> > > -8.82000
> > > -8.47000
> > > -5.98000
> > > -5.81999
> > > -6.40000
> > > -6.95000
> > > -8.03000
> > > -7.57000
> > > -7.46001
> > > -7.01000
> > > -7.18000
> > > -5.95000
> > > -5.92001
> > > -4.62000
> > > -4.83000
> > > -4.96000
> > > -4.55000
> > > -3.80000
> > > -5.61999
> > > -4.50999
> > > -4.63000
> > > -5.60000
> > > -7.02999
> > > -7.49000
> > > -5.94000
> > > -6.27000
> > > -7.37000
> > > -7.66001
> > > -7.18000
> > > -7.06000
> > > -5.90000
> > > -5.20000
> > > -5.67000
> > > -2.24000
> > > 0.20000
> > > 1.38000
> > > -0.31001
> > > 0.57000
> > > 1.08001
> > > 1.23000
> > > 2.06000
> > > 2.46000
> > > 3.15000
> > > 2.42000
> > > 2.50000
> > > 1.57000
> > > 2.13000
> > > 2.73000
> > > 0.86000
> > > 2.48000
> > > 2.63000
> > > 1.90000
> > > 4.12999
> > > 3.44000
> > > 3.90000
> > > 3.05000
> > > 1.54000
> > > 3.46000
> > > 3.73000
> > > 3.23999
> > > 4.63000
> > > 3.90000
> > > 3.50000
> > > 5.23000
> > > 7.03999
> > > 5.56000
> > > 4.86999
> > > 3.05000
> > > 3.60000
> > > 4.31999
> > > 5.82000
> > > 4.31000
> > > 6.03001
> > > 7.00001
> > > 6.00001
> > > 7.51000
> > > 7.73000
> > > 6.59999
> > > 7.56001
> > > 8.93000
> > > 9.64000
> > > 7.62001
> > > 6.35000
> > > 6.20000
> > > 6.91000
> > > 5.61000
> > > 6.07000
> > > 7.22000
> > > 7.68000
> > > 7.26000
> > > 6.85000
> > > 4.69001
> > > 1.00000
> > > -0.61000
> > > -1.13000
> > > 0.23000
> > > -0.10000
> > > -0.05000
> > > 1.30001
> > > 0.29001
> > > 0.34000
> > > 1.43001
> > > 0.68000
> > > -0.26000
> > > 0.99000
> > > 0.19000
> > > 0.13000
> > > 0.90001
> > > 1.68001
> > > 1.70000
> > > 1.30001
> > > 0.77000
> > > 1.00000
> > > 0.80000
> > > 0.76000
> > > 1.55000
> > > 2.43000
> > > 2.47000
> > > 2.44000
> > > 4.26000
> > > 3.74000
> > > 2.22000
> > > 3.43000
> > > 2.48000
> > > 1.05999
> > > 0.24999
> > > 1.67000
> > > 1.87000
> > > 1.07999
> > > 1.04000
> > > -1.64000
> > > -0.51000
> > > -0.21000
> > > -1.99001
> > > -5.00000
> > > -6.58001
> > > -8.41000
> > > -7.32999
> > > -6.87000
> > > -5.99000
> > > -7.73000
> > > -6.25999
> > > -7.04000
> > > -6.79000
> > > -4.93000
> > > -2.84000
> > > -1.97000
> > > -0.12000
> > > 0.02999
> > > 0.88000
> > > -0.69000
> > > -1.65000
> > > -0.68000
> > > -0.78000
> > > -1.01000
> > > 0.20000
> > > 0.34000
> > > 0.09000
> > > 1.36000
> > > 0.88000
> > > 0.32000
> > > 1.45000
> > > 1.05000
> > > 1.33000
> > > 0.07000
> > > 1.80000
> > > 1.62000
> > > 0.66000
> > > 1.27999
> > > -1.43000
> > > -1.88000
> > > -0.04000
> > > 0.93999
> > > 0.35999
> > > 1.86001
> > > 2.19000
> > > 2.13000
> > > 3.80000
> > > 4.50000
> > > 5.92001
> > > 5.86001
> > > 5.09000
> > > 5.85001
> > > 6.35000
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