Re: Spreads

["Bill Wynne" <tradewynne@xxxxxxxxxxx>]

<x-flowed>


>From: "Tom" <profilic@xxxxxxxx>
>Reply-To: <profilic@xxxxxxxx>
>To: "Omega-List@xxxxxxx Com" <omega-list@xxxxxxxxxx>
>Subject: Spreads
>Date: Thu, 21 Sep 2000 16:55:24 -0400
>
>How do you spread traders do analysis on a spread.
>
>For example, I want to do a stochastic on the NOB spread (TNotes v TBonds).
>I want to do it intra day so creating a custom file of the data in a
>spreadsheet and then reloading it into TS2ki is not an option.
>
>Tom

Tom:

One way to do it is to create a function for the two data streams in the 
spread. The function below seems to work for the metastock stochastic. You 
then need to replace "metak" in the stochastic study with "metakd2d3" (or 
whatever you want to call it. Actually, I did this one for data3 and data4 
because I plot the A/D line there as a spread under the SPX. I don't use 
this stochastic on the spread though, and it occurs to me it could get weird 
as the spread crosses the zero line. There is probably a more elegant way, 
and there may be someting I missed, but this is what occured to me. Change 
data3 and data 4 to data1 and data2 if that's where your data is. Good luck.

Bill Wynne

Bill@xxxxxxxxxxxxxxx




Inputs: KPeriods(NumericSimple), KSlow(NumericSimple);

Value1=Lowest(Low of data3 - low of data4,KPeriods);
Value2=Highest(High of data3 - high of data4,KPeriods);
Value3=Value2-Value1;

If Value3>0 then begin
  If KSlow<=1 then METAKd2d3=((Close of data3 -close of data4) - 
Value1)/(Value3)*100
  else
  METAKd2d3=Average(Close of data3 - close of data4 - 
Value1,KSlow)/Average(Value3,KSlow)*100;
End;
if Average(Close of data3 - close of data4 - Value1,KSlow)<0 then 
Metakd2d3=0;




</x-flowed>