The Elite Circle - atgPairsDiversion
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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

  • 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.

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September 13th, 2015
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