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Relative Price Indicator
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Created: by halldorf Attachments:7

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Relative Price Indicator

  #1 (permalink)
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Relative Price Indicator

I started here a Year ago and I like Big Mikes forum although I have not used it much until recently. Here I want to share a Indicator I have used to compare Price movements for different Markets. It is very simple. If you look at the
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You use, 300 in the Picture and that is the Magenta line (=1). The Red lines with the Bars are a variation of "Bill Williams Alligator - Red Line": I use EMA (8) with a Displacement of 5.

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Hi @halldorf,
thanks for sharing. Unfortunately I do not really understand how this indicator works.
Could you perhaps add some more details on its logic or detail some trade examples executed on the basis of the information provided by this indicator?
Maybe it would be helpful also you inserting into the script of the indicator some "//green rows" explaining of what the various commands or actions are supposed to do.

Do you think you could similarly apply this indicator also to treasuries bonds futures such as ZT, ZF, ZN, ZB, UB, all together, in order to compare the mutual variations of their relative values?
Thanks.
guidoisot.

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Relative Price Indicator in action:

Hi guidoisot,
Thank you for your post.
The Relative Price Indicator (RPI) simply shows the price relative to the instruments EMA.
In the attached image you can see the UB,ZB,ZF and ZN in a 5min chart this morning.
All best,
halldorf

Attached Thumbnails
Relative Price Indicator-ub-09-16-5-min-_-zb-09-16-5-min-_-zf-09-16-5-min-_-zn-09-16-5-min-12_7_2016.jpg  
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How should I change the indicator parametrs

Hi halldorf,
I have tried to replicate a similar chart on bonds, but as you can see from the attached image I cannot get the horizontal reference line you have on your chart. Please can you give some guidance on how to use this indicator. I would like to explore it and find out whether it is possibe to apply it also to bond future spreads (for example to a selection of the most traded ones chosen from this list https://www.cmegroup.com/trading/interest-rates/files/Treasury_ICS__Take_a_Closer_Look_July_2010_FINAL.pdf).
Thank you.
guidoisot

ps please pm me if you would not mind to share with me your skype id, that would be great, thanks.

Attached Thumbnails
Relative Price Indicator-schermata-2016-07-14-00.30.16.jpg  
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  #7 (permalink)
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Indicator parameters:

Hi Guidoisot,
You are on the right track.
The horisontal line is on your chart, it is gold (Line0).
I usually change it to Magenta or Black.
You have to choose your time frame, the EMA period (MyInput0) and the colors of each instrument.
I usually set the EMA period to 200 or 300.
The noofdev is for deviations bands, I use most often 0 (then the green and black line disappear).
I usually use 7 for smoothing.
You can invert the line by setting inverse to 1.
You have to apply the indicator for each instrument and choose a new color for each (Plot0).
You choose the instrument in the field Input series.
I use this indicator a lot but it is not perfect and my trading is a hobby.
All best,
Halldor

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  #8 (permalink)
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thanks

Hi @halldorf
I apologize for not replying earlier on.
I thought I was going to receive an alert in case you replied to my post, but it appears that I forgot to subscribe this thread so I realized just this morning of your kind reply. Thanks.
I shall need to read it again, in the meantime let me attach some screenshots of the type of charting I am developing/exploring in order to understand how I can spot, day by day or, perhaps, week by week, the ratios or (?) the relationship among different moves (or (?) different relative strengths) of the different sectors of the yield curve. I am using a lot of "? - question marks" because I am myself just trying to understand by kind of "blind attempts" how the different maturities of the yield curve move reciprocally.
Orange is ZB, blue is ZN, green is ZF, white is ZT.
The problem I find with the attached charts is setting an initial point of reference. Probably a better way to find out which sector has, day by day, the highest distance from the ZT white line, would be to represent just the histograms of the differences of the three futures compared to the ZT white line, or even better to take as a reference the distances of these three lines from their corresponding moving averages AND the distances of the 3 moving averages from the moving average of the ZT white line.
I wish I could do some quick programming about all this.
Thanks again and please let me know whether and how you think your indicator (or its concept) could be used in order to find out which sector of the yield curve has the largest belly (distance) compared to the ZT white line in relation to the other distances form the same ZT white line.
Ciao. guidoisot.

Attached Thumbnails
Relative Price Indicator-long-term-view.png   Relative Price Indicator-mid-term-view.png   Relative Price Indicator-short-term-view-chart-starts-just-next-brexit-news-.png  
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