Trade Gold Via Regression Divergence

black

贡献一个indicator, tradestation里自己写的，看了intermarket analysis受的启发, 中间的是gold and silver regression divergence, 最下面是it的normalized后的.
data1 = @GC, data2 = @SI,  chgLength = 15, corrLength = 300;

chg1 = 100*percentchange(close of data1, chgLength);
chg2 = 100*percentchange(close of data2, chgLength);

correl = correlation(chg1, chg2, corrLength);
sd1 = standarddev(chg1, corrLength, 2);
sd2 = standarddev(chg2, corrLength, 2);

predict = (correl*sd1/sd2)*chg2;
diver = predict - chg1;
plot1(xaverage(diver,3), "Regression");

buy when normalized indicator rise above 80 and turning down, sell when it goes down below 20 and turning up.
很简单，效果不错。 可以不用silver, 用xau, 或者dxy(negative correlation).

ppteam

good, thanks!

Cobra

dxzhu

Ding! Could you please predict current indicator for gold? thanks

javamood

nice! thanks!

but i feel the period is too short from buy to sell if my understanding is right. it would look better if you can mark enter/exit points on the chart.

black

let me try write it as a strategy this weekend.