two_leg_spread_returns_zscore

10 thg 9, 2022

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.

10 thg 9, 2022

Phát hành các Ghi chú

- made lines transparent so they don't block each other
- added 0 line

10 thg 9, 2022

Phát hành các Ghi chú

- set background faint pink if returns have different signs

10 thg 9, 2022

Phát hành các Ghi chú

- colored background faint blue if leg1 advances while leg 2 declines, and orange if leg 2 advances and leg 1 declines

10 thg 9, 2022

Phát hành các Ghi chú

- moving average line is blue if above 0 (leg1 returns strengthening relative to leg 2), orange if below (opposite).