STRSQZ -- Stretch and Squeeze

[Tams 20]

STRSQZ -- Stretch and Squeeze (w auto calibrate)

 

This indicator displays the premium/discount between a future contract and its cash index

A popular display pair is YM and INDU

 

Basic Concept:

When the market is going up, the future leads the cash with premium.

When the market is going down, the future leads the cash with discount*.

(* or less premium)

 

The key is to look for excessive premium/discount at points of change.

(eg. at channel boundaries, price extremes, etc.,)

 

Note that this is not a Buy/Sell type of indicator

You will need to understand the workings of the market to exploit these signals.

 

Instructions:

set up 3 symbols in the chart:

data1: INDU index (1 minute)

data2: YM current month future contract (1 minute)

data3: YM current month future contract (5 minutes)

 

Set the first 2 symbols to invisible...

the 3rd symbol is your trading chart

(you can substitute the 3rd symbol with other instruments, eg. ES, NQ)

 

Note:

1. The indicator uses a moving average to surpress the noise. The first few bars of the day is not displayed

2. The indicator will stop plotting when the cash is closed

3. The histogram color threshold is user adjustable

 

 

 

 

STRSQZ_Stretch_and_Squeeze.txtFetching info...

Edited May 1, 2009 by Tams

[Tams 20]

Here are some of the chart examples.

 

Screen time is your best friend; you will need to learn which is signal and which is noise.

 

You are invited to post your charts and your interpretations.

 

enjoy

 

 

.

[aaa 10]

I always trade with the DJI cash 1 mn on my left screen and the EuroStoxx Future 1 mn on the right screen.

 

(Europe market follows US markets as a sticker)

 

The interpretation takes a long time and this indicator looks to be very interesting

 

I will try it next week

 

ThanX Tams

[aaa 10]

ATTENTION :helloooo:

 

This is A GREAT indicator, one the best one on my modest point of view.

 

I will post charts and interpretations this weekend

 

I added minor changes, if Tams agree

 

// version 5.6b

// Author: aa

// Date: 20090505

 

// 1) The Threshold.Upper and Threshold.Lower are linked

 

// 2) Choose between inserting the...

// ... Insert.Cash.1rst = 1

// ... Future first = 0

 

// 3) Set a noPlot color for good color synchronisation

STRSQZ_Stretch_and_Squeeze v5.6b.txtFetching info...

[Tams 20]

  aaa said:

ATTENTION :helloooo:

 

This is A GREAT indicator, one the best one on my modest point of view.

 

I will post charts and interpretations this weekend

 

I added minor changes, if Tams agree

 

 

of course... the idea of open source is for people to collaborate and improve/refine.

 

 

  Quote

// version 5.6b

// Author: aa

// Date: 20090505

 

// 1) The Threshold.Upper and Threshold.Lower are linked

 

// 2) Choose between inserting the...

// ... Insert.Cash.1rst = 1

// ... Future first = 0

 

// 3) Set a noPlot color for good color synchronisation

 

 

Well done!

Thanks for the refinements.

 

 

my notes:

 

1. the original code was designed for INDU:YM pair.

there is a market hour difference between the 2 symbols

INDU closes at 1600ET, while YM closes at 1615ET.

 

The code checks for the first symbol's trading session,

and stops plotting when that session ends.

This is done to avoid the chart going haywire when only one data stream is present.

 

Therefore is it ok to put the cash (or any symbol) as data2, so long as the sessions end at the same time.

 

 

2. on the threshold:

one way to simplify it is to put a minus sign in front of the threshold:

 

If STRSQZ > Threshold then

setplotcolor (1, upcol)

else If STRSQZ < -Threshold then

setplotcolor (1, dncol)

...

 

 

 

 

ps. nice comments and section separations in the code

 

ps. thanks for adding the neutral color in the histogram.

I noticed the error yesterday, and was going to post the corrected code today. You beat me to it.

 

;-)

Edited May 5, 2009 by Tams

[aaa 10]

I'm Glad to collaborate with my few knoledge

 

  Quote

Therefore is it ok to put the cash (or any symbol) as data2, so long as the sessions end at the same time.

 

I 've traded from 9:00 to 15:30 (Zurich Time) with the pair EuroStoxx cash/EuroStoxx Future

 

And at 15:30 I've swapped to the pair DJI cash/EuroStoxx without any problem

 

I added this because it was quicker to add a symbol on an existed graph rather that starting from 0.

 

It is very processing hard charge with 8 graphs for a quadriProcessor

 

My compliments for this great indicator ; I really improve my trading

[Tams 20]

  aaa said:

I'm Glad to collaborate with my few knoledge

I 've traded from 9:00 to 15:30 (Zurich Time) with the pair EuroStoxx cash/EuroStoxx Future

And at 15:30 I've swapped to the pair DJI cash/EuroStoxx without any problem

I added this because it was quicker to add a symbol on an existed graph rather that starting from 0.

 

It is very processing hard charge with 8 graphs for a quadriProcessor

 

My compliments for this great indicator ; I really improve my trading

 

 

 

I regularly open 8 chart windows and 20+ charts.

My CPU (quad) barely moves.

Maybe you have a lot of days in your chart.

 

 

p.s. tick charts uses more resources. It is best to keep the days to a minimum on tick charts.

[aaa 10]

I use

 

3 workspaces

 

1 = 1 chart dayly 700 bars back + 1 chart 168 mn 700 bars back detached on a 2nd screen

 

2 = 1 chart 60 mn 700 bars barck + 1 chart 15 mn 700 bars back detached on a 2nd screen

 

The one I trade with

3 = ( 1 chart 5 mn 700 bars barck + 1 chart 1 mn 9 days back ) + 1 chart 1 mn 9 days back with 2 datas detached on a 2nd screen

 

Total = 8 datas in RT

 

And my CPU is over 50 oftenly 80%

 

I think that it could be indicator(s) which is bad writen...

 

PS I have a HMM with a 610 period this is why I use 700 bars back

[SunTrader 10]

How much ram do you have and what processor speed/size - this determines performance when crunching a lot of tick chart data.

[aaa 10]

I reduced history to 500 bars

 

I have 2 MO 2.4 Ghz quad and I don't use ticks charts

 

When I resize my 1 mn charts it freezes during... 30 seconds

 

I have To restart MC

[aaa 10]

My memory used starts at 60 % before loading MC and after 1 hour rises 90 %

 

The problem is only my 1 mn charts with 9 days back (5200 bars )

 

I can't less if I want to use my automatic trendlines

[daedalus 10]

Very Cool Concept! Thanks Tams!

[bats97 10]

  Tams said:

Here are some of the chart examples.

 

Screen time is your best friend; you will need to learn which is signal and which is noise.

 

You are invited to post your charts and your interpretations.

 

enjoy

 

 

.

thanks for the indicator, may i ask what ma u use on the ym?

thx.

[Tams 20]

  bats97 said:

thanks for the indicator, may i ask what ma u use on the ym?

thx.

 

 

you can set the ma through calibrate.avg.length.

the default is 3 period sma.

Edited May 7, 2009 by Tams

[BlowFish 10]

Sounds like you may have a badly written indicator aaa. You could remove them and add them back one at a time to discover which.

[Tams 20]

let's start a new thread on computer optimization.

[aaa 10]

Is it my fault ? :haha:

[aaa 10]

  Quote

Sounds like you may have a badly written indicator aaa. You could remove them and add them back one at a time to discover which.

 

That's what I thought too

 

I've started slowly =

 

remove one one by one and I hope that I will find

 

I will add memory this WE

[bats97 10]

  Tams said:

you can set the ma through calibrate.avg.length.

the default is 3 period sma.

 

i actually mean the moving average on the 5min ym, is it 3?

[Tams 20]

  bats97 said:

i actually mean the moving average on the 5min ym, is it 3?

 

 

I use 50 XMA.

You can use any that suits your purpose.

[bats97 10]

  Tams said:

I use 50 XMA.

You can use any that suits your purpose.

 

cool, thx a lot......

[Tams 20]

the data3 is really optional. It is not directly related to the operation of the indicator.

you can set up the indicator alone like this:

 

 

 

 

 

Also, instead of 1 min for the data, you can try 5 tick bars, etc.

 

 

.

[Tams 20]

  aaa said:

...

I 've traded from 9:00 to 15:30 (Zurich Time) with the pair EuroStoxx cash/EuroStoxx Future

And at 15:30 I've swapped to the pair DJI cash/EuroStoxx without any problem

 

 

you can give this a try:

load up INDU as data4

 

change the code to:

if time > 1530 then

Spread = close data2 - close data4

else

Spread = close data2 - close data1;

 

 

at 1530, the indicator would automatically switch over to INDU.

 

;-)

[aaa 10]

----------- Gooood !

[aaa 10]

// version 5.6c

// Author: aaa

// Date: 20090510

 

// added startdate

// Transformed the indicator as a PaintBar to show divergences on the bars

// The Threshold should be oftenty adapted to the market volatility

Stretch and Squeeze PaintBar.txtFetching info...