|
PureBytes Links
Trading Reference Links
|
Try to use the ratio ....
Again, you are analysing your equity line here - your profit and loss
line from a long position. You are not analysing the actual prices,
which is sort of what you'll get with the ratio. If you have A / B
and always trade in the 2A and 3B ratio (trading in this ratio even
suggests that you should use a ratio) then you will can just as well
look at 2A / 3B = 2/3 x A/B. Note that we just multiply the ratio with
a factor. You can use the same moving average crossover strategy e.g.
on a ticker, or on 10 times the ticker, or on xxx times the ticker, or
on 2/3 times the ticker. The scaling does not affect most technical
indicators. If you had something that will tell you to sell the Dow,
but buy 10 times the Dow, you know the indicator is a bit funny.
Anyhow, I understand why you want to look at 2A - 3B, since this is
your equity line (or its reverse, if you short) but you don't analyse
an equity line, you use indicators and they tell you when to get in or
out and these actions construct an equity line. Sort of a chicken and
egg situation, but if you analyse the spread you start with the egg,
not the chicken.
Simply use the ratio. If the indicator you apply to this ratio tells
you to buy, then buy the spread and vice versa.
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 am trading SPY EQUITY ($121.56) against MMM EQUITY (73.18)hence i
> would trade 1 SPY share against 1.5 MMM shares or (more likely 2 by
> 3).
>
> Using the 1.5 ration to tackle volatility difference this is the file
> i get ...
>
> The indicator i use will not handle the negative values ...
>
> I really appreciate your help with this ...
>
> ie SPY *1 subtract MMM *1.5
>
> -2.31249
> -3.59750
> -1.59000
> -1.17999
> 0.19500
> -0.05750
> -0.49001
> -1.90750
> -1.22250
> -1.73250
> -2.02000
> -1.82251
> -1.78751
> -2.81500
> -4.03999
> -4.12250
> -4.75249
> -5.92750
> -7.63750
> -4.47499
> -3.65500
> -4.27000
> -4.47000
> -6.15500
> -5.55000
> -5.69000
> -5.05000
> -6.93000
> -6.49000
> -6.87999
> -6.73500
> -5.56000
> -4.97499
> -6.81500
> -8.18000
> -8.39000
> -10.1900
> -10.5450
> -9.94000
> -9.98000
> -10.8350
> -11.1750
> -11.6900
> -13.0050
> -12.1950
> -13.4900
> -12.9150
> -13.0000
> -12.9500
> -13.0800
> -12.6000
> -12.0200
> -13.1150
> -12.3350
> -12.3550
> -11.9750
> -10.5550
> -11.4200
> -12.0550
> -13.7500
> -12.7650
> -12.5500
> -12.1100
> -14.8300
> -14.0950
> -14.3250
> -14.3500
> -14.2600
> -15.3550
> -16.2900
> -14.6800
> -13.9300
> -14.0650
> -15.4000
> -16.3100
> -16.6900
> -15.4250
> -17.2050
> -18.2150
> -17.1850
> -16.7400
> -16.6150
> -15.5900
> -15.2400
> -16.2650
> -13.8250
> -15.0000
> -14.5000
> -11.9300
> -10.6400
> -11.2100
> -11.5350
> -11.7600
> -12.0500
> -12.6700
> -13.9900
> -6.41501
> -7.52500
> -8.36500
> -8.51000
> -7.83500
> -8.47000
> -6.63000
> -5.79999
> -5.15499
> -3.03000
> -4.57000
> -6.32500
> -5.32000
> -5.26500
> -4.60500
> -7.02500
> -6.03000
> -5.82000
> -4.39000
> -4.31000
> -3.83000
> -3.41999
> -4.67000
> -6.07001
> -4.83001
> -2.98500
> -2.33000
> -2.01000
> -2.00999
> -1.98499
> -2.73499
> -2.34500
> -1.61001
> -1.54500
> -2.27500
> -1.42000
> -1.90499
> -1.75000
> -1.10501
> -6.42500
> -6.30000
> -6.75000
> -8.58001
> -9.91500
> -9.94000
> -9.59500
> -10.5300
> -8.94001
> -8.61001
> -9.55000
> -9.70501
> -7.79501
> -8.03000
> -8.85500
> -9.34500
> -9.49500
> -9.27500
> -10.6100
> -10.3750
> -10.6000
> -11.3150
> -11.7650
> -11.8100
> -12.8800
> -13.2100
> -16.1750
> -17.4900
> -17.4250
> -18.2700
> -17.2600
> -17.3500
> -18.7600
> -18.3950
> -17.6900
> -15.8450
> -15.3450
> -16.6850
> -16.4800
> -16.4750
> -17.5750
> -16.7750
> -15.6750
> -15.7300
> -15.0300
> -14.1950
> -13.6800
> -14.5700
> -13.5550
> -13.6100
> -13.7600
> -14.5550
> -13.9800
> -14.5350
> -15.2850
> -15.0650
> -14.3100
> -13.0700
> -14.3350
> -14.3250
> -14.9800
> -14.5050
> -14.3050
> -13.8750
> -15.0650
> -17.0050
> -17.7200
> -20.4800
> -19.5750
> -18.4800
> -19.1500
> -19.5850
> -20.7800
> -20.4850
> -19.3150
> -18.3700
> -19.4350
> -20.4250
> -20.1900
> -19.7450
> -20.0700
> -19.2100
> -20.7650
> -22.1300
> -21.0500
> -14.3350
> -15.8600
> -15.7900
> -15.6700
> -14.9700
> -13.6950
> -14.8050
> -12.8850
> -12.6100
> -12.7000
> -14.2550
> -14.1850
> -14.5700
> -13.9550
> -12.9550
> -12.1750
> -11.0350
> -10.6850
> -9.70500
> -9.30000
> -9.04500
> -9.11000
> -9.97000
> -10.2600
> -9.92499
> -10.3400
> -10.5200
> -10.7000
> -10.8050
> -10.7700
> -11.4200
> -12.4300
> -12.9700
> -12.7300
> -13.7900
> -13.4700
> -13.1950
> -13.2950
> -13.9750
> -13.5450
> -12.2200
> -10.2000
> -9.93501
> -10.3300
> -8.94000
> -9.39500
> -8.79500
> -7.10000
> -6.56000
> -5.78500
> -7.32500
> -6.33000
> -8.19500
> -5.88500
> -4.57001
> -4.24000
> -7.09000
> -6.04001
> -6.38000
> -5.86000
> -5.41500
> -5.43000
> -5.76000
> -5.71000
> -2.47000
> -2.34500
> -4.68001
> -5.16000
> -3.83000
> -3.49500
> -2.79000
> -3.47500
> -2.50500
> -3.15500
> -1.85500
> -0.26999
> 2.04500
> -0.57000
> -4.82000
> -4.96000
> -4.90501
> -4.30500
> -4.96000
> -5.23000
> -4.68999
> -4.77500
> -4.76500
> -4.81501
> -4.00500
> -3.12999
> -2.19999
> -1.93500
> -1.89001
> -2.19000
> -1.49500
> -1.44499
> -0.53500
> -2.37000
> -1.34501
> -0.20501
> -0.07000
> 0.75500
> 1.13000
> 2.65000
> 3.04000
> 2.24500
> 0.96000
> -1.49000
> -1.65500
> -1.26000
> -1.58500
> -3.05501
> -2.70501
> -3.30500
> -2.75000
> -2.99500
> -2.23500
> -3.30000
> -3.76500
> -3.08500
> -3.58000
> -5.01000
> -6.91000
> -8.88500
> -8.87000
> -8.06500
> -7.71500
> -3.55999
> -5.03500
> -6.92500
> -5.12500
> -5.88000
> -7.35000
> -7.89999
> -6.90500
> -7.44500
> -8.38000
> -7.21000
> -5.74000
> -5.89999
> -5.89000
> -5.75000
> -6.30000
> -5.71500
> -6.11000
> -5.29000
> -6.23500
> -7.85500
> -8.99001
> -8.33500
> -7.93501
> -7.49000
> -6.43000
> -6.16500
> -5.47000
> -5.28001
> -5.47500
> -5.67000
> -6.13000
> -6.96000
> -7.27500
> -7.23999
> -8.21000
> -8.73500
> -8.05500
> -7.71000
> -8.65000
> -9.88000
> -9.59500
> -10.7000
> -10.4050
> -11.1700
> -10.6050
> -10.7800
> -10.4450
> -10.4450
> -10.7900
> -10.5750
> -10.2500
> -9.42000
> -8.51500
> -8.63000
> -8.50001
> -8.82500
> -8.61501
> -9.17500
> -9.03000
> -7.80000
> -7.14000
> 0.65000
> 0.01500
> -0.05000
> -0.82500
> -0.02000
> 0.06500
> 1.00500
> 0.75000
> 1.35499
> 1.04500
> 1.08001
> 1.46000
> 1.47500
> 1.25500
> 1.09499
> 1.22499
> 1.68500
> 1.75500
> 2.28000
> 2.30500
> 2.17001
> 2.06500
> 1.64000
> 2.50000
> 3.53001
> 1.98500
> 2.21500
> 3.82001
> 4.58000
> 4.77999
> 4.50500
> 5.00000
> 5.90500
> 6.15000
> 5.80000
> 5.62000
> 5.07001
> 6.21000
> 6.51500
> 6.44501
> 5.87000
> 6.89500
> 6.39500
> 5.98000
> 5.61500
> 5.68500
> 4.75000
> 6.05500
> 5.76000
> 5.46500
> 4.50000
> 5.77000
> 10.7300
> 10.0300
> 10.0600
> 10.2350
> 9.23500
> 8.82000
> 7.74501
> 9.95500
> 9.75000
> 9.76500
> 9.66500
> 10.5550
> 11.5850
> 11.4200
> 10.8950
> 11.4750
> 11.9350
> 12.6700
> 13.3150
> 12.5200
> 11.2400
> 10.7000
> 12.0700
> 13.4350
> 13.6950
> 13.3950
> 14.1400
> 15.3900
> 15.3300
> 15.2800
> 15.1500
> 15.5500
> 14.7200
> 14.5600
> 14.3100
> 14.3650
> 14.5900
> 15.7550
> 14.1700
> 14.6400
> 14.2750
> 15.0700
> 14.5800
> 15.8550
> 16.2000
> 15.0200
> 14.6500
> 13.2550
> 13.8200
> 14.3200
> 13.0050
> 12.6600
> 12.6300
> 13.1850
> 13.4750
> 14.3400
> 13.5250
> 12.4150
> 12.1400
> 12.6150
> 11.8850
------------------------ Yahoo! Groups Sponsor --------------------~-->
Put more honey in your pocket. (money matters made easy).
http://us.click.yahoo.com/r7D80C/dlQLAA/cosFAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|