Length = Param("30 day historical volatility", 30, 3);
r=Param("Correlation coefficient of these securities",0.5,0,100);
Vf=Param("Volatility factor",1.5, 0,5);
Ticker2= ParamStr("2nd Ticker to Compare", "D05");
p1= C;
p2= Foreign(Ticker2, "Close");
hv1=StDev(Log(p1/Ref(p1, -1)), Length);
hv2=StDev(Log(p2/Ref(p2, -1)), Length);
newday=ROC(DayOfWeek(),1) !=0;
yp1=ValueWhen(newday, Ref(p1,-1));
yp2=ValueWhen(newday, Ref(p2,-1));
sprd= (p1/yp1) - (p2/yp2);
vb=vf*(hv1 + hv2) * sqrt(1/252) * (1-r);
Plot(sprd, "Spread", colorAqua, styleNoLabel);
Plot(vb, "UpperVB", colorRed);
Plot(-vb, "LowerVB", colorLime);
PlotGrid(0,colorGrey50);