LazyBear

Kaufman Stress Indicator

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Stress Indicator, first proposed by Mr. Perry Kaufman, provides an easy way for trading pairs / arbs.

Kaufman's trading rules for Stress Indicator:
- Decide on a pair to trade: For ex., AAPL v QQQ
- Calculate the Stress Indicator (SI) for that pair
- Buy the stock when SI 50
- Calculate the 60-day moving average of QQQ
- If the trend of QQQ is down, hedge the stock position with QQQ equal to the risk of the stock using the 20-day ATR of each
- Exit the hedge when the stock position exits, or exit the hedge when the trend of QQQ turns up
- Do not trade stocks under $3

Explanation of all potential SI applications is beyond this post. For more info:
- http://ptasite.s3.amazonaws.com/videos/S...
- http://www.futuresmag.com/2008/12/15/cro...
- http://kaufmansignals.com/timing/
- TASC 2014 March issue.

Though Kaufman's Stress stategy is built on top of this Stress Indicator, I suggest reading up his full strategy guidelines before applying this.

Kaufman suggests using 60SMA on the index to track the slope. I have included a custom SMA (find it in the middle pane) that can show SMA for any selected symbol. Use the guide below to import that in to your charts: https://drive.google.com/file/d/0Bx48Du_...
从常用的脚本中删除 添加到常用的脚本
//
// @author LazyBear
// If you use this code in its orignal/modified form, do drop me a note. 
//
study("Kaufman Stress Indicator [LazyBear]", shorttitle="KSI_LB")
length=input(60)
oblvl=input(90,title="Overbought Level")
oslvl=input(10,title="Oversold Level")
normlvl=input(50,title="Normal Level")
d2sym=input("SPY", type=symbol)	

calc_range(hi, lo, len) => 
    highest( hi, len ) - lowest( lo, len ) 

    
d2low=security(d2sym, period, low)
d2high=security(d2sym, period, high)
d2close=security(d2sym, period, close)
r1 = calc_range(high, low, length) 
r2 = calc_range(d2high, d2low, length) 
s1 = (r1 != 0 and r2 != 0) ? ( close - lowest( low, length ) ) / r1 : 50
s2 = (r1 != 0 and r2 != 0) ? ( d2close - lowest( d2low, length ) ) / r2 : 50
d = s1 - s2
r11 = calc_range(d, d, length) 
sv = r11 != 0 ? 100 * ( d - lowest( d, length ) ) / r11 : 50

plot( sv, title="Stress", color=red, linewidth=2 ) 
plot( s1 * 100, title="D1 Stoch", color=green ) 
plot( s2 * 100, title="D2 Stoch", color=blue ) 
plot( oblvl, title="OverBought", style=3, color=red ) 
plot( oslvl, title="OverSold", color=green, style=3 ) 
plot( normlvl, title="Normal", color=gray, style=3 ) 
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