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Spread

Libor-EFFRThis is the 3-month Libor minus effective federal funds rate. Traders watch certain spreads for a wider spread to indicate a bad economy. This is a conceptual indicator that tries to make sense of how important a FRA-OIS spread can be, in this case the Libor-EFFR. It may be completely wrong in calculation and understanding :) en.wikipedia.org www.investopedia.com Libor was derived from the TED Spread less 3-month treasury bills due to Quandl missing updated Libor data. fred.stlouisfed.org fred.stlouisfed.org For the OIS, EFFR is used because it has long historical data and is one of (maybe) the rates used for spread. SOFR was not available at the time but it appears that is what is more common nowadays. A possible derivative of this indicator would be taking Libor and putting it against something else.
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NeoButane tarafından
4
GreyPool VSA Spread/Wick Divergence IndicatorThe purpose of this indicator is to determine the distance between the spread of a bar/candle and the wick at a glance (Spread is defined as the range between the open and close and the wick is any part of the bar/candle that is beyond that range). Climactic action bars typically have large spreads and a pronounced wick which indicates hidden buying or selling. Definitions of Colors: Light Blue Area - Average spread size of the last x bars where x is the set MA period Red Column - Indicates a very high spread that is far beyond the average Yellow Column - Indicates spreads that are at the average line or just above it Green Column - Indicates a very low spread Thin Red Histogram - Indicates the size of the bottom wick (Either the distance between the close and low of down bars or the open and low or up bars) Thin Blue Histogram - Indicates the size of the top wick (Either the distance between the open and high for down bars or the close and high for up bars) *** Please Click The LIKE Button to Support Us, Thank You ***
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GreyPool tarafından
3
Spread by//Every spread & central tendency measure in 1 script with comfortable visualization, including scrips's status line. Spread measures: - Standard deviation (for most cases); - Average deviation (if there are extreme values); - GstDev - Geometric Standard Deviation (exclusively for Geometric Mean); - HstDev - Harmonic Deviation (exclusively for Harmonic Mean). These modified functions will calculate everything right, they will take source, length, AND basis of your choice, unlike the ones from TW. Central tendency measures: - Mean (if everything's cool & equal); - Median (values clustering towards low/high part of the rolling window); - Trimean (3/more distinguishable clusters of data); - Midhinhe (2 distinguishable clusters of data); - Geometric Mean ( |low.. ... ... .. .... ... . . . . . . . . . . . .high| this kinda data); <- Exp law - Harmonic Mean { |low. . . . . . . . . . . . . . .. . . .high| kinda data). <- Reciprocal law Listen: 1) Don't hesitate using Standard Deviation with non-mean, like "Midhinge Standard Devition", despite what ol' stats gurus gonna say, it works when it's appropriate; 2) Don't check log space while using Geometric Mean & Geometric Standard Deviation, these 2 implement log stuff by design, I mean unless u wanna make it double xd 3) You can use this script, modify it how you want, ask me questions whatever, just make money using it; 4) Use Midrange & Midpoints in tandem when data follows ~addition law (like this . . . . . . . . . . . . . . . . . . . . .). <- just addition law Look at the data, choose spread measure first, then choose central tendency measure, not vice versa. !!! Ain't gonna place ® sign on standard deviations like one B guy did in 1980s lmao, but if your wanna use Harmonic Deviations in science/write about/cite it/whatever, pls give me a lil credit at least, I've never seen it anywhere and unfortunately had to develop it by myself. it's useful when your data develops by reciprocals law (opposite to exponential). Peace TW
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gorx1 tarafından
19
Horus Spreadmaster Hello Traders, Horus Spreadmaster is an oscillator based on the spread of two tickers and may indicate oversold / overbought conditions compared to one or the other . You can also setup an other time frame. How it works? - Setup the tickers - Check the invert box if you have the correct ticker order - Setup any time frame you want - Display Stochastic - Display StochRSI If its indicated overbought, this does not mean it can't go higher. Same the other way around. Use other indicators and PA for more confluence. Wuuzzaa
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TechTrendDude tarafından
1
Arbitrage B3's IBOV FuturesThis indicator was made to calculate and show the spread between the B3's Ibovespa Futures and B3's Ibovespa Index increased by the Interest until the contract expiration date. The orange line "Arbitrage" is the spread. Inputs: Annual Interest Rate (%) -> Interest Rate that you want to be used to calculate the Interest of B3's IBOV Index. Working Days Until Contract Expires -> How many business days you have between your actual date and the expiration date of the Futures. Recommended TimeFrame to evaluate the "Arbitrage": 1 MIN
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luizgubarichello tarafından
Arbitrage BR STOCK / USA STOCKThis Indicator was made to show the BRL difference between an Stock in Brazil's B3 and it's respective ADR traded in the USA. By default, it will show the spread between PETR4 and it's ADR PBR.A using the USD-BRL pair from Forex. You can personalize this indicator to any Stock of your preference, and also change to any USD-BRL pair negotiated that you want. You'll have the following options to do so: B3's Stock Ticker -> Ticker negotiated at B3. USA's Stock Ticker -> The respective ADR of the first option. ADR's Multiplicative Factor -> How many B3's Stocks are equivallent to the USA Stock (found at the name of the ADR on Trade View). BRL/USD Market of Preference -> Which market you want to use to transform the price of the ADR from USD to BRL. Dollar Divisor -> The BRL must be equivallent to 1 Dollar for the script to work. So, if you want to use a USD/BRL market that does not represent this relation, you must divide it by some number to do so. For example, if you want to use B3's DOLFUT, than you must set this parameter to 1000 (because the points show at B3's DOLFUT are the amount of BRL equivallent to 1000 Dollars). Also, if you are using a market that trades Dollar equivalent to 1 BRL (Globex's 6LFUT, for example), then set this parameter to 0. Timeframe -> Recommended to be the same of the chart to better visualisation.
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luizgubarichello tarafından
Arbitrage DOL BR / DOL USAThis indicator is made to calculate and show the spread between the currency pair USD-BRL being negotiatied in Brasil's B3 and in USA's CME Globex. The orange line "Arbitrage" is the spread. The red/green line is the "Stop Loss" recommended for the strategy. If the line is green, it means that the reward/tisk ratio is above 1. IMPORTANT: MAKE SURE TO BE USING THE SAME TIMEFRAME ON BOTH THE INDICATOR AND THE CHART.
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luizgubarichello tarafından
Spread PercentThis indicator shows the percent change between the highs and the lows (or optionally the open and close) of each candle. You may also set a low and a high percent threshold to better highlight the candles that exceed your desired spread percent. Red signifies low spread, green is high spread - these are unrelated to the color of the candle body. There is also the option to display a moving average of the spread percent at your desired length which is a representation of volatility over time. This is not only helpful for historical analysis over time, but this can also be a time saver if you are trying to calculate the measured distance of a move. Save clicks - no more needing to use the measuring tool. The settings of the indicator on the chart above are: - Measure Candle Body Only? - No - Highlight Thresholds? - Yes - Thresholds Based on Moving Averages? - Yes - Low Percent Threshold - 3.0 - High Percent Threshold - 7.0 - Show Moving Average? - Yes - Moving Average Length - 5
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mcrypt28 tarafından
1
SpreadTrade - Distance (ps4 ver. 2)This script implements a rebrushed distance-based pair trading strategy. In this strategy, normally they trade the difference between the prices of two instruments. This difference is also called spread. Here, however we’ll trade the difference between two time frames of one instrument. And that's the main trick. Common procedure consists of the following steps: 1. Select two CORRELATED stocks. Here we'll use the same instrument in different TFs. 2. Generate the spread by calculating the difference between the prices/instruments. For distance based pair trading, we need to (rescale the data first and then) check the distance between them. 3. Define the logic to trade the spread and generate the trading signals. In this example we’ll calculate the rolling mean and rolling standard deviation of the spread. Whenever the spread goes above a rolling mean by one standard deviation, we’ll short the spread expecting the mean reversion behavior to hold true. And whenever the spread goes below its rolling mean by one standard deviation, we’ll go long on the spread. Mind that the meaning of the orange and blue signals depends on whether tf variable is smaller or larger than the built-in timeframe.multiplier variable, i.e. tf of the chart. For details see analyticsprofile.com Donate: PayPal (paypal.me)
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capissimo tarafından
9
Price Spread Momentum‴ | Price Spread Momentum HistogramPrice Spread Momentum‴ is a Price Spread oscillator that allows you to have a better understanding and interpretation of its behavior once you are able to see it through an histrogram. It has extreme zones such as overspreaded and underspreaded, but these zones start, respectively, from above 100% and from under -100%, with a mid line at 0%. What is the best is that you can use it with any kind of graphic that it will always considere the real open, close, high and low trading values. To have access to this indicator, please contact me at: contato @ moneywise . com . br Believe me, this indicator will make your life much easier!
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MarceloTorres tarafından
2
Objective Analysis of Spread (VSA)Note: Pardon for a busy chart. It really is irrelevant for this indicator. Just look at the bottom part of the chart for the indicator (SpAn). This script is meant to add objectivity to the estimation of spread in VSA. This is best used with a similar volume indicator that measures volume in the same fashion, but a simple rule of "higher/lower than the previous 2 bars" for estimation of volume size can be used as well in conjunction with this indicator. A 30-period (adjustable) SMA difference between the high and the close is used to estimate average spread. This value is used to plot bands of 0.8 and lower (blue) standard deviation for narrow spread, 0.8-1.3 (yellow) for medium spread, 1,3-1.8 (green) for wide spread, 1.8-3 (red) for ultra-wide spread. Anything above 3 (no color) is plain crazy. =) How to use: A histogram of each bar spread is plotted as well. See where each histogram bar ends. For example, if it ends in the green area, this bar has a wide spread. Added indicator: An ATR (14-period, adjustable) is plotted as a black line for your reference. May be used for stops. Otherwise, it is not necessary for VSA. Feedback and suggestions for improvement are welcome.
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Rin-Nin tarafından
12
SpreadTrade - CorrelationCorrelation Based Pair Trading Strategy (Trading the spread) There are three popular styles of Pair trading: * Distance based pair trading * Correlation based pair trading * Cointegration based pair trading The correlation based strategy is to short the outperforming instrument and go long on the underperforming one whenever the temporary correlation weakens which means one instrument going up and another going down. Here, instead of two different instruments two timeframes of the same instrument are used, lower and higher. In order to calculate the trade size, we would need to calculate hedge_ratio, which is simply the ratio of the closing price of the instrument in the current tf to the higher tf. So whenever we want to go short on spread we’ll short 1 unit of current tf and go long on hedge ratio times units of higher tf. In order to generate trading signals, we need to define our trading logic. So, we’ll go long on the spread when the hedge ratio goes below its p rolling mean by mult times of its rolling standard deviation and vice versa. Note that both p and mult can be changed as per your selection of instruments. See: analyticsprofile.com NOTE: There is a minor problem to it in Pinescript. After a while the signal line goes horizontal and the two bounds, upper and lower, converge unless you update the time frame. Kepp me in the know if you find a solution to this problem)
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capissimo tarafından
1