standard deviation afl on spread!

xsis

Active Member
#1
this is a simple formula on standard deviation:

_SECTION_BEGIN("STD DEV12");
stmove=(C-MA(C,55))/StDev(C,20);
Plot(stmove,"Standard Deviation Move",colorBlue,styleHistogram);
Plot(1,"",colorRed,styleLine);
Plot(-1,"",colorRed,styleLine);
_SECTION_END();

when this afl is used, it gives the standard deviation of a particular stock on which its attached. so its price based.

how to get the standard deviation plotted via this afl or tweaked afl when spread afl (difference bet 2 stocks) is used. i mean i need standard deviation of spread and not the price!

i hope the query is clear. thks in adv!
 

xsis

Active Member
#2
hiiiiiiiii

anybody there?
pls help!

this is a simple formula on standard deviation:

_SECTION_BEGIN("STD DEV12");
stmove=(C-MA(C,55))/StDev(C,20);
Plot(stmove,"Standard Deviation Move",colorBlue,styleHistogram);
Plot(1,"",colorRed,styleLine);
Plot(-1,"",colorRed,styleLine);
_SECTION_END();

when this afl is used, it gives the standard deviation of a particular stock on which its attached. so its price based.

how to get the standard deviation plotted via this afl or tweaked afl when spread afl (difference bet 2 stocks) is used. i mean i need standard deviation of spread and not the price!

i hope the query is clear. thks in adv!
 

xsis

Active Member
#4
thks mastermind! i knw abt FOREIGN function.
but i want to standard deviation of spread which will not get solved thru 'foreign'

To compare two equities use Foreign. e.g.

Close = Foreign( "NIFTY", "Close" ) ;

First Close will bring price array of the stock you are working on...
 
#6
Try in this direction:


_SECTION_BEGIN("STD DEV12");

Close2 = Foreign( "NIFTY", "Close" ) ;
myspread=Close-close2;
//myspread=Close/close2;

stmove=(myspread-MA(myspread,55))/StDev(myspread,20);
Plot(stmove,"Standard Deviation Move",colorBlue,styleHistogram);
Plot(1,"",colorRed,styleLine);
Plot(-1,"",colorRed,styleLine);

_SECTION_END();
 

xsis

Active Member
#7
need few clarifications on d same.
will it take "nifty" as default entity1 with entity2 as variable (by clicking on various stocks in watchlist?).
if yes, then i have to change entity1 everytime in afl formula if i need variable other than "nifty". can it be changed from outside by rite clicking on chart where this is attached?
also, what does this STD DEV12 means>
i hope my query is clear?
thks in adv pankaj.

Try in this direction:


_SECTION_BEGIN("STD DEV12");

Close2 = Foreign( "NIFTY", "Close" ) ;
myspread=Close-close2;
//myspread=Close/close2;

stmove=(myspread-MA(myspread,55))/StDev(myspread,20);
Plot(stmove,"Standard Deviation Move",colorBlue,styleHistogram);
Plot(1,"",colorRed,styleLine);
Plot(-1,"",colorRed,styleLine);

_SECTION_END();
 

mastermind007

Well-Known Member
#8
need few clarifications on d same.
will it take "nifty" as default entity1 with entity2 as variable (by clicking on various stocks in watchlist?).
if yes, then i have to change entity1 everytime in afl formula if i need variable other than "nifty". can it be changed from outside by rite clicking on chart where this is attached?
also, what does this STD DEV12 means>
i hope my query is clear?
thks in adv pankaj.
You can make that as a param!!!
 
#10
sir - where to add param? cud u pls add and copy paste the whole afl. m yet to learn afl programming!
thks in adv!
Though I understand that you are searching for something different but still I am posting an afl created by another Traderji member Pankaj Parimal . This afl is a pair trading afl and might be it helps you in someway to design your own afl.

Code:
_SECTION_BEGIN("Pankaj Parimal - Pairs Trade");

//Time Frame to be used is 'Daily'.

// Enter the Variables Here


//Independent Scrip is the one with higher Volatility of the 2 scrips. But if one scrip is an Index, then the Index will become the Independent Scrip. Again, if both the scrips of the pair are Indices, then the one with the higher Volatility will be the Independent Scrip.


Mkt= ParamStr("High Priced Scrip", "Enter High Priced Scrip Here");//Enter the High Priced Scrip of the Pair as per the NSE Nomenclature or the nomenclature set by the Data Provider, by right clicking the mouse and selecting 'Parameters'.

Period=Param("Period - Correlation, Spread and Std Dev", 5, 2, 1000, 1);//Enter the required Period for the calculation of Correlation & Spread and also for Standard Deviation of Spread to calculate Z-Score by selecting 'Parameters'. Default CZPeriod=5

Observations=Param("Observations - Alpha", 50, 2, 1000, 1);//Enter the No. of Observations for the calculation of Alpha by selecting 'Parameters'. Default Observations=50

StdDev=Param("Standard Deviation", 0.02, 0.005, 0.1, 0.001);//Enter the required Standard Deviation by selecting 'Parameters'. Default StdDev=0.02;
//[Currently the Standard Deviation is taken as 2%, which will reduce the number of recommendations received as the distance between the Mean Spread AND Upper / Lower Spread will increase.
//With this method, one will notice that the 95% of Current Spread is enveloped by the Upper & Lower Spread.]

//Std=0.5;//Enter the required Standard Deviation


//***Base Market************/

P=Foreign(Mkt,"C",1);//Closing Price of High Priced Scrip (A) Entered Above

PH=Foreign(Mkt,"H",1);//High Price of High Priced Scrip (A) Entered Above

PL=Foreign(Mkt,"L",1);//Low Price of High Priced Scrip (A) Entered Above




//Description Calculation of R-Squared :
//R-Squared, which is an indicator for the validity of the Beta and Alpha measures.
//This is because the R-Squared value measures just how closely the Scrip tracks the Index with which it is being compared.
//An R-Squared value of 1.0 indicates a perfect match. In that case, one can trust that the Beta and Alpha measures are valid.
//But, the lower the R-Squared is, the less reliable the Beta and the Alpha measures are.
//The Beta and Alphas of a Scrip with an R-Squared value of below 0.50 are completely meaningless and hence should be ignored.
//Assuming the R-Squared is, say, 0.75 OR higher, one can move on to the Beta.


/***Spread****************/

AvgC=Sum(C,Period)/Period;//Average of Scrip B over a Set Period

AvgP=Sum(P,Period)/Period;//Average of Scrip A

Spr=P-C;//Spread of Scrip A & Scrip B (Difference of Closing Price of Scrip A & Scrip B)

Mspread=Sum(Spr,Period)/Period;//Average or Mean Spread of Scrip A & Scrip B

//Finding Max. & Min. Spread in the Last 10 Days, 20 Days & 30 Days
MaxSpr01=Max(Spr,Ref(Spr,-1));
MaxSpr23=Max(Ref(Spr,-2),Ref(Spr,-3));
MaxSpr45=Max(Ref(Spr,-4),Ref(Spr,-5));
MaxSpr67=Max(Ref(Spr,-6),Ref(Spr,-7));
MaxSpr89=Max(Ref(Spr,-8),Ref(Spr,-9));

MaxSpr10=Max(MaxSpr01,MaxSpr23);
MaxSpr20=Max(MaxSpr45,MaxSpr67);
MaxSpr30=Max(MaxSpr10,MaxSpr20);

MaxSpr10D=Max(MaxSpr30,MaxSpr89);//Max. Spread in the Last 10 Days

MaxSpr1011=Max(Ref(Spr,-10),Ref(Spr,-11));
MaxSpr1213=Max(Ref(Spr,-12),Ref(Spr,-13));
MaxSpr1415=Max(Ref(Spr,-14),Ref(Spr,-15));
MaxSpr1617=Max(Ref(Spr,-16),Ref(Spr,-17));
MaxSpr1819=Max(Ref(Spr,-18),Ref(Spr,-19));

MaxSpr11=Max(MaxSpr1011,MaxSpr1213);
MaxSpr21=Max(MaxSpr1415,MaxSpr1617);
MaxSpr31=Max(MaxSpr11,MaxSpr21);

MaxSpr41=Max(MaxSpr31,MaxSpr1819);
MaxSpr20D=Max(MaxSpr10D,MaxSpr41);//Max. Spread in the Last 20 Days

MaxSpr2021=Max(Ref(Spr,-20),Ref(Spr,-21));
MaxSpr2223=Max(Ref(Spr,-22),Ref(Spr,-23));
MaxSpr2425=Max(Ref(Spr,-24),Ref(Spr,-25));
MaxSpr2627=Max(Ref(Spr,-26),Ref(Spr,-27));
MaxSpr2829=Max(Ref(Spr,-28),Ref(Spr,-29));

MaxSpr12=Max(MaxSpr2021,MaxSpr2223);
MaxSpr22=Max(MaxSpr2425,MaxSpr2627);
MaxSpr32=Max(MaxSpr12,MaxSpr22);

MaxSpr42=Max(MaxSpr32,MaxSpr2829);
MaxSpr30D=Max(MaxSpr20D,MaxSpr42);//Max. Spread in the Last 30 Days

MinSpr01=Min(Spr,Ref(Spr,-1));
MinSpr23=Min(Ref(Spr,-2),Ref(Spr,-3));
MinSpr45=Min(Ref(Spr,-4),Ref(Spr,-5));
MinSpr67=Min(Ref(Spr,-6),Ref(Spr,-7));
MinSpr89=Min(Ref(Spr,-8),Ref(Spr,-9));

MinSpr1=Min(MinSpr01,MinSpr23);
MinSpr2=Min(MinSpr45,MinSpr67);
MinSpr3=Min(MinSpr1,MinSpr2);

MinSpr10D=Min(MinSpr3,MinSpr89);//Min. Spread in the Last 10 Days

MinSpr1011=Min(Ref(Spr,-10),Ref(Spr,-11));
MinSpr1213=Min(Ref(Spr,-12),Ref(Spr,-13));
MinSpr1415=Min(Ref(Spr,-14),Ref(Spr,-15));
MinSpr1617=Min(Ref(Spr,-16),Ref(Spr,-17));
MinSpr1819=Min(Ref(Spr,-18),Ref(Spr,-19));

MinSpr11=Min(MinSpr1011,MinSpr1213);
MinSpr21=Min(MinSpr1415,MinSpr1617);
MinSpr31=Min(MinSpr11,MinSpr21);

MinSpr41=Min(MinSpr31,MinSpr1819);
MinSpr20D=Min(MinSpr10D,MinSpr41);//Min. Spread in the Last 20 Days

MinSpr2021=Min(Ref(Spr,-20),Ref(Spr,-21));
MinSpr2223=Min(Ref(Spr,-22),Ref(Spr,-23));
MinSpr2425=Min(Ref(Spr,-24),Ref(Spr,-25));
MinSpr2627=Min(Ref(Spr,-26),Ref(Spr,-27));
MinSpr2829=Min(Ref(Spr,-28),Ref(Spr,-29));

MinSpr12=Min(MinSpr2021,MinSpr2223);
MinSpr22=Min(MinSpr2425,MinSpr2627);
MinSpr32=Min(MinSpr12,MinSpr22);

MinSpr42=Min(MinSpr32,MinSpr2829);
MinSpr30D=Min(MinSpr20D,MinSpr42);//Min. Spread in the Last 30 Days

RanC=H-L;//Range of Scrip B for the day

RangeC=Sum(RanC,Period)/Period;//Average Range of Scrip B over a Set Period

RanP=PH-PL;//Range of Scrip A for the day

RangeP=Sum(RanP,Period)/Period;//Average Range of Scrip A over a Set Period

//Deviation=(RangeC+RangeP)/2*Std;//Sum of Average range of Scrip A and Scrip B Divided by 2 and then Multiplied by the Standard Deviation

//UpperSpr=Mspread+Deviation;

//LowerSpr=Mspread-Deviation;

UpperSpr=IIf(Mspread>=0,(Mspread+(Mspread*StdDev)),(Mspread-(Mspread*StdDev)));

LowerSpr=IIf(Mspread>=0,(Mspread-(Mspread*StdDev)),(Mspread+(Mspread*StdDev)));

Cspread=P-C;//Current Spread using (positive or negative) Difference between Scrip A & Scrip B

Corr5=Correlation(Max(P,C),Min(P,C),5);//5 D Correlation

Corr3=Correlation(Max(P,C),Min(P,C),3);//3 D Correlation

Corr30=Correlation(Max(P,C),Min(P,C),30);//30 D Correlation

Corr1Y=Correlation(Max(P,C),Min(P,C),365);//1 Year Correlation

Corr2Y=Correlation(Max(P,C),Min(P,C),730);//2 Year Correlation

Corr3Y=Correlation(Max(P,C),Min(P,C),1095);//3 Year Correlation


/***R-Squared*************/
R2=Corr5^2;


blsh=Cspread>UpperSpr;

bhsl=Cspread<LowerSpr;

Buy=bhsl;

Sell=blsh;

Plot(Cspread,"Current Spread",ParamColor("Color - Current Spread",colorBlack),styleNoTitle | ParamStyle("Style - Current Spread"));

Plot(Mspread,"Mean Spread",colorBlue,styleDashed);

Plot(UpperSpr,"Upper Spread",colorGreen,styleLine);

Plot(LowerSpr,"Lower Spread",colorRed,styleLine);

//Plot(MaxSpr,"Max. Spread",colorViolet,styleLine);

//Plot(MinSpr,"Min. Spread",colorCustom12,styleLine);


Title=EncodeColor(colorCustom12)+
WriteIf(P>C,"High Priced Scrip is " +EncodeColor(colorBlue)+"'"+StrFormat(Mkt)+"'"+EncodeColor(colorBlack) +" AND "+
EncodeColor(colorCustom12)+"Low Priced Scrip is " +EncodeColor(colorBlue)+"'"+Name()+"'.",
"High Priced Scrip is " +EncodeColor(colorBlue)+Name()+EncodeColor(colorBlack) +" AND "+
EncodeColor(colorCustom12)+"Low Priced Scrip is " +EncodeColor(colorBlue)+"'"+StrFormat(Mkt)+"'.")
+"  "+
EncodeColor(colorOrange)+"[Key in the 'High Priced' Scrip by right-clicking the mouse & Selecting 'Parameters'.]"+"\n"+
EncodeColor(colorBlue)+
WriteIf(P>C,StrFormat(Mkt)+" (LTP) : "+EncodeColor(colorGreen)+WriteVal(Max(P,C),format=1.2)+EncodeColor(colorBlack) +" | "+
EncodeColor(colorBrown)+Name()+" (LTP) : "+EncodeColor(colorRed)+WriteVal(Min(C,P),format=1.2),
Name()+" (LTP) : "+EncodeColor(colorGreen)+WriteVal(Max(P,C),format=1.2)+EncodeColor(colorBlack) +" | "+
EncodeColor(colorBrown)+StrFormat(Mkt)+" (LTP) : "+EncodeColor(colorRed)+WriteVal(Min(C,P),format=1.2))+"\n"+
EncodeColor(colorViolet) +"Correlation ["+int(Period)+" Day] : "+ WriteVal(Corr5,format=1.2)+EncodeColor(colorBlack) +" | "+EncodeColor(colorBlue) +"R-Squared ["+int(Period)+" Day] : "+WriteVal(R2,format=1.2)+"\n"+
EncodeColor(colorCustom12) +"Correlation [30 Day] : "+ WriteVal(Corr30,format=1.2)+EncodeColor(colorBlack) +" | "+EncodeColor(colorBlue) +"Correlation [1 Year] : "+ WriteVal(Corr1Y,format=1.2)+"\n"+
EncodeColor(colorBrown) +"Correlation [2 Year] : "+ WriteVal(Corr2Y,format=1.2)+EncodeColor(colorBlack) +" | "+EncodeColor(colorGreen) +"Correlation [3 Year] : "+ WriteVal(Corr3Y,format=1.2)+"\n"+"\n"+
EncodeColor(colorCustom12) +
WriteIf(Cspread>=0,
WriteIf(Cspread>UpperSpr,"Recommendation as per Spread : "+EncodeColor(colorRed) +"[CS > US] - "+EncodeColor(colorBlue) +"Buy "+Name()+" & Sell "+StrFormat(Mkt),
WriteIf(Cspread<LowerSpr,"Recommendation as per Spread : "+EncodeColor(colorGreen) +"[CS < LS] - "+EncodeColor(colorBlue) +"Buy "+StrFormat(Mkt)+" & Sell "+Name(),
"Recommendation as per Spread : "+EncodeColor(colorBlue) +"Wait - Do Not Trade")),
WriteIf(Cspread>UpperSpr,"Recommendation as per Spread : "+EncodeColor(colorRed) +"[CS > US] - "+EncodeColor(colorBlue) +"Buy "+StrFormat(Mkt)+" & Sell "+Name(),
WriteIf(Cspread<LowerSpr,"Recommendation as per Spread : "+EncodeColor(colorGreen) +"[CS < LS] - "+EncodeColor(colorBlue) +"Buy "+Name()+" & Sell "+StrFormat(Mkt),
"Recommendation as per Spread : "+EncodeColor(colorBlue) +"Wait - Do Not Trade")))+"  "+"\n"+"\n"+
EncodeColor(colorBlack) +"Current Spread : "+WriteVal(Cspread,format=1.2)+EncodeColor(colorBlack) +" | "+ EncodeColor(colorBlue) +"Mean Spread : "+WriteVal(Mspread,format=1.2)+"\n"+
EncodeColor(colorGreen) +"Upper Spread : "+WriteVal(UpperSpr,format=1.2)+EncodeColor(colorBlack) +" | "+ EncodeColor(colorRed) +"Lower Spread : "+WriteVal(LowerSpr,format=1.2)+"\n"+
EncodeColor(colorViolet) +"Max. Spread [10 Day] : "+WriteVal(MaxSpr10D,format=1.2)+EncodeColor(colorBlack) +" | "+ EncodeColor(colorCustom12) +"Min. Spread [10 Day] : "+WriteVal(MinSpr10D,format=1.2)+"\n"+
EncodeColor(colorViolet) +"Max. Spread [20 Day] : "+WriteVal(MaxSpr20D,format=1.2)+EncodeColor(colorBlack) +" | "+ EncodeColor(colorCustom12) +"Min. Spread [20 Day] : "+WriteVal(MinSpr20D,format=1.2)+"\n"+
EncodeColor(colorViolet) +"Max. Spread [30 Day] : "+WriteVal(MaxSpr30D,format=1.2)+EncodeColor(colorBlack) +" | "+ EncodeColor(colorCustom12) +"Min. Spread [30 Day] : "+WriteVal(MinSpr30D,format=1.2);


Filter=1;//Corr>= 0.6018;

AddColumn( P, "Scrip A", 1.2 );

AddColumn( C, "Scrip B", 1.2 );

AddColumn( Corr5, "Correlation [5 Day]", 1.2 );

AddColumn( Corr3, "Correlation [3 Day]", 1.2 );

AddColumn( Corr30, "Correlation [30 Day]", 1.2 );

AddColumn( Corr1Y, "Correlation [1 Year]", 1.2 );

AddColumn( Corr2Y, "Correlation [2 Year]", 1.2 );

AddColumn( Corr3Y, "Correlation [3 Year]", 1.2 );

AddColumn( bhsl, "Buy High Sell Low"); //Buy High Priced Scrip and Sell Low Priced Scrip

AddColumn( blsh, "Buy Low Sell High"); // Buy Low Priced Scrip and Sell High Priced Scrip

PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorGreen, 0, LowerSpr, Offset=-100);
PlotShapes(IIf(Buy, shapeSquare, shapeNone),colorLime, 0, LowerSpr, Offset=-110);
PlotShapes(IIf(Buy, shapeUpArrow, shapeNone),colorWhite, 0, LowerSpr, Offset=-105);
PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorRed, 0, UpperSpr, Offset=100);
PlotShapes(IIf(Sell, shapeSquare, shapeNone),colorOrange, 0, UpperSpr, Offset=110);
PlotShapes(IIf(Sell, shapeDownArrow, shapeNone),colorWhite, 0, UpperSpr, Offset=-105);

_SECTION_END();
 

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