two_leg_spread_returns_zscore

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.

Notas de Lançamento

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

Notas de Lançamento

- set background faint pink if returns have different signs

Notas de Lançamento

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

Notas de Lançamento

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

Script de código aberto

Em verdadeiro espírito do TradingView, o criador deste script o tornou de código aberto, para que os traders possam revisar e verificar sua funcionalidade. Parabéns ao autor! Embora você possa usá-lo gratuitamente, lembre-se de que a republicação do código está sujeita às nossas Regras da Casa.

taylor_o

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Script de código aberto

taylor_o