OPEN-SOURCE SCRIPT

TTP Pair Slope/Hedge

Pair slope/hedge uses linear regression to calculate the hedge ratio (slope) between the two assets within a period.

It allows you to specify a "from" and a "to" candle.

Example:
"A regression from 1000 candles back in time and ignore the last 100 candles. This would result in making a regression of 900 candles in total."

The formula used to perform the regression with the assts X and Y is:

Hedge =

mean( (X-mean(X))^2 )
——————————————————
mean( (X-mean(X)) * (Y-mean(Y)) )


You can later use the hedge in a chart of X - Hedge * Y
(Confirm with 1 / hedge )

If the plot is stationary the period tested should look like stationary.

If you cross an imaginary horizontal line across all the values in the period used it should look like a flat channel with values crossing above and below the line.

The purpose of this indicator is to help finding the linear regression test used for conintegration analysis. Conintegration assets is one of the requirements to consider assets for pair and hedge trading.
cointegratedcointegrationhedgetradingLinear RegressionlinearregressionanglelinearregressionslopepairstradingSimple Moving Average (SMA)slope

开源脚本

本着真正的TradingView精神,此脚本的作者已将其开源,以便交易者可以理解和验证它。向作者致敬!您可以免费使用它,但在出版物中重复使用此代码受网站规则约束。 您可以收藏它以在图表上使用。

想在图表上使用此脚本?


Join our membership to gain access to the private scripts.
thetradingparrot.com
更多:

免责声明