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Pairs

Symbols Correlation, built for pair tradingOverview: This script is designed for pairs trading. If you are not familiar with pairs trading, I suggest learning about it, as it can be a profitable strategy in neutral markets (or neutral trends between two assets). The correlation between two assets is the foundation of pairs trading, and without it, the chances of making a profit are low. Correlation can be described in two opposite ways: 1: Absolute positive correlation (meaning the asset prices move together). -1: Absolute negative correlation (meaning the asset prices move in opposite directions). Any value between 1 and -1 indicates some degree of correlation, but generally, values higher than 0.7 or lower than -0.7 are considered significant. Features: Typically, correlation is measured using the closing prices. This script adds three more correlation studies based on open, high, and low prices. By using all four lines, we can get a better understanding of the pair's correlation. How to Read This Indicator: To use this indicator effectively, you need to input your pair as a ratio. For example, if your pair is TSN and ZBH, enter it in the symbol search as: TSN/ZBH Gray Area : This area indicates "no high correlation" (default is between -0.8 and 0.8, adjustable in the settings). Gray Line : This represents the close correlation within the "no high correlation" range. Green Line : This represents the close correlation within the "high correlation" range. Dot Lines : These represent the open, high, and low correlations. Example Interpretations: A : All four lines are close together & the line is green – very good correlation! B : The line is gray, and the dot lines are apart – not a strong correlation. C : When the close correlation remains green for a long time, it signals a strong correlation. Application in Pairs Trading: In pairs trading, aim for the highest possible correlation, and it is important to have a sustained correlation over a long period. Pairs that correlate only part of the year but not consistently are less reliable for pairs trading. This is an example for good correlation for pairs trading: This is an example for bad correlation for pairs trading: Here is a view of my full indicators when doing pairs trading:
Pine Script™ indicator
by YoavShachak
Trend Momentum Strength Indicator, Built for Pairs TradingOverview: This script combines multiple indicators to provide a comprehensive analysis of both trend strength and trend momentum. It is tailored specifically for pairs trading strategies but can also be used for other trading strategies. Benefit of Comprehensive Analysis: Having an indicator that evaluates both trend strength and trend momentum is crucial for traders looking to make informed decisions. It allows traders to not only identify the direction and intensity of a trend but also gauge the momentum behind it. This dual capability helps in confirming potential trade opportunities, whether for entering trades with strong trends or considering reversals during overbought or oversold conditions. By integrating both aspects into one tool, traders can gain a holistic view of market dynamics, enhancing their ability to time entries and manage risk effectively. Features: * Trend Strength: Enhanced ADX Formula: The script includes modifications to the standard ADX formula along with DI+ and DI- to provide more responsive trend strength readings. Directional Indicators: DI+ (green line) indicates positive directional movement, while DI- (red line) indicates negative directional movement. Trend Momentum: Modified Stochastic Indicators: The script uses %K and %D indicators, modified and combined with ADX to give a clear indication of trend momentum. Momentum Strength: This helps determine the strength and direction of the momentum. Trading Signals: Combining Indicators: The script combines ADX, DI+, DI-, %K, and %D to generate comprehensive trading signals. Optimal Entry Points: Designed to identify optimal entry points for trades, particularly in pairs trading. Colored Area at Bottom: This area provides two easy-to-read functions: Color: Green: Upward momentum (ratio above 1) Red: Downward momentum (ratio below 1) Height: Higher in green: Stronger upward momentum Lower in red: Stronger downward momentum Legend: Green Line: DI+ (Positive) Red Line: DI- (Negative) Black Line: ADX How to Read This Indicator: 1) Trend Direction: DI+ above DI-: Indicates an upward trend. DI- above DI+: Indicates a downward trend. 2) Trend Strength: ADX below 20: Indicates a neutral trend. ADX between 20 and 25: Indicates a weak trend. ADX above 25: Indicates a strong trend. Trading Signals in Pairs Trading: Neutral Trend: Ideal for pairs trading when no strong trend is detected. Overbought/Oversold: Uses %K and %D to identify overbought/oversold conditions that support trade decisions. Entry Signals: Green signals for long positions, red signals for short positions, based on combined criteria of neutral trend strength and supportive momentum. Application in Pairs Trading: Neutral trend: In pairs trading strategies, where neutral movement is often sought, this indicator provides signals that are especially relevant during periods of neutral trend strength and supportive momentum, aiding traders in identifying optimal entry Risk Management: Combining signals from ADX, DI+, DI-, %K, and %D helps traders make more informed decisions regarding entry points, enhancing risk management. Example Chart (The indicator is on the upper right corner): Clean Presentation: The chart only includes the necessary elements to demonstrate the indicator’s functionality. Demonstrates: Overbought/oversold conditions, upward/downward/no momentum, and trading signals with/without specific scenarios.
Pine Script™ indicator
by YoavShachak
1
two_leg_spread_diffThis script helps you discern the relative change of each leg in a two-legged spread over a given period. The main plot is a difference in log return over the number of bars identified by the "lag" parameter. E.g. if "lag" is 10 and leg one has increased 3% over the past ten bars, while leg two has only increased 1%, the plot value is 2%. The main plot is also colored blue when leg one increases while leg two decreases on a given bar, and red if the opposite is true. This feature identifies periods where the correlation between the two legs diminishes. The one and two standard deviation of the main plot is also plotted in faint background lines. Additionally, a table indicates the percentage in which the main plot is within one standard deviation (acc 1) and two standard deviations (acc 2). Note that the standard deviation updates on each bar, so the current standard deviation is not the one used to calculate the accuracy. Rather, if there are N bars, N different standard deviation readings have been used to compute the accuracy statistics. The inputs are: - timeframe: the timeframe of the chart - leg1_sym: the symbol of the first leg - leg2_sym: the symbol of the second leg - lag: the number of bars back to reference for computing the log return of each leg - anchor_to_session_start: for intraday charts only, this overwrites the "lag" input so that the "lag" always sets the point of comparison to the session start. This setting is used to compute the relative change over a single session.
Pine Script™ indicator
by taylor_o
KAIRI RELATIVE INDEXAn old but gold Japanese indicator for Mean Reverting strategies and ideal for Pairs Trading... The Kairi Relative Index measures the distance between closing prices and a Moving Average in percent value (generally SMA). Extreme reading in the KRI are considered buy and sell signals. Extreme readings will vary by asset, with more volatile assets reaching much higher and lower extremes that more sedate assets. The KRI is not an accurate timing signal, and therefore, should be combined with other forms of analysis to generate trade signals. You can calculate percent difference between the price and 10 different types of Moving Averages in this version of KAIRI as: SMA : Simple Moving Average EMA : Exponential Moving Average WMA : Weighted Moving Average TMA : Triangular Moving Average VAR : Variable Index Dynamic Moving Average a.k.a. VIDYA WWMA : Welles Wilder's Moving Average ZLEMA : Zero Lag Exponential Moving Average TSF : True Strength Force HULL : Hull Moving Average VWMA: Volume Veighted Moving Average Personal advice: try using bigger length of Moving Averages like 50-100-200 for pairs and mean reversion strategies
Pine Script™ indicator
by KivancOzbilgic
24
level_statsThis script tells you the percentage of time an instrument's closing value is above and below a level of your choosing. The background color visually indicates periods where the instrument closed at or above the level (red) and below it (blue). For "stationary-ish" processes, you can get a loose feel for the mean, high, and low values. The historical information conveyed through the background coloring can help you plan derivatives trades. Try with your favorite pairs, commodities, or volatility indices. Usage: pick a level of interest using the input.
Pine Script™ indicator
by taylor_o
6
Currency PairsHello All, This script shows comparisons between major currencies for the specified time frame. it checks the change since the last bar and set the background and text color. You can change time frame and background & text colors. you can also change the location of the table as you wish. in the following example, the script was added to the chart two times, "4 hours" and "Day" time frames used. also changed the colors. Enjoy!
Pine Script™ indicator
by LonesomeTheBlue
26
Pair Strength BasketAgain thanks to LazyBear for bringing over the wavetrend indicator and glaz for the idea of the basket of currencies. This is a power index based on the wavetrend indicator, I cut it down to 5 securities per currency since the limit of securities I could call was 40. I like to use to see which pair is the most OB/OS as it likely presents the best profit potential. AUD = Yellow CAD = Gray CHF = Maroon EUR = Blue GBP = Red JPY = Purple NZD = Lime USD = Green
Pine Script™ indicator
by wpatte15
Currency Pairs High Low RangeIndicator gives the High-Low range of 18 currency pairs. There is a High Ave which is the average of the top four (you may need to adjust which ones are in the average) as well as the bottom four Low Ave. The picture is of a weekly chart with the indicator set at 12 week average of the High-Low range with a .7 (70%) multiplier. When I am looking for week long trades with lots of movement I pick my pairs based on the most actives with a 70% capture of the range as a guide line of when to exit. Sometime when I am not in the mood for volatility I go with the ones in the Low Ave area. Further, when I day trade I set the indicator to a 1Day chart and move the percent to 20% or 30% as a guideline to tell when to get out of a trade.
Pine Script™ indicator
by forexpirate
6
Kaufman Stress IndicatorStress Indicator, first proposed by Mr. Perry Kaufman, provides an easy way for trading pairs / arbs. Kaufman's trading rules for Stress Indicator: - Decide on a pair to trade: For ex., AAPL v QQQ - Calculate the Stress Indicator (SI) for that pair - Buy the stock when SI 50 - Calculate the 60-day moving average of QQQ - If the trend of QQQ is down, hedge the stock position with QQQ equal to the risk of the stock using the 20-day ATR of each - Exit the hedge when the stock position exits, or exit the hedge when the trend of QQQ turns up - Do not trade stocks under $3 Explanation of all potential SI applications is beyond this post. For more info: - ptasite.s3.amazonaws.com - www.futuresmag.com - kaufmansignals.com - TASC 2014 March issue. Though Kaufman's Stress stategy is built on top of this Stress Indicator, I suggest reading up his full strategy guidelines before applying this. Kaufman suggests using 60SMA on the index to track the slope. I have included a custom SMA (find it in the middle pane) that can show SMA for any selected symbol. Use the guide below to import that in to your charts: drive.google.com
Pine Script™ indicator
by LazyBear