StockFetcher Forums · Filter Exchange · HYG vs. TLT<< 1 2 >>Post Follow-up
Cheese
118 posts
msg #109620
Ignore Cheese
12/25/2012 5:25:26 PM

Thanks again, Tomm1111.
I don't have all the resources that other people have.
Anecdotal evidence from my limited study of your filter seemed encouraging.

Here is the cheap seat version.
GLTA

Fetcher[
symlist(spy)
and chart-time is 6 months

set{num,ind(tlt,close)}
set{denom,ind(hyg,close)}
set{br,num/denom}

/* BB */
set{brMA20,CMA(br,20)}
set{brSD,cstddev(br,20)}
set{brSD20,2 * brSD}
set{brBOLU,brMA20 + brSD20}
set{brBOLD,brMA20 - brSD20}

set{long,count(br greater than brbolu,1)}
set{short,count(br less than brbold,1)}
/*
draw long
draw short on plot long
*/
add column long
add column short

set{exit_long,count(br crossed below brma20,1)}
set{exit_short,count(br crossed above brma20,1)}
/*
draw exit_long
draw exit_short on plot exit_long
*/
add column exit_long
add column exit_short

draw br
draw brbold on plot br
draw brbolu on plot br
draw brma20 on plot br
]



fortyfour
185 posts
msg #109622
Ignore fortyfour
modified
12/25/2012 6:39:43 PM

The entire trade of (TLT/HYG) / SPY has been added as the "SPREAD" variable.
I havent checked this ratio for accuracy but simple calculations show that it is
more volatile than the original (TLT/HYG) ratio as it factors in the short SPY leg.

Buying the "trade" (maybe at a bottom band) means buy TLT, sell HYG and sell SPY (pure risk-off, no hedge beta rocket)
Selling the "trade" (upper band) means buy SPY , buy HYG and sell TLT (pure risk-on)

Havent drawn any bands/stats on the new SPREAD variable.
Good luck to all.



Fetcher[symlist(spy)
and chart-time is 6 months

set{num,ind(tlt,close)}
set{denom,ind(hyg,close)}
SET{LEG2, IND(SPY,CLOSE)}

set{br,num/denom}

SET{SPREAD, BR/LEG2}
DRAW SPREAD
/* BB */
set{brMA10,CMA(br,20)}
set{brSD,cstddev(br,20)}
set{brSD10,2 * brSD}
set{brBOLU,brMA10 + brSD10}
set{brBOLD,brMA10 - brSD10}

set{long,count(br greater than brbolu,1)}
set{short,count(br less than brbold,1)}
draw long
draw short on plot long

draw br
draw brbold on plot br
draw brbolu on plot br
draw brvma10 on plot br
]



StockFetcher Forums · Filter Exchange · HYG vs. TLT<< 1 2 >>Post Follow-up

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