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I am trying to find the formula to plot the difference as a percentage between two instruments that are far apart in price. If it were just Coke at 60 and pepsi at 52 I would use ko - pep. If the 8 dollar spread goes negative, its a sign that pepsi's price exceeded Coke. Essentially the zero line crossover is right at zero. When you do Instrument A / Instrument B there is never a zero line crossover. The two instruments I am plotting are a basket of stocks and the etf they are a part of. Statistically they never drift further than a 1/2 of a percent apart. I am working on a mean reversion strategy and I am simply trying to plot the spread as a percentage despite the fact that the instruments are so different in size. The spread calculator allows me to use operators like (/*+-). I need to be able to see a zero line crossover of some kind so that I can back test the farthest percentage historically that the two instruments have diverged. When one crosses the other or vice versa on a performance basis, I need to be able to see that on a histgram or line of some kind that establishes a "mean" so to speak.
I have tried Instrument A / Instrument B. I have tried A - B. I really need to see the difference as a percentage. Help!!
I have tried Instrument A / Instrument B. I have tried A - B. I really need to see the difference as a percentage. Help!!
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