OPEN-SOURCE SCRIPT
TTP Pair Slope/Hedge
Pair slope/hedge uses linear regression to calculate the hedge ratio (slope) between the two assets within a period.
It allows you to specify a "from" and a "to" candle.
Example:
"A regression from 1000 candles back in time and ignore the last 100 candles. This would result in making a regression of 900 candles in total."
The formula used to perform the regression with the assts X and Y is:
Hedge =
mean( (X-mean(X))^2 )
——————————————————
mean( (X-mean(X)) * (Y-mean(Y)) )
You can later use the hedge in a chart of X - Hedge * Y
(Confirm with 1 / hedge )
If the plot is stationary the period tested should look like stationary.
If you cross an imaginary horizontal line across all the values in the period used it should look like a flat channel with values crossing above and below the line.
The purpose of this indicator is to help finding the linear regression test used for conintegration analysis. Conintegration assets is one of the requirements to consider assets for pair and hedge trading.
It allows you to specify a "from" and a "to" candle.
Example:
"A regression from 1000 candles back in time and ignore the last 100 candles. This would result in making a regression of 900 candles in total."
The formula used to perform the regression with the assts X and Y is:
Hedge =
mean( (X-mean(X))^2 )
——————————————————
mean( (X-mean(X)) * (Y-mean(Y)) )
You can later use the hedge in a chart of X - Hedge * Y
(Confirm with 1 / hedge )
If the plot is stationary the period tested should look like stationary.
If you cross an imaginary horizontal line across all the values in the period used it should look like a flat channel with values crossing above and below the line.
The purpose of this indicator is to help finding the linear regression test used for conintegration analysis. Conintegration assets is one of the requirements to consider assets for pair and hedge trading.
Script de código abierto
Siguiendo fielmente el espíritu de TradingView, el autor de este script lo ha publicado en código abierto, permitiendo que otros traders puedan entenderlo y verificarlo. ¡Olé por el autor! Puede utilizarlo de forma gratuita, pero tenga en cuenta que la reutilización de este código en la publicación se rige por las Normas internas. Puede añadir este script a sus favoritos y usarlo en un gráfico.
¿Quiere utilizar este script en un gráfico?
Join our membership to gain access to the private scripts.
thetradingparrot.com
thetradingparrot.com
Exención de responsabilidad
La información y las publicaciones que ofrecemos, no implican ni constituyen un asesoramiento financiero, ni de inversión, trading o cualquier otro tipo de consejo o recomendación emitida o respaldada por TradingView. Puede obtener información adicional en las Condiciones de uso.