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Regression Divergence Indicator by Markos Katsanos
Code for Markos Katsanos' "Intermarket soybean strategy" in the May 2009 issue of Active Trader.


Regression Divergence Indicator

D1:=Input("DAYS FOR DIV" ,1 ,1000 ,100 );
D3:=Input("DAYS FOR IM" ,1 ,1000 ,150);
SEC2:=Security("C:Metastock DataREUTERSFUTURES@:Cc1",C);
b:=Correl(C,SEC2,D1,0)*Stdev(C,D1)/(Stdev(SEC2,D1)+.001);
a:=Mov(C,D1,S)-b*Mov(SEC2,D1,S);
pred:=b*SEC2+a;DIVERG:=Mov((PRED-C),3,E);
(Mov(DIVERG - LLV(DIVERG,D3), 3,S) * 100) / (Mov(HHV(DIVERG,D3) - LLV(DIVERG,D3), 3,S)+.01 )

 

 
Source / From: TOP
http://www.activetradermag.com/index.php/c/Strategy_code

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