Use Technical Indicators on Spread Products

Hi everyone,

I tried to use technical indicators on spread products but ran into some issues.

For example stochastic:

Inputs:
DataSeries1_H( High of data1 ), DataSeries2_H( High of data2 ),
DataSeries1_L( Low of data1 ), DataSeries2_L( Low of data2 ),
DataSeries1_C( Close of data1 ), DataSeries2_C( Close of data2 ),

PriceH = DataSeries1_H - DataSeries2_L ;
PriceL = DataSeries1_L - DataSeries2_H;
PriceC = DataSeries1_C - DataSeries2_C ;

Value1 = Stochastic( PriceH, PriceL, PriceC, StochLength, SmoothingLength1,
SmoothingLength2, SmoothingType, var0, var1, var2, var3 ) ;

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The above code is wrong because it's not the real high/low of a spread product.
The only way I think reasonable is to use tick level data. I am wondering if there is better solution to this. Thank you for your help!

see post #5
Data2
viewtopic.php?f=16&t=6929

See post #1 & 2
[FAQ] How to Post Codes (... so that people can read)
viewtopic.php?f=16&t=11713

The above code is wrong because it's not the real high/low of a spread product.
The only way I think reasonable is to use tick level data. I am wondering if there is better solution to this.

I'm not sure what you mean here: how is the code wrong because it's not the real high/low of your instrument? The code simply calculates on the data put into it (see the inputs listed in your post). So if the code returns not the real high/low, then you'll need to check your data series and data feed against the 'real' values.

The following is the code. If you are familiar with spread products, you will realize that the calculation of stochastic doesn't make any sense at all. The only way is to use tick level to get the real high low of a spread, but that might create another question: how to use the value to different time frame (1 min, 5 min, etc).

Thanks for your help.

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inputs:
DataSeries1_H( High of data1 ), DataSeries2_H( High of data2 ),
DataSeries1_L( Low of data1 ), DataSeries2_L( Low of data2 ),
DataSeries1_C( Close of data1 ), DataSeries2_C( Close of data2 ),
StochLength( 14 ),
SmoothingLength1( 3 ),
SmoothingLength2( 3 ),
SmoothingType( 1 ),
OverSold( 20 ),
OverBought( 80 ) ;

variables:
PriceH( 0 ),
PriceL( 0),
PriceC( 0 ),
var0( 0 ),
var1( 0 ),
var2( 0 ),
var3( 0 ) ;

PriceH = DataSeries1_H - DataSeries2_L ;
PriceL = DataSeries1_L - DataSeries2_H;
PriceC = DataSeries1_C - DataSeries2_C ;


Value1 = Stochastic( PriceH, PriceL, PriceC, StochLength, SmoothingLength1,
SmoothingLength2, SmoothingType, var0, var1, var2, var3 ) ;

Plot1( var0, "FastK" ) ;
Plot2( var1, "FastD") ;
Plot3( OverBought, "OverBot" ) ;
Plot4( OverSold, "OverSld" ) ;

condition1 = var1 crosses over OverSold ;
if condition1 then
Alert( "FastD exiting oversold zone" )
else
begin
condition1 = var1 crosses under OverBought ;
if condition1 then
Alert( "FastD exiting overbought zone" ) ;
end;