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Also you need to consider whether you are correlating raw prices, % changes, log changes, etc. Makes abig difference.
Andrew
-------------- Original message --------------
From: "Jose Silva" <josesilva22@xxxxxxxxx>
It's funny you should ask about this, Kevin, because I'm in the middle of
incorporating something similar into the next major release of the URSC
toolkit.
Basically, what you are asking is for a comparison of the two contracts'
rate of change. There are many issues involved in plotting a valid
comparison (such as a synchronized starting point and a valid % RoC) and
the URSC toolkit covers all the important ones.
More here:
http://www.metastocktools.com/URSC/URSC.htm
jose '-)
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, Kevin Barry <kevin_barry@xxx>
wrote:
>
> Hello,
>
> Could I pick your (collective) brains?
>
> Two securities can be compared using the Security function and then
> subtracting or dividing one plot from the other. The results in a
> trending plot.
>
> What I would like to achieve is to plot equity A as a straight line and
> then have the second plot displaying the difference between equity A and
> equity B. Ideally, this plot would indicate the percentage deviation
> rather than just the number of points difference.
>
> For those of you interested, the idea behind Pairs Trading is to
> identify two stocks that are closely correlated. When a divergence is
> detected, one would go long, say, equity A and short equity B in
> anticipation of the correlation being reestablished in the future.
> It is a market neutral strategy.
>
> Is this doable in Metastock?
>
> Regards,
> Kevin
[Non-text portions of this message have been removed]
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