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Hi Mehul,
This takes care of the negative values but is not correct as it
introduces a scaling problem. You now attack a weight of 3 to the
first and 1 to the second, and this will make any indicators you
calculate quite biased.
Suppose you calculate the volatility on this indicator, this will be
Vol(3A-B) = 3Vol(A)-Vol(B) + some extra bits not relevant now
The variance in any indicator you calculate on this spread is
dominated by design (3x) by A. Note that this will not be the case
with the ratio, e.g.
Vol(3 A/B) = 3 Vol(A/B)
and here you do not weight any one more than the other, you simply
scale the whole indicator.
If you want, rather just add 1,000 or so, as
Vol(xxx + A - B) = Vol(xxx) + Vol(A) + Vol(B) + some bits
Now, if xxx is constant, then Vol(xxx) = 0 and the above translates into
Vol(xxx + A - B) = 0 + Vol(A) + Vol(B) + bits
Rather make it positive by adding, or, take the ratio.
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
>
> This is what i have done ie...
>
> STOCK A * 3 subtract STOCK B
>
> is this correct ?
>
> --- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx>
> wrote:
> > 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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