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>>>How do you determine which spread to trade?
Spreads trend better than individual stocks. What I look for is 2 stocks
that generally trend the same but will generally widen the spread over the
long term. I look for an historical threshold for the spread to narrow. Once
the spread narrows to this threshold point, I take a spread position and
just wait for the spread to widen. Since the spread produces a better trend,
the MACD difference is also valuable to determine if the spread trend is
actually beginning to widen. Also since the spread trends a straighter
channel, I use what I call a "three-point-protractor" which basically takes
the first 3 high-low pivot points and uses the side having 2 points to
protract a trend line, thus establishing a general slope for a spread down
trend. When the MACD and the slope begin to break a downtrend, that is a
good point to enter a long spread trend position and ride it on up. After
establishing this entry point I generally ride out the downturns unless they
cross over.
Mike.
-----Original Message-----
From: Volker Knapp [mailto:vk@xxxxxxxxxxxx]
Sent: Thursday, June 06, 2002 11:27 PM
To: Treasure@xxxxxxx; fritz@xxxxxxxx; OMEGA LIST
Subject: AW: Buy or Selling Data2 - How can do?
Mike.
1. How do you determine which spread to trade?
2. What is your rule to find the for excample the most correlated symbol in
a list of 30 or 100 or whatever?
Thinking about it I might have s solution for you doing what you want to do
and using TS with it.
I guess you could write a code that would export all symbols from TS into
Excel and then check for which stocks fullfil your criteria and then use
them in TS again.
To backtest two symbols with the exact code in a spread you can do the same,
export all results into Excel and combine the equity curve. Make sure both
symbols have the exact data, else you get different result and it is
difficult to combine the equity curves.
Regards.
Volker Knapp
Wealth-Lab Inc.
http://www.wealth-lab.com
http://www.wealth-lab.de
++-----Ursprüngliche Nachricht-----
++Von: Michael Treasure [mailto:Treasure@xxxxxxx]
++Gesendet: Freitag, 7. Juni 2002 02:41
++An: fritz@xxxxxxxx
++Cc: OMEGA LIST
++Betreff: RE: Buy or Selling Data2 - How can do?
++
++
++Ok, I figured out how to do it...
++
++1. Write two duplicate strategies each having the same spread
++system logic.
++2. Create two duplicate charts each with a data1 and a data2
++except in the
++second chart reverse which symbols go in data1 and data2.
++3. Assign the first strategy to the first chart. The first
++strategy will buy
++and sell leg 1 of the spread only.
++4. Assign the second strategy to the second chart. The second
++strategy will
++buy and sell leg 2 of the spread only.
++5. Each strategy is aware of which leg it is trading. And
++because the data1
++and data2 symbols are reversed in the second chart, data1 will have the
++correct symbol for the correct leg of the strategy.
++
++This should take care of placing automated spread trades. For
++backtesting it
++would be a little more difficult. One could use the Performance
++for each one
++and just add the resulting performances of both strategies to
++achieve the
++overall spread performance. Or as mentioned, write the buys and
++sells to a
++comma delimited file and import the file into Excel to do the
++calculation.
++
++Mike.
++
++-----Original Message-----
++From: Gary Fritz [mailto:fritz@xxxxxxxx]
++Sent: Wednesday, June 05, 2002 6:27 PM
++To: Treasure@xxxxxxx
++Cc: omega-list@xxxxxxxxxx
++Subject: Re: Buy or Selling Data2 - How can do?
++
++
++> Does anyone know how can I Buy Data1 and Sell Data2 like doing a
++> intermarket spread?
++
++You can't. TS only supports buys, sells, stops, etc on Data1.
++
++You can construct a synthetic spread for backtesting purposes -- just
++chart your two markets and write the spread OHLC to a file, then
++chart that in data1. But you can't do that in realtime, unless you
++want to try something fancy like charting Mkt1 and Mkt2 in one
++window, calculating and writing out the spread to a file, and then
++forcing a second chart to re-read and chart the file at the end of
++each bar. Messy.
++
++If you don't use stops, you could compute your buy/sell points by
++calculating the spread value between data1 and data2, or data2/3, or
++whatever. What you actually buy and sell in data1 is fairly
++irrelevant. Then just follow the system's buy/sell signals when they
++hit. But this won't work if you need to use stops on the spread.
++
++Gary
++
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