The Elite Circle - atgPairsDiversion
futures io futures trading


Categories Help    

The Elite Circle
File sharing for Elite Members only, includes any and all platforms and file types


Entries
atgPairsDiversion 5 *
TradeStation ShowMe and PaintBar studies for identifying and quantifying divergences between pairs of data series.

I wrote these studies with the intention of applying them to the S&P500 and the VIX, however they may be applied to any pair of data series.

To use, load a minute chart window with the SPY as data1 and the VIXY as data2. Make sure both series have the same bar settings ( ie, 5 minute and 5 minute ).

The paint bar study has a slightly weakened algorithm in order to give the viewer a “heads up” that the show me indicator may signal.

The example chart is 5 minute from 9/8/2015



Interpretation
  • A green dot under a bar is a long signal. It means the VIX is falling at a relatively greater quantity than the S&P is rising.
  • A red dot above bar is a short signal. It means the VIX is rising at a relatively greater quantity than the S&P is falling.

The studies work as follows:
  • The data series for data2 ( the VIX in our example ) is inverted by calculating the reciprocal of the close ( 1/close). This effectively flips the chart upside down.
  • The natural logarithmic returns for data1 and data2 are calculated and stored in a pair of data series for each.
  • The difference between the returns series are run through a pair of RSI oscillators in order to discover progressive divergences between them.


Category The Elite Circle 
 
Suggest other entries I might like
Details: atgPairsDiversion
Category: The Elite Circle 


September 13th, 2015
Size: 19.27 KB
 


 
Category
 



Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.