Statistical Arbitrage

[isamegrelo]

Source: https://www.tradingview.com/script/OJpLQmqI-StatArb


study(title="Pair Trading. Grey area chart is normalized spread between two pairs", shorttitle="StatArb.Pair Trading. Grey area chart is normalized spread between two pairs", overlay=true)
tf_short = input(title="Timeframe",type=string,defval='15')
stoploss = input(title="StopLoss %",type=float,defval=10)
takeprofit = input(title="takeProfit %",type=float,defval=30)
avgLookback = input(title="Smoothing Lookback period in bars - short",type=integer,defval=10)
avgLookback_long = input(title="Smoothing Lookback period in bars - long" ,type=integer,defval=100)
stdDevMultiplier =input(title="Standard deviation multiplier",type=integer,defval=4)
sym1_short = input(title="Symbol1", type=symbol, defval="AUDUSD"), res1 = tf_short, source1 = close
sym2_short = input(title="Symbol2", type=symbol, defval="XAUUSD"), res2 = tf_short, source2 = close
sym_price1 = security(sym1_short, res1, source1)
sym_price2 = security(sym2_short, res2, source2)
cum_changePcnt1_short = cum(1*(sym_price1- offset(sym_price1,1))/sym_price1)
cum_changePcnt2_short = cum(1*(sym_price2- offset(sym_price2,1))/sym_price2)
sym_priceNorm_1 = (sym_price1[0])*(1+cum_changePcnt1_short)
sym_priceNorm_2 = (sym_price1[0])*(1+cum_changePcnt2_short)

spread_norm = (sym_priceNorm_1-sym_priceNorm_2)
spread_short = ema(sym_priceNorm_1-sym_priceNorm_2 ,avgLookback)
spread_long= ema(sym_priceNorm_1-sym_priceNorm_2 ,avgLookback_long)
spread_stdev_short = stdev(spread_long,avgLookback)
lower_band_entry = spread_long-spread_stdev_short*stdDevMultiplier
upper_band_entry = spread_long+spread_stdev_short*stdDevMultiplier
lower_band_exit = spread_long-spread_stdev_short*stdDevMultiplier*4
upper_band_exit = spread_long+spread_stdev_short*stdDevMultiplier*4

signalLine_Short = ((offset(spread_short,0) - offset(lower_band_entry,0)))>0
and ((offset(spread_short,1) - offset(lower_band_entry,1)))<0
signalLine_Long = ((offset(spread_short,0) - offset(upper_band_entry,0))<0)
and ((offset(spread_short,1) - offset(upper_band_entry,1))>0)
//SHORTS
entry_Short = iff(signalLine_Short==0, na,spread_norm)
stoploss_level_short = entry_Short + abs(entry_Short *(stoploss/100))
takeprofit_level_short = entry_Short - abs(entry_Short *(takeprofit/100))
entry_Short_sl = iff((offset(spread_norm,0) > offset(stoploss_level_short,0))
and (offset(spread_norm,1) < offset(stoploss_level_short,1)),spread_norm,na )
entry_Short_tp = iff((offset(spread_norm,0) < offset(takeprofit_level_short,0))
and (offset(spread_norm,1) > offset(takeprofit_level_short,1)),spread_norm,na )
//LONGS
entry_Long = iff(signalLine_Long==0, na,sym_priceNorm_1-sym_priceNorm_2)
stoploss_level_long = entry_Long - abs(entry_Long *(stoploss/100))
takeprofit_level_long = entry_Long + abs(entry_Long *(takeprofit/100))
entry_Long_sl = iff((offset(spread_norm,0) < offset(stoploss_level_long,0))
and (offset(spread_norm,1) > offset(stoploss_level_long,1)),spread_norm,na )
entry_Long_tp = iff((offset(spread_norm,0) > offset(takeprofit_level_long,0))
and (offset(spread_norm,1) < offset(takeprofit_level_long,1)),spread_norm,na )
//
signalLine_Short_exit = offset(spread_short,0) - offset(upper_band_exit,0)>0
and offset(upper_band_exit,1) - offset(spread_short,1)>0
signalLine_Long_exit = offset(spread_short,0) - offset(lower_band_exit,0)>0
and offset(lower_band_exit,1) - offset(spread_short,1)>0

plot((spread_norm) ,style=area,color=black,transp =90, linewidth=1)

plot(entry_Short,style=circles,color=red, trackprice=true,linewidth=4)
plot(entry_Long, style=circles,color=green, trackprice=true,linewidth=4)
// exits
plot(stoploss_level_short,style=linebr,color=red, trackprice=true,linewidth=1)
plot(takeprofit_level_short,style=cross,color=red, trackprice=true,linewidth=1)
plot(stoploss_level_long,style=linebr,color=green, trackprice=true,linewidth=1)
plot(takeprofit_level_long,style=cross,color=green, trackprice=true,linewidth=1)

[Apprentice]

Your request is added to the development list under Id Number 3932

[Apprentice]

Try this version.
viewtopic.php?f=17&t=65320&p=115772#p115772