Pairs Trades Problem,

[shogun]

when using advanced charts to chart the difference between two indexes say the dow & dax you would use the following code $indu - $daxi , now on the daily bars this uses the close of the dow & the dax on say 18/06/2004,

is there any way of plotting this using the previous nights close on the dow & todays close on the dax, i have tried the following but it does not work,

$indu(-1) - $daxi

anyone got any ideas,

[eSignal_JasonK]

Hello shogun,

You would need an EFS to do this. Try the following on a daily chart. It plots the difference of close(-1, "$indu") - close(0, "$daxi").

function preMain() {
    setStudyTitle("$indu(-1) - $daxi");
    setCursorLabelName("spread");
}


function main() {
    var nIndu1 = close(-1, "$indu");
    if (nIndu1 == null) return;
    
    var nDax = close(0, "$daxi");

    return (nIndu1 - nDax);
} 

[shogun]

thanks jason ,

the efs is giving one problem where the dates run out of sync if one of the two markets is closed and the other open due to a public holiday, is there any way of keeping the two in sync after just such a event

i added the following to find the problem,

i altered the bar offset to help find the problem ,the following is what i get in the formula output window,

dax date = 21
indu date = 21
dax date = 18
indu date = 18
dax date = 17
indu date = 17
dax date = 16
indu date = 16
dax date = 15
indu date = 15
dax date = 14
indu date = 14
dax date = 11 // here the go out of sync, due to us close
indu date = 10
dax date = 10
indu date = 9
dax date = 9
indu date =8


function preMain() {
setPriceStudy(true);
setStudyTitle("$indu(-1) - $daxi");
setCursorLabelName("spread");
setComputeOnClose();

}


function main() {

var vDate = getDay(0,"$indu")
debugPrintln(vDate," = ","indu date")
var vDate1 = getDay(-1,"$daxi")
debugPrintln(vDate1," = ","dax date")



var nIndu1 = close(0,"$indu");
if (nIndu1 == null) return;

var nDax = close(-1,"$daxi");

debugPrintln ((nIndu1 - nDax),"Diff"," = ",nDax,"dax"," - ",nIndu1,"indu");


return (nIndu1 - nDax);
}

[shogun]

ok been giving this a bit more thought and i have added the following lines after the vDate variables and the following chart shows the result, the red line is the $indu - $daxi on the advanced chart, the red line is the $indu - $daxi on the .efs. note that between 13/04/2004 & 02/06/2004 the blue line is straight as the two symbol dates are out of sync, anyone got any ideas as to how i can solve the problem.

lines added to efs

if(vDate>vDate1) return;
if(vDate<vDate1) return;

[eSignal_JasonK]

Hello Shogun,

I made the false assumption there was a 1:1 relationship in the daily interval between the two indexes. Silly me. When requesting price data from external symbols through getValue() or close(), for example, there will be a synchronization issue if they don't have the same exact timeline for the period specified by the time template. This you already know. Well, in this case, on the daily interval, it is possible to sync the $indu and $daxi. The red line in the chart below is the spread, $indu - $daxi from the chart. The navy blue line is the calc from the efs. I set up the formula with an Offset parameter that will be applied to $indu in the calc. So if you want to get $indu(-1) - $daxi, enter -1 for Offset in Edit Studies. Take a look at the code below and let me know if you have any questions.



shogun_Indu_Daxi.efs

/*****************************************************************
Provided By : eSignal. (c) Copyright 2004
*****************************************************************/

function preMain() {
    //setPriceStudy(true);
    setStudyTitle("$indu(-1) - $daxi");
    setCursorLabelName("Spread");
    setDefaultBarThickness(5, 0);
    setDefaultBarFgColor(Color.navy);
}

var aIndu = null;
var aDax = null;

var nIndu1 = null;
var nDax = null;
var nOffsetIndu = null;
var nOffsetDax = null;
var nBarCntr = 0;


function main(Offset) {
    if (!isDaily()) return;
    var nState = getBarState();
    var nIndex = getCurrentBarIndex();
    
    if (Offset == null) {
        Offset = 0;
    } else {
        Offset = Math.abs(Offset);
    }
    
    if (close(0,"$daxi") == null || close(0,"$indu") == null) return;
    
    if (aIndu == null || aDax == null) {
        aIndu = new Array(Math.max(5, Offset));
        aDax = new Array(Math.max(5, Offset));
    }
    
    if (nState == BARSTATE_NEWBAR) {
        if (nDax != null) {
            aDax.pop();
            aDax.unshift(nDax);
        }
        if (nIndu1 != null) {
            aIndu.pop();
            aIndu.unshift(nIndu1);
        }

        var vDay = getValue("rawtime");
        
        if (nOffsetIndu == null) {
            nOffsetIndu = (getNumBars() - getNumBars("$indu"));
        } else if (vDate != vDay) {
            var vDate = getValue("rawtime", nOffsetIndu,"$indu");
            if(vDate > vDay) {
                do {
                    nOffsetIndu--; 
                    vDate = getValue("rawtime", nOffsetIndu, "$indu");
                } while (vDate > vDay);
            } else if (vDate < vDay) {
                do {
                    nOffsetIndu++; 
                    vDate = getValue("rawtime", nOffsetIndu, "$indu");
                } while (vDate < vDay);
            }
        }
        
        if (nOffsetDax == null) {
            nOffsetDax = (getNumBars() - getNumBars("$daxi"));
        } else if (vDate1 != vDay) {
            var vDate1 = getValue("rawtime", nOffsetDax,"$daxi");
            if(vDate1 > vDay) {
                do {
                    nOffsetDax--; 
                    vDate1 = getValue("rawtime", nOffsetDax, "$daxi");
                } while (vDate1 > vDay);
            } else if (vDate1 < vDay) {
                do {
                    nOffsetDax++; 
                    vDate1 = getValue("rawtime", nOffsetDax, "$daxi");
                } while (vDate1 < vDay);
            }
        }
    }
    
    nDax = close(nOffsetDax,"$daxi");
    if (nDax == null) return;
    nIndu1 = close(nOffsetIndu,"$indu");
    if (nIndu1 == null) return;

    aDax[0] = nDax;
    aIndu[0] = nIndu1;
    
    
    if (aIndu[Offset] == null || aDax[0] == null) return;
    var nSpread = aIndu[Offset] - aDax[0];
    if (nSpread == null || nSpread == 0) return;

    if (nState == BARSTATE_NEWBAR) nBarCntr++;
    if (nBarCntr <= Math.max(5, Offset)) return;
    
    return nSpread;
} 

[shogun]

jason, excellent i would not have got that in a million years,

i am getting one side effect and i am not sure if it is the efs or my computer as you seem to have run it ok on your computer, if i load the efs on a chart of the $indu it works fine but if i try and load it onto a chart of $indu - $daxi it freezes esignal and sends the cpu to 100%, i tried adding

if(getCurrentBarIndex()<-100)
return;

at the beginning of function main to see if that would help but i still get the same problem, any ideas, ?

i am on esignal version 7.6(build634)

[eSignal_JasonK]

Hello Shogun,

By the nature of what we're doing in the code, it's a very inefficient routine. Coupled with the spread symbol in the chart makes it even slower. There's a couple things you can do that will help. Open up two other daily charts for $indu and $daxi. Also apply a time template that limits the number of days to display. Start with something like 90 days. Apply the same template to the other 2 daily charts. The image I posted was in dynamic mode. I had about 500+ days loaded.

The check for bar index of -100 is a good idea. That should help also.

[shogun]

jason , you have cracked it, i opened two other charts one of the $indu & the other $daxi and it works perfect,

thanks,

[shogun]

and this chart shows the offset at -1,