Intermarket Trading Strategies

Appendix A

MetaStock Code and Test Specifications

A.1 METASTOCK CODE FOR THE INDICATORS DESCRIBED IN CHAPTER 9

(Copyright Markos Katsanos 2008)

 

Intermarket Relative Strength Indicator

 

To create this indicator click on the indicator builder f_(x), click on new and then copy the following code in the formula box.

You will also need to change the first line of the code to point to the appropriate folder in your hard drive where data for the dollar index are located.

SEC2:=Security(“C:\Metastock Data\INTERMARKET\DXY0”,C); D1:=Input(“MA DAYS”,1,300,3); RS:=Mov((C/SEC2),3,E); RS

Intermarket Bollinger Band Divergence

 

The indicator should be applied on the plot of the related intermarket security.

D1:=Input(“PERIOD FOR BB”,5,1000,40); D2:=Input(“PERIOD FOR BB INTERMARKET ”,5,1000,40); sec1BOL:=1+((C- Mov(C,D1,S)+2*Stdev(C,D1))/(4*Stdev(C,D1))); sec2BOL:=1+(INDICATOR- Mov(INDICATOR,D2,S)+2*Stdev(INDICATOR, D2))/(4*Stdev(INDICATOR,D2)); DIVERG1:=(sec2BOL-sec1BOL)/SEC1BOL*100; diverg:=Mov(diverg1,3,E);DIVERG

 

Intermarket Disparity

 

You will also need to change the first line of the code to point to the appropriate folder in your hard drive where data for the dollar index are located.

SEC2:=Security(“C:\Metastock Data\METAS\DXY0”,C); D1:=Input(“MA PERIOD BASE SECURITY”,5,200,30); D2:=Input(“MA PERIOD INTERMARKET SECURITY”,5,200,30); D3:=Input(“ FOR +VE CORRELATION +1, FOR -VE -1”,-1,1,-1); DIS1:=((C – Mov(C,D1,S))/Mov(C,D1,S))* 100; DIS2:=((SEC2 – Mov(SEC2,D2,S))/Mov(SEC2,D2,S)) * 100; ...