The purpose of this indicator is to visually simplify the relationship between two assets when searching for pair trades or higher beta opportunities.
With highly correlated pairs, it can be a blessing or a curse during volatility when you're somehow stuck in the only lower beta pairs, or maybe you're market neutral and the wrong leg starts nuking.
This indicator was built as a visual way to track pair relationships.
Fundamentally, this script does the following:
With highly correlated pairs, it can be a blessing or a curse during volatility when you're somehow stuck in the only lower beta pairs, or maybe you're market neutral and the wrong leg starts nuking.
This indicator was built as a visual way to track pair relationships.
Fundamentally, this script does the following:
- Plots the relative performance of the relationship between two assets across multiple time horizons
- Uses a consistent measurement of historical performance, regardless of asset -- currently standard deviations, may add log difference in the future
- Plots a custom Average Directional Index on the current chart ticker for current asset contextual momentum
- Plots the average 'rotation' of both the ADX and Pair Delta independently, over n numbers of rotations -- able to be specified using the 'Rotation Lookback' variable
If you've never pair traded crypto before (i.e. long $DYDX, short $ETH), you might not be aware that most highly correlated alt asset returns tend to oscillate on a low timeframe rolling basis around the performance of the majors -- and more recently, predominantly $ETH. With this in mind and using this oscillator, we can track that relationship.
Users are given the ability to adjust the following:
- Comparison Asset
- Fast and Slow Delta Lookbacks
- Whether to wait for one bar delay during security calls
- Rotation Lookback
- Rotation Threshold for Pair Delta and ADX independently
- ADX Lookback
- Whether to utilize the ADX on the current chart ticker or also net that off against the ADX of the comparison asset
TO DO:
- Aesthetic update to Pair Delta plot
- Permanent fix for security call forced delay
הערות שחרור:
- small logic fix