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Filter Exchange · Stock Pair trading
dtatu
msg #157329
8/4/2021 3:11:47 PM

I managed to fix it by using daily MA multiplied by 5 in order to have the equivalent weekly MA.
Anybody could help if it's possible , to transform this into one single buy or sell filter instead of a separate buy and sell filters? They will light up at the new buys/sells.
Thanks

symlist(spy)
set{ratio, ind(spy,close)/ ind(eem,close)}
set{ratiowkWma20,cwma(ratio,100)}
draw ratiowkWma20

set{ratiowkWma8,cwma(ratio,40)}
draw ratiowkWma8

chart-display is weekly
add column ratio
add column ratiowkwma8
add column ratiowkwma20

set{buy,count(ratio crossed above ratiowkWMA20,1)}
set{sell,count(ratio crossed below ratiowkWMA20,1)}

add column separator
add column buy above 0
add column buy 1 day ago below 1
add column separator
add column sell
add column sell 1 day ago

draw buy
draw sell



Filter Exchange · Stock Pair trading
dtatu
msg #157304
modified
7/30/2021 8:39:31 AM

https://www.barchart.com/etfs-funds/quotes/SPY/technical-chart?plot=LINE&volume=total&data=WO&density=L&pricesOn=0&asPctChange=0&logscale=0&indicators=WMA(8);WMA(20)&sym=SPY%2FIWM&grid=1&height=375&studyheight=100&isSpread=1


try this and let me know; I think it's a very interesting concept , if we can get it work reliably on SF; of course, any other combinations of momentum signals are welcomed( without trying to tweek/complicate too much and get into curve fitting)

https://www.barchart.com/etfs-funds/quotes/GLD/technical-chart?plot=LINE&volume=total&data=WO&density=L&pricesOn=0&asPctChange=0&logscale=0&indicators=WMA(8);WMA(20)&sym=GLD%2FGBTC&grid=1&height=375&studyheight=100&isSpread=1

this is GLD/GBTC spread: you could have been short the spread( short GLD/long GBTC) from Oct to April from a ratio of 15 down to below 4 before an up cross

Filter Exchange · Stock Pair trading
dtatu
msg #157279
modified
7/26/2021 1:34:35 PM

Thanks Ed,
This is the latest filter which is lighting up SPY since May 17.
As I said, : on Barchart.com the same up cross takes place on the week of April 5.
I use ONLY weekly charts and weekly filters on SF and I have reliable signals usually.

symlist(SPY)
set{ratio, ind(SPY,close)/ ind(IWM,close)}
set{ratiowkWma20, weekly cWma(ratio,20)}
draw ratiowkWma20

set{ratiowkWma8, weekly cWma(ratio,8)}
draw ratiowkWma8

ratiowkWMA8 above ratiowkWMA20

Filter Exchange · Stock Pair trading
dtatu
msg #157275
modified
7/25/2021 10:49:31 AM

symlist(SPY)
set{ratio,ind(SPY,weekly close) / ind(IWM,weekly close)}
set{ratioWma20,weekly cWma(ratio,20)}
draw ratioWma20
set{ratioWma8,weekly cWma(ratio,8)}
draw ratioWma8

ratioWMA8 crossed above ratioWMA20

by doing this I get a cross signal on SF on May 17 , but on a Barchart.com weekly chart the cross takes place on April 12.
Where is the error?( Basically I want to see a weekly WMA(8) crossing above weekly WMA(20) of the Pair Ratio

Filter Exchange · Stock Pair trading
dtatu
msg #157274
modified
7/25/2021 10:19:55 AM

4 years later: did not pursue with this idea, in 2017.
- Q: is it possible to gather several Pairs under a watchlist in order to apply , to all of them , the same filters?
ex:
apply to watchlist( GLD/GDX, FXA/FXY, SPY/IWM,XLK/XLP), etc.

General Discussion · highest daily CLOSE over a period
dtatu
msg #156872
5/28/2021 3:30:30 PM

Thanks


General Discussion · highest daily CLOSE over a period
dtatu
msg #156860
modified
5/27/2021 10:12:43 AM

@redversa721
3 weeks =22 days
or
should I use trading days(5 days) ?(3x5 days=15 days)

General Discussion · highest daily CLOSE over a period
dtatu
msg #156859
5/27/2021 9:58:44 AM

Super !

General Discussion · highest daily CLOSE over a period
dtatu
msg #156854
5/26/2021 3:49:54 PM

Thanks a lot !

General Discussion · highest daily CLOSE over a period
dtatu
msg #156851
5/26/2021 9:42:56 AM

Hello guys,
Anybody can help putting into a formula :
todays close is higher than
the highest close over the last 3 weeks

Thanks

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