StatArb

statarb statistical arbitrage pair trading

Pair trading is employed by professional traders to outperform the market. This script is a complete trading strategy where you can set your own parameters and the system will generate ready to trade signals. All you have to do is just execute profitable trades based on your own parameters.

Open-source Skript

Ganz im Spirit von TradingView hat der Autor dieses Skripts es als Open-Source veröffentlicht, damit Trader es besser verstehen und überprüfen können. Herzlichen Glückwunsch an den Autor! Sie können es kostenlos verwenden, aber die Wiederverwendung dieses Codes in einer Veröffentlichung unterliegt den Hausregeln. Sie können es als Favoriten auswählen, um es in einem Chart zu verwenden.

Haftungsausschluss

Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.

Möchten Sie dieses Skript auf einem Chart verwenden?

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)

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