OPEN-SOURCE SCRIPT
Actualizado two_leg_spread_returns_zscore
This script helps assess the relative returns of each leg in a two-legged spread. It shows the z-score of each period's returns, along with a moving average of the difference between the two returns. A negative moving average implies that the second leg is strengthening, on a relative return basis, against the first leg, and vice versa. The inputs are:
- timeframe: the timeframe for the calculations. the default is five minutes.
- leg1_sym: the symbol for the first leg
- leg2_sym: the symbol for the second leg
- ma_length: the length of the moving average. by default it is 48, or the previous four hours, given the default timeframe.
The default symbols are RB and HO, simply as an example of an intercommodity spread.
- timeframe: the timeframe for the calculations. the default is five minutes.
- leg1_sym: the symbol for the first leg
- leg2_sym: the symbol for the second leg
- ma_length: the length of the moving average. by default it is 48, or the previous four hours, given the default timeframe.
The default symbols are RB and HO, simply as an example of an intercommodity spread.
Notas de prensa
- made lines transparent so they don't block each other- added 0 line
Notas de prensa
- set background faint pink if returns have different signsNotas de prensa
- colored background faint blue if leg1 advances while leg 2 declines, and orange if leg 2 advances and leg 1 declinesNotas de prensa
- moving average line is blue if above 0 (leg1 returns strengthening relative to leg 2), orange if below (opposite).Script de código abierto
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Exención de responsabilidad
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Script de código abierto
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
Exención de responsabilidad
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.