Intraday ratio standard deviation on a Daily chart

trader rog

#1

6/9/2011 9:09 PM

Hello everyone,
I am looking to incorporate an intraday ratio standard deviation of two stocks into the code below. The idea is to enter a pair intraday after the standard deviation first widens x% from the previous day's close, then enter when it retraces y%.

For example, if the ko/pep ratio closed yesterday at 2 s.d., then today I would look for a further widening to 2.2 (10% wider from prev close), and enter when it retraces to 2.09 (5% retrace from 2.2).

Entries should be AtMarket bar+1 using 5 minute bars. Exits should be ExitAtClose of the last bar of day.

The main issue here is how to update the ratio s.d. intraday so entries can be based on it. The ratio s.d. number is called "DeltaNorm" in the code below.

I understand that I will need to use the SetScaleDaily() method, Synchronize, etc., but calculating the ratio s.d. intraday is tripping me up and my code looks like a mess. Therefore, I included the Daily code below from which to work from. I appreciate any help someone can offer.

CODE:
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Hello everyone,
I am looking to incorporate an intraday ratio standard deviation of two stocks into the code below. The idea is to enter a pair intraday after the standard deviation first widens x% from the previous day's close, then enter when it retraces y%.

For example, if the ko/pep ratio closed yesterday at 2 s.d., then today I would look for a further widening to 2.2 (10% wider from prev close), and enter when it retraces to 2.09 (5% retrace from 2.2).

Entries should be AtMarket bar+1 using 5 minute bars. Exits should be ExitAtClose of the last bar of day.

The main issue here is how to update the ratio s.d. intraday so entries can be based on it. The ratio s.d. number is called "DeltaNorm" in the code below.

I understand that I will need to use the SetScaleDaily() method, Synchronize, etc., but calculating the ratio s.d. intraday is tripping me up and my code looks like a mess. Therefore, I included the Daily code below from which to work from. I appreciate any help someone can offer.

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class PairsTrading : WealthScript
	{
		private StrategyParameter entrysd;
		private StrategyParameter movingaverage;
		
		public PairsTrading()
		{
			entrysd = CreateParameter("Entry Threshold", 2.0, 1.5, 3.5, 0.10);
			movingaverage = CreateParameter("Moving Average Length", 200, 100, 200, 50);
			
		}			
		protected override void Execute()
		{
			double entry = entrysd.Value;
			int ma = movingaverage.ValueInt;			
			int MAPeriod;
			double upThreshold, downThreshold;
			string stock1, stock2, longSymbol, shortSymbol;		
		
			// enter your symbols here
			stock1 = "KO";
			stock2 = "PEP";
		
			// temporary
			longSymbol = stock1;
			shortSymbol = stock2;			
			upThreshold = entry;
			downThreshold = -entry;
			MAPeriod = ma;
		
			// compute series
			DataSeries close1;
			DataSeries close2;
			SetContext( stock1, true );
			close1 = Close;
		
			//RestoreContext();
			SetContext( stock2, true );
			close2 = Close;
			RestoreContext();
			
			DataSeries Spread = close1 - close2; Spread.Description = "Spread";
			DataSeries SpreadSMA = SMA.Series( Spread, MAPeriod ); SpreadSMA.Description = "SpreadSMA";
			
			DataSeries ActualRatio = close1 / close2; ActualRatio.Description = "ActualRatio";
			DataSeries ActualRatioSMA = SMA.Series( ActualRatio, MAPeriod ); ActualRatioSMA.Description = "ActualRatioSMA";
			DataSeries Delta = ActualRatio - ActualRatioSMA; Delta.Description = "Delta";
			DataSeries DeltaSMA = SMA.Series( Delta, MAPeriod ); DeltaSMA.Description = "DeltaSMA";
			DataSeries DeltaDifference = Delta - DeltaSMA; DeltaDifference.Description = "DeltaDifference";
			DataSeries DeltaNorm = DeltaDifference / StdDev.Series( Delta, MAPeriod, WealthLab.Indicators.StdDevCalculation.Sample ); DeltaNorm.Description = "DeltaNorm";			
		
			int longspread = 0;
			int shortspread = 0;	
			
			//Exit rules
			for(int bar = 201; bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					if ((DeltaNorm[bar] < 0) & (shortspread > 0))  				
						{							
							ExitAtClose( bar, Position.AllPositions );
							shortspread = 0;
						}		
					if ((DeltaNorm[bar] > 0) & (longspread > 0))						
						{						
							ExitAtClose( bar, Position.AllPositions );
							longspread = 0;						
						}
				}
				
			
			//Entry rules						
						if( DeltaNorm[bar] > entry )
						{
							shortSymbol = stock1;
							longSymbol = stock2;
							SetContext( stock1, true );
							ShortAtClose( bar, "ShortSell " + stock1 );
							SetContext( stock2, true );
							BuyAtClose( bar, "Buy " + stock2 );
							shortspread++;
						} else
							if( DeltaNorm[bar] < -entry )
						{
							shortSymbol = stock2;
							longSymbol = stock1;
							SetContext( stock2, true );
							ShortAtClose( bar, "ShortSell " + stock2 );
							SetContext( stock1, true );
							BuyAtClose( bar, "Buy " + stock1 );
							longspread++;
						}
						RestoreContext();
			}		
			Bars.Cache.Clear(); 
		}
	}
}[/CODE]

Eugene

#2

6/10/2011 5:48 AM

No the SetScaleDaily etc. isn't needed I think: you just need to get the value of the DataSeries at the previous day's close. So here goes (for intraday data, run on the 1st symbol of the pair):

CODE:
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No the SetScaleDaily etc. isn't needed I think: you just need to get the value of the DataSeries at the previous day's close. So here goes (for intraday data, run on the 1st symbol of the pair):
[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;

namespace WealthLab.Strategies
{
	public class PairsTrading : WealthScript
	{
		private StrategyParameter entrysd;
		private StrategyParameter movingaverage;
		
		public PairsTrading()
		{
			entrysd = CreateParameter("Entry Threshold", 2.0, 1.5, 3.5, 0.10);
			movingaverage = CreateParameter("Moving Average Length", 200, 100, 200, 50);
			
		}
		
		protected override void Execute()
		{
			if( !Bars.IsIntraday ) {
				DrawLabel( PricePane, "Intraday data required" );
				Abort();
			}
			
			double entry = entrysd.Value;
			int MAPeriod = movingaverage.ValueInt;			
			double upThreshold, downThreshold;
			string stock1, stock2, longSymbol, shortSymbol;	
		
			// enter your symbols here
			stock1 = "KO";
			stock2 = "PEP";
		
			// temporary
			longSymbol = stock1;
			shortSymbol = stock2;			
			upThreshold = entry;
			downThreshold = -entry;
	
			if( Bars.Symbol != stock1 )
				Abort();
			
			// compute series
			DataSeries close1;
			DataSeries close2;
			SetContext( stock1, true );
			close1 = Close;
		
			//RestoreContext();
			SetContext( stock2, true );
			close2 = Close;
			RestoreContext();

DataSeries Spread = close1 - close2; Spread.Description = "Spread";
			DataSeries SpreadSMA = SMA.Series( Spread, MAPeriod ); SpreadSMA.Description = "SpreadSMA";			
			DataSeries ActualRatio = close1 / close2; ActualRatio.Description = "ActualRatio";
			DataSeries ActualRatioSMA = SMA.Series( ActualRatio, MAPeriod ); ActualRatioSMA.Description = "ActualRatioSMA";
			DataSeries Delta = ActualRatio - ActualRatioSMA; Delta.Description = "Delta";
			DataSeries DeltaSMA = SMA.Series( Delta, MAPeriod ); DeltaSMA.Description = "DeltaSMA";
			DataSeries DeltaDifference = Delta - DeltaSMA; DeltaDifference.Description = "DeltaDifference";
			DataSeries DeltaNorm = DeltaDifference / StdDev.Series( Delta, MAPeriod, StdDevCalculation.Sample ); 
			DeltaNorm.Description = "DeltaNorm";
			
			ChartPane sPane = CreatePane(30,true,true);
			PlotSeries(sPane,DeltaNorm,Color.Black,LineStyle.Solid,1);
			DrawHorzLine(sPane,upThreshold,Color.Blue,LineStyle.Dashed,1);
			DrawHorzLine(sPane,downThreshold,Color.Red,LineStyle.Dashed,1);
		
			bool longspread = false; bool shortspread = false;			
			bool shortSetup = false; double shortValue = 0; int shortBar = -1;
			bool longSetup = false; double longValue = 0; int longBar = -1;
			
			//Exit rules
			for(int bar = MAPeriod + Bars.FirstActualBar ; bar < Bars.Count; bar++)
			{
				bool lastBar = Bars.IsLastBarOfDay(bar);
				int lastBarYesterday = bar - Bars.IntradayBarNumber(bar) - 1;
				
				if (IsLastPositionActive)
				{
					if( lastBar )
					{
						if ((DeltaNorm[bar] < 0) & shortspread)  				
						{							
							ExitAtClose( bar, Position.AllPositions );
							shortspread = false;
						}		
						if ((DeltaNorm[bar] > 0) & longspread)
						{						
							ExitAtClose( bar, Position.AllPositions );
							longspread = false;					
						}
					}
				}
				else
				{
					//Entry rules
					if( !shortSetup ) {
						shortSetup = ( DeltaNorm[bar] > DeltaNorm[lastBarYesterday] * 1.1);
						shortValue = DeltaNorm[bar];
						shortBar = bar;
					}
					if( shortSetup )
						SetBackgroundColor( bar, Color.LightBlue );

if( !longSetup ) {
						longSetup = ( DeltaNorm[bar] < -DeltaNorm[lastBarYesterday] * 0.9);
						longValue = DeltaNorm[bar];
						longBar = bar;
					}
					if( longSetup )
						SetBackgroundColor( bar, Color.LightCoral );
					
					if( shortSetup && DeltaNorm[bar] <= shortValue * 0.95 && !lastBar && bar > shortBar)
					{
						SetBackgroundColor( bar, Color.Blue );
						shortSymbol = stock1;
						longSymbol = stock2;
						SetContext( stock1, true );
						ShortAtClose( bar, "ShortSell " + stock1 );
						SetContext( stock2, true );
						BuyAtClose( bar, "Buy " + stock2 );
						shortspread = true;
						shortSetup = false;
					} else
						if( longSetup && DeltaNorm[bar] <= longValue * 0.95 && !lastBar && bar > longBar)
					{
						SetBackgroundColor( bar, Color.Red );
						shortSymbol = stock2;
						longSymbol = stock1;
						SetContext( stock2, true );
						ShortAtClose( bar, "ShortSell " + stock2 );
						SetContext( stock1, true );
						BuyAtClose( bar, "Buy " + stock1 );
						longspread = true;
						longSetup = false;
					}
					RestoreContext();
				}
			}		
		}
	}
}[/CODE]

Cone

#3

6/10/2011 11:47 AM

I don't think that's what he's after Eugene. He want the Daily StdDev calculated on an intraday basis. I've got some experience creating those indicators (RSI, SMA, StochK, StockD), so I'll give it a try. It could be a neat idea for a TSL article :)

If I can get this one done, I'll work on formalizing a new Indicator Library - WealthLab.Indicators.IntraDaily

Eugene

#4

6/10/2011 11:56 AM

I think I read his words literally:

QUOTE:
I am looking to incorporate an intraday ratio standard deviation

Cone

#5

6/10/2011 1:33 PM

Well, maybe you're right, but trader_roq said, I understand that I will need to use the SetScaleDaily() method, Synchronize, etc., but calculating the ratio s.d. intraday is tripping me up and my code looks like a mess. So that make me think he's working with a Daily SD, but wants to know the current day's value every 5 minutes.

trader rog

#6

6/10/2011 8:17 PM

Cone you are exactly right. I am working with a Daily SD and want to know the current day's value every 5 minutes. Sorry I wasn't more clear Eugene.

Cone

#7

6/12/2011 9:06 AM

Here's the indicator part of the solution. Notice how in the demo, the "hybrid" indicator synchs up with the Daily indicator on the last bar, but the first sample of the next day usually changes value significantly. That's due to the DataSeries sample from period - 1 bars ago falling out of the window and being replaced with the latest intraday data. Consequently, you should probably start your comparison from that point forward, not from the yesterday's closing sample.

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Here's the indicator part of the solution.  Notice how in the demo, the "hybrid" indicator synchs up with the Daily indicator on the last bar, but the first sample of the next day usually changes value significantly.  That's due to the DataSeries sample from period - 1 bars ago falling out of the window and being replaced with the latest intraday data.  Consequently, you should probably start your comparison from that point forward, not from the yesterday's closing sample.

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;

namespace WealthLab.Strategies
{
	public class SMADailyOnIntradayBasis : WealthScript
	{		
		StrategyParameter _period;

public SMADailyOnIntradayBasis()
		{
			_period = CreateParameter("Fast Period", 10, 5, 20, 1);
		}		
		
		/// Returns the DataSeries with partial bar daily StdDev values for each intraday bar
		public DataSeries StdDevDailyIntraday(DataSeries ds, int per, StdDevCalculation sdc)
		{	
			Utility u = new Utility(this);
			double daySum = 0d;
			double mean = 0d;
			int[] dailyBarNums = null;
			SetScaleDaily(); 
			DataSeries dailySamples = ds;
			RestoreScale();
			dailySamples = Synchronize(dailySamples);	
			
			int calcAdjustment = 0;
			if (sdc == StdDevCalculation.Sample) calcAdjustment = 1;
			
			// the "instantaneous" sma is the sum + Close of the current bar / period
			DataSeries sd = new DataSeries(Bars, "Daily StdDev on Intraday Basis");
			int startBar = u.FirstBarofDay(per);
			sd.FirstValidValue = startBar;
			
			for (int bar = startBar; bar < Bars.Count; bar++)
			{							
				// On the first bar of the day, sum the previous per - 1 *day values*
				if( Bars.IntradayBarNumber(bar) == 0 )
				{
					// Grab the last per-1 daily samples
					dailyBarNums = LastBarDaysBackArray( Bars, bar, per - 1);
					
					daySum = 0d;					
					foreach (int dbn in dailyBarNums)
						daySum += dailySamples[dbn];						
				}
				// Calculate the average for the contribution of the close of this bar
				mean = ( daySum + ds[bar] ) / per;
				
				double sumSquares = 0d;
				foreach (int dbn in dailyBarNums)
				{
					double deviation = mean - dailySamples[dbn];
					deviation *= deviation;
					sumSquares += deviation;						
				}
				double currentDeviation = mean - ds[bar];
				currentDeviation *= currentDeviation;
				sumSquares += currentDeviation;	
				double avg = sumSquares / (per - calcAdjustment);
				sd[bar] = Math.Sqrt(avg);
				
			}
			return sd;		
		}
	
		// Returns an integer array of the last bars for the number of days specified, going back from the current bar
		public int[] LastBarDaysBackArray( Bars bars, int currentBar, int daysBack )
		{
			int[] result = new int[daysBack];
			
			int stBar = currentBar + 1;			
			for(int day = 1; day <= daysBack; day++)
			{
				stBar = stBar - 1 - bars.IntradayBarNumber(stBar - 1);
				result[day - 1] = stBar - 1;
			}
			return result;
		}
		
		protected override void Execute()
		{				
			int per = _period.ValueInt;
			DataSeries sd = null;	
			DataSeries sdDay = null;
			StdDevCalculation sdCalc = StdDevCalculation.Sample;

sd = StdDevDailyIntraday(Close, per, sdCalc);
			ChartPane sdPane = CreatePane(40, true, true);
			PlotSeries(sdPane, sd, Color.Blue, LineStyle.Solid, 2);
			
			
			// Compare it to the pure Daily StdDev
			SetScaleDaily(); 
			sdDay = StdDev.Series(Close, per, sdCalc);
			RestoreScale();
			sdDay = Synchronize(sdDay);
			PlotSeries(sdPane, sdDay, Color.Fuchsia, LineStyle.Solid, 1);
							
		}
	}
}[/CODE]

trader rog

#8

6/13/2011 4:21 PM

Thank you Cone! This looks like it will do the trick.

How can I incorporate this into the code that Eugene posted above so that the entries and exits are also accounted for?

Thanks again. I appreciate it.

Eugene

#9

6/13/2011 4:53 PM

Since there's no magic way of merging code (have to be done manually) and you already have the two thorough coding solutions by us, have you come up with something while trying to replace one SD series (from my code) with another (from Cone's)?

trader rog

#10

6/13/2011 8:30 PM

I have tried to merge the two but the thing I'm not sure of is how to apply Cone's code to 2 stocks because it was written for just one stock.

Cone

#11

6/14/2011 6:27 AM

CODE:
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This is pretty much how all indicators that don't use a Bars object parameter work. Come to think of it, another way to do it without SetContext is this:

CODE:
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trader rog

#12

6/14/2011 10:07 AM

Ok so now I know how to call the sd function for each stock, but to compute DeltaNorm, wouldn't I need the sd of the Delta?

Cone

#13

6/14/2011 11:59 AM

Well, looking at your code, it doesn't look like you even want the SD of each of the stocks, instead, you only want the SD of the ratio. Just pass the ratio series to the sd function.

trader rog

#14

6/15/2011 10:24 AM

This is what I came up with. It verifies but it's not working properly as no trades show up in the backtest.

CODE:
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This is what I came up with. It verifies but it's not working properly as no trades show up in the backtest.

[CODE]
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using Community.Components;

namespace WealthLab.Strategies
{
		public class SMADailyOnIntradayBasis : WealthScript
		{
				private StrategyParameter entrysd;
				private StrategyParameter movingaverage;
		
				public SMADailyOnIntradayBasis()
				{
						entrysd = CreateParameter("Entry Threshold", 2.0, 1.5, 3.5, 0.10);					
						movingaverage = CreateParameter("Moving Average Length", 200, 100, 500, 50);
				}	
		
				/// Returns the DataSeries with partial bar daily StdDev values for each intraday bar	
				public DataSeries StdDevDailyIntraday(DataSeries ds, int per, StdDevCalculation sdc)
				{
						Utility u = new Utility(this);			
						double daySum = 0d;		
						double mean = 0d;		
						int[] dailyBarNums = null;		
						SetScaleDaily(); 		
						DataSeries dailySamples = ds;		
						RestoreScale();		
						dailySamples = Synchronize(dailySamples);	
			
						int calcAdjustment = 0;			
						if (sdc == StdDevCalculation.Sample) calcAdjustment = 1;
			
						// the "instantaneous" sma is the sum + Close of the current bar / period
						DataSeries sd = new DataSeries(Bars, "Daily StdDev on Intraday Basis");
			
						int startBar = u.FirstBarofDay(per);		
						sd.FirstValidValue = startBar;
			
						for (int bar = startBar; bar < Bars.Count; bar++)			
						{
											
								// On the first bar of the day, sum the previous per - 1 *day values*
								if( Bars.IntradayBarNumber(bar) == 0 )				
								{	
										// Grab the last per-1 daily samples				
										dailyBarNums = LastBarDaysBackArray( Bars, bar, per - 1);
					
										daySum = 0d;
					
										foreach (int dbn in dailyBarNums)						
											daySum += dailySamples[dbn];
								}			
								// Calculate the average for the contribution of the close of this bar
				
								mean = ( daySum + ds[bar] ) / per;
				
								double sumSquares = 0d;				
								foreach (int dbn in dailyBarNums)			
								{					
										double deviation = mean - dailySamples[dbn];					
										deviation *= deviation;					
										sumSquares += deviation;										
								}
								double currentDeviation = mean - ds[bar];			
								currentDeviation *= currentDeviation;			
								sumSquares += currentDeviation;				
								double avg = sumSquares / (per - calcAdjustment);				
								sd[bar] = Math.Sqrt(avg);							
						}		
						return sd;			
				}
		
				// Returns an integer array of the last bars for the number of days specified, going back from the current bar
				public int[] LastBarDaysBackArray( Bars bars, int currentBar, int daysBack )
				{			
						int[] result = new int[daysBack];					
									
						int stBar = currentBar + 1;						
						for(int day = 1; day <= daysBack; day++)		
						{				
								stBar = stBar - 1 - bars.IntradayBarNumber(stBar - 1);				
								result[day - 1] = stBar - 1;		
						}		
						return result;	
				}
		
				protected override void Execute()		
				{	
						double entry = entrysd.Value;		
						int per = movingaverage.ValueInt;
						double upThreshold, downThreshold;
						string stock1, stock2, longSymbol, shortSymbol;	
						
						// enter your symbols here		
						stock1 = "ko";			
						stock2 = "pep";			
						
						// temporary			
						longSymbol = stock1;		
						shortSymbol = stock2;					
						upThreshold = entry;			
						downThreshold = -entry;			
			
						// compute series			
						DataSeries close1;			
						DataSeries close2;		
						SetContext( stock1, true );			
						close1 = Close;
				
						SetContext( stock2, true );			
						close2 = Close;		
						RestoreContext();
											
						DataSeries ActualRatio = close1 / close2; ActualRatio.Description = "ActualRatio";												
						DataSeries sd = null;			
						DataSeries sdDay = null;			
						StdDevCalculation sdCalc = StdDevCalculation.Sample;
						sd = StdDevDailyIntraday(ActualRatio, per, sdCalc);	
							
						ChartPane sdPane = CreatePane(40, true, true);						
						PlotSeries(sdPane, sd, Color.Blue, LineStyle.Solid, 2);
			
						bool longspread = false; bool shortspread = false;					
						bool shortSetup = false; double shortValue = 0; int shortBar = -1;		
						bool longSetup = false; double longValue = 0; int longBar = -1;
						
						//Exit rules			
						for(int bar = per + Bars.FirstActualBar ; bar < Bars.Count; bar++)
						{
								bool lastBar = Bars.IsLastBarOfDay(bar);				
								int lastBarYesterday = bar - Bars.IntradayBarNumber(bar) - 1;
				
								if (IsLastPositionActive)				
								{
										if( lastBar )
										{
												if ((sd[bar] < 0) & shortspread)  
												{
														ExitAtClose( bar, Position.AllPositions );							
														shortspread = false;
												}
												if ((sd[bar] > 0) & longspread)
												{
														ExitAtClose( bar, Position.AllPositions );							
														longspread = false;
												}
										}
								}
								else
								{
										//Entry rules					
										if( !shortSetup ) 
										{						
												shortSetup = ( sd[bar] > sd[lastBarYesterday] * 1.1);
												shortValue = sd[bar];						
												shortBar = bar;
										}
										if( shortSetup )						
												SetBackgroundColor( bar, Color.LightBlue );
					
										if( !longSetup ) 
										{						
												longSetup = ( sd[bar] < -sd[lastBarYesterday] * 0.9);						
												longValue = sd[bar];						
												longBar = bar;				
										}					
										if( longSetup )					
												SetBackgroundColor( bar, Color.LightCoral );
					
										if( shortSetup && sd[bar] <= shortValue * 0.95 && !lastBar && bar > shortBar)
										{
												SetBackgroundColor( bar, Color.Blue );
					
												shortSymbol = stock1;						
												longSymbol = stock2;					
												SetContext( stock1, true );						
												ShortAtClose( bar, "ShortSell " + stock1 );
						
												SetContext( stock2, true );						
												BuyAtClose( bar, "Buy " + stock2 );
						
												shortspread = true;						
												shortSetup = false;					
										} 
										else
												if( longSetup && sd[bar] <= longValue * 0.95 && !lastBar && bar > longBar)
										{
												SetBackgroundColor( bar, Color.Red );
					
												shortSymbol = stock2;						
												longSymbol = stock1;						
												SetContext( stock2, true );					
												ShortAtClose( bar, "ShortSell " + stock2 );
					
												SetContext( stock1, true );					
												BuyAtClose( bar, "Buy " + stock1 );
						
												longspread = true;						
												longSetup = false;					
										}				
										RestoreContext();			
								}			
						}						
			
						// Compare it to the pure Daily StdDev		
						SetScaleDaily(); 			
						sdDay = StdDev.Series(ActualRatio, per, sdCalc);		
						RestoreScale();			
						sdDay = Synchronize(sdDay);		
						PlotSeries(sdPane, sdDay, Color.Fuchsia, LineStyle.Solid, 1);								
				}
		}
}[/CODE]

trader rog

#15

6/19/2011 9:48 PM

Cone / Eugene - can one of you guys please take a glance at the code above and let me know where I'm going wrong? That would be really helpful.

Eugene

#16

6/19/2011 11:29 PM

Sorry, I currently have no time -- I've been busy upgrading an extension library for upcoming changes in 6.2. Experience suggests me that this week, as it usually happens after a new WL release, the place is going to be hot with lots of questions and requests.

Cone

#17

6/20/2011 2:07 AM

QUOTE:
The idea is to enter a pair intraday after the standard deviation first widens x% from the previous day's close, then enter when it retraces y%.

I don't get it. You enter when it widens and enter again when it retraces?

Also, are you really interested in intraday movements while using 200-day averages and deviations? On a 5-minute basis?

trader rog

#18

6/20/2011 11:06 AM

The entry is on the retrace only. This is mainly for one reason: I rarely sit in front of the computer, and if big news comes out on one of the stocks in the pair intraday and the spread blows out, the retrace rule will do a good job at protecting me from being a sitting duck.

I am interested in intraday movements in the spread because paying more careful attention to entries and exits allows for better risk management and a greater understanding of each pairs' behavioral tendencies. Also, in times of heightened market volatility, there is good potential to add value to an already profitable strategy using intraday entries.

Cone

#19

6/20/2011 4:26 PM

Understood, thanks.

The main problem here is that StdDevDailyIntraday uses a SetScale function, which is only valid for the standard (OHLC/V) series. In other words, it won't work for a ratio (or even a reference to a standard series). The Intraday/Daily SD function needs to be reformulated to apply here. Sorry about that.