Hello,
Suppose that one security is a leading indicator for another on an intraday
basis. Let's say that I think that USDJPY leads the DOW. Both securities
will have different prices and will have different percentage movements
compared to one another. Plotting both indicators on top of one another, or
in separate windows, gives a general idea of their correlation but it is
not quite satisfactory.
It would be nice to create some kind of composite indicator that could be
used in a trading system. ROC does not do the trick nor does normalising
one or both prices.
Any input appreciated.
Regards,
Kevin
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