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Sorry, meant to add that these correlated securities may not even be in the
same sector or indeed the same index. Some of the most promising pairs
trading candidates can be in different markets and might even be different
asset types.
Regards,
Kevin
At 04:51 17/04/2007 -0700, you wrote:
>Not sure about that. Correct me if I'm wrong but isn't RSC concerned with
>identifying stocks or sectors outperforming (or underperforming) their
>respective sector or index? With a market neutral strategy, we are looking
>for securities that are highly correlated, i.e. moving in tandem with each
>other.
>
>Regards,
>Kevin
>
>At 01:50 17/04/2007 -0700, you wrote:
>
> >In a nutshell, Relative Strength Comparison (RSC).
> >
> >jose '-)
> ><<http://www.metastocktools.com/URSC/URSC.htm>http://www.metastocktools.c
> om/URSC/URSC.htm>http://www.metastocktools.com/
> >URSC/URSC.htm
> >
> >--- In
> ><mailto:equismetastock%40yahoogroups.com><mailto:equismetastock%40yahoogr
> oups.com>equismetastock@xxxxxxxxxxxxxxx,
> >Kevin Barry <kevin_barry@xxx>
> >wrote:
> > >
> > > Many thanks for your suggestion. Sorry that I didn't explain it very
> > > well.
> > > I am really looking to find a price derivative with which I can measure
> > > the price deviation between two securities. So, security A would be
> > > treated as a virtual straight line plot at zero with the plot of
> > > security B oscillating around it.
> > >
> > > Regards,
> > > Kevin
> > >
> > >
> > >
> > > At 10:37 14/04/2007 -0700, you wrote:
> > >
> > > (security("A",C)-security("B",C))/security("A")*100 {percentage plot}
> > >
> > > Not sure what you mean about plotting security A as a straight line.
> > >
> > >
> > > -----Original Message-----
> > > From: <mailto:kevin_barry%40candytape.com>kevin_barry@xxx
> > > To:
> <mailto:equismetastock%40yahoogroups.com><mailto:equismetastock%40yahoogro
> ups.com>equismetastock@xxxxxxxxxxxxxxx
> > > Sent: Sat, 14 Apr 2007 6:37 AM
> > > Subject: Pairs Trading Perhaps Using The Security Function
> > >
> > > 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]
>
>
[Non-text portions of this message have been removed]
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