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Thanks MG, very interesting. I've been using volatility adjusted relative
strength quite a lot recently, but those calculations always have to justify
the increase in complexity over the basic A/B ratio.
Best
Andrew
-----Original Message-----
From: equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx]
On Behalf Of mgf_za_1999
Sent: Wednesday, September 28, 2005 8:13 AM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: [EquisMetaStock Group] Re: Metastock Composite - Help Needed
And a final note....
When you use the spread, it has the advantage that you can directly
translate it into a profit. If the spread is up 10 and you bought it, you
are 10 in the money - whatever 10 is. The ratio does not work this way, it
gives you the percentage change rather. So if the ratio is up 10 from 1000,
then you are up 1%.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx> wrote:
> Another note on the ratio vs the spread. Most technical indicators
> will work with the ratio, no matter what denominations the contracts
> are in. E.g.
>
> RSI(C) = RSI(100 x C)
>
> or
>
> C - Mov(C)
>
> will cross zero the same time that
>
> 100 x C - Mov(100 x C)
>
> will cross. So you can easily use this. The same is not true with the
> spread, ie.
>
> RSI(C) <> RSI(100 + C)
>
> and many indicators will give different signals if you add or
> subtract, rather than multiply or divide, the close with a fixed amount.
>
> If in stead of a fixed amount you use another variable then things
> even get worse.
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://www.ferra4models.com http://fun.ferra4models.com
>
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx>
wrote:
> > 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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