Normalized difference for Amibroker (AFL)
danice about 15 years ago Amibroker (AFL)
Normalized difference for pair trading (like z-score)
Indicator / Formula
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_SECTION_BEGIN("normalized_diff");
Ticker = ParamStr("Short ticker", "?");
tickersc = Foreign( ticker, "C");
ticker2 = C;
d = abs(C/tickersc);
p = Param("Period",10);
nd = (d - MA(d,p)) / MA(d,p);
Plot(nd,"normalized difference",colorRed,styleLine);
Plot(0,"",colorBlue,styleLine|styleNoLabel);
_SECTION_END();0 comments
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