StockFetcher Forums · Filter Exchange · GLD to SPY ratio<< 1 2 >>Post Follow-up
glgene
534 posts
msg #97472
Ignore glgene
11/13/2010 11:09:00 PM

In the Nov. 15, 2010 issue of a leading weekly newspaper, there is an article about gold, which includes this statement:

"...at about 1.15, the ratio of gold to the SP 500 is still below the long-term average near 1.5 or levels pushing the 3's in the 1970s."

If I manually divide (end-of-day numbers 11-12-2010),

GLD ($133.69) / SPY ($120.20), I get a ratio of approx. 1.11. That's pretty close to the article at 1.15 (see above).

Trouble writing a SF script to accomplish this calculation. My problem lies in (set g) and (set s) below. Would GLD and SPY be suitable proxies for the comparison? If not, what? Can you reference two stock symbols in a script (GLD and SPY), as I tried to do? If you can, I would appreciate a little help here. Because when I run the script, it comes out to a ratio of 1.00 (not 1.11). Something is amiss. I suspect you can't say "gld close" and "spy close" in SF scripting. Nevertheless, the correct ratio using GLD and SPY is 1.11 (end-of-day 11-12-2010).

Fetcher[
symlist(gld,spy)
set{g,gld close}
set{s,spy close}
set{r,g/s}
add column r{ratio of GLD to SPY}
]



Gene

four
4,002 posts
msg #97473
Ignore four
modified
11/13/2010 11:38:35 PM

Fetcher[
symlist(gld,spy)
set{g,ind(gld,close)}
set{s,ind(spy,close)}
set{r,g/s}
add column r{ratio of GLD to SPY}
add column g
add column s

]



glgene
534 posts
msg #97477
Ignore glgene
11/14/2010 9:12:55 AM

four,
Well, you certainly scored on that one! Since I just posted this question 7 hours ago, I'll have to change your tag line to "Four (score) and 7 hours ago..." replacing Abe Lincoln's infamous Civil War quote "Four score and 7 years ago..."

Anyway, I have never used the IND command before, so I learned that you can compare 2 stocks in 1 SF script, on the same line. Thank you!

I modified your script to include some history. One question, though. When I run my new script (end-of day 11-12-2010), it shows GLD to SPY ratio 0.95 dating back 6 mos. ago.

But when I use the 6-mos. ago pull down menu choice (offset 125 days), I get these numbers:

GLD: $119.49
SPY: $112.40

Using the above, it computes (GLD/SPY) to a ratio of 1.06 (not 0.95). Can you (or anyone?) shed any light on that one?

If the long-term Gold to SP 500 ratio of 1.5 has merit (I say "if"), then to get to that level, it would mean either a Rise in GLD or Drop in SPY, or both. A perfect 1.5 ratio, using end-of-day 11-12-2010 numbers would either be:

GLD: 180.30 ............ GLD 133.69
SPY: 120.20 ............ SPY.... 89.13
---------------------------------------------
Ratio: 1.5 .................. Ratio: 1.5 ............ Food for thought?

Fetcher[
symlist(gld,spy)
set{g,ind(gld,close)}
set{s,ind(spy,close)}
set{r,g/s}
add column separator
add column r{GLD:SPY ratio}
add column r 1 week ago{wk. ago}
add column r 1 month ago{mo. ago}
add column r 6 months ago{6mo. ago}
add column r 1 year ago{yr. ago}
add column r 2 years ago{2yr. ago}
add column separator
add column rsi(14)
add column rsi(14) 1 week ago{rsi 1wk ago}
]





duke56468
683 posts
msg #97479
Ignore duke56468
modified
11/14/2010 10:36:07 AM

It is probably correct since the filter doesn't say the date for "6 mo ago" and the off set does. Gold is so volatile that the ratio was 1.06, 125 days ago but was .97 140 days ago. It was .95 138 days ago. Hope this helps.

glgene
534 posts
msg #97481
Ignore glgene
11/14/2010 11:01:07 AM

Duke,
Overall, what is your thought about the so-called 1.5 Gold-to-SP 500 ratio?

duke56468
683 posts
msg #97484
Ignore duke56468
11/14/2010 2:03:02 PM

I find the ratios interesting but like most statistics I don't trade from it. For me it is more what the market is doing now. I'm terrible at forecasting.

glgene
534 posts
msg #97487
Ignore glgene
11/14/2010 3:19:51 PM

Here's another 1.5 scenario:

Gold.......: 1,500
SP 500..: 1,000 (ouch!)

I'm with you, Duke. "What is the market doing right now" Parabolics is an indicator I track daily. Friday, 11-12-2010, was an unkind Parabolics day. I think that was due to unsuccessful USA showing at G-20 meetings, some bad vibes about QE2, and fear of what the lameduck Congress will do (not do) yet this month. Of course, I could be wrong.

duke56468
683 posts
msg #97488
Ignore duke56468
11/14/2010 7:29:29 PM

All the indexes are at major support levels including the MA20. If they hold and move back up through resistance (Nov 5 high) I'm back in long, if they ALL close below the MA20 I'm thinking short (using my short filters). For right now I'm sitting on my hands. My guess is the market still has some upside before any major correction, the power brokers are unwilling to let it go it's own way, but I can't do much about it either way, I can only play what I see and remember I said I'm terrible at guessing the future.

rfalkner
13 posts
msg #97490
Ignore rfalkner
11/14/2010 7:47:58 PM

For glgene I would only add:

and draw r

then look at chart going out 2 years. A visual is always nice to look at.

glgene
534 posts
msg #97492
Ignore glgene
11/14/2010 10:08:03 PM

Falkner,
Good suggestion to add "draw r (GLD/SPY)." I did. Looking back 2 years, it appears that r=0.9 would have been a good buying time for GLD. Not sure about selling point. Any comments you could add here for "food for thought?"

Gene

StockFetcher Forums · Filter Exchange · GLD to SPY ratio<< 1 2 >>Post Follow-up

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