Comparing assets - Trading Software

Comparing assets

Christophe
2014-07-07 16:27:23

I reviewed trading objects posted on the site and it seems it is missing a feature. This feature is about comparing the performance of two assets over time in %.

I found on Quantshare two trading objects that come close to it.
- CompareAssets
- EquitySymbols

I will give an example to highlight the feature. In the graph below, we can see the performance of S&P500 and CAC40 over time using CompareAssets.
http://imgur.com/nYiSz2U

The output of CompareAssets is good but limited. For example, if one wants to buy S&P500 and sell CAC40 at the same time, it cannot visualise the evolution over time.
A valuable indicator would be the "green" minus the "red" line.

This indicator is useful to design market neutral strategy (long one asset and short another one at the same time).
It is also useful when there is a starting date to the comparison like in CompareAssets. Reason is that divergences often occur following an event.

What do you think? Is my understanding of existing Quantshare features fine?

QuantShare
2014-07-07 21:43:00

Hi Christophe,

You can implement this using the QS programming language. Right click on a pane, select "Edit Formula" then type the following formula:

a = getseries("GOOG", close);
b = getseries("AAPL", close);
day1 = 4;
month1 = 1;
year1 = 2012;
c1 = day() == day1 && month() == month1 && year() == year1;
a = (a / valuewhen(c1, a)) - 1;
b = (b / valuewhen(c1, b)) - 1;
d = a - b;
plot(d, "", colorBlue);

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