OPEN-SOURCE SCRIPT
two_leg_spread_diff

This 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.
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.
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開源腳本
本著TradingView的真正精神,此腳本的創建者將其開源,以便交易者可以查看和驗證其功能。向作者致敬!雖然您可以免費使用它,但請記住,重新發佈程式碼必須遵守我們的網站規則。
免責聲明
這些資訊和出版物並不意味著也不構成TradingView提供或認可的金融、投資、交易或其他類型的意見或建議。請在使用條款閱讀更多資訊。