This script helps you discern the relative change of each leg in a two-legged spread over a given period. The main plot is a difference in log return over the number of bars identified by the "lag" parameter. E.g. if "lag" is 10 and leg one has increased 3% over the past ten bars, while leg two has only increased 1%, the plot value is 2%. The main plot is also...
Reverse Mean Log Returns (RMLR) indicator
Here at Alpha Trading, we create indicators that are based on Volatility, Probability and Statistics. We always add our own secret sauce, to turn mathematical principles into indicators that are tradeable. If you have been here for a while, or even if you are new, you have most likely heard us talk about Returns in our...