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Kaufman Stress Indicator

Stress Indicator, first proposed by Mr. Perry Kaufman, provides an easy way for trading pairs / arbs.

Kaufman's trading rules for Stress Indicator:
- Decide on a pair to trade: For ex., AAPL v QQQ
- Calculate the Stress Indicator (SI) for that pair
- Buy the stock when SI 50
- Calculate the 60-day moving average of QQQ
- If the trend of QQQ is down, hedge the stock position with QQQ equal to the risk of the stock using the 20-day ATR of each
- Exit the hedge when the stock position exits, or exit the hedge when the trend of QQQ turns up
- Do not trade stocks under $3

Explanation of all potential SI applications is beyond this post. For more info:
- ptasite.s3.amazonaws.com/videos/StockTimingUsingPairsLogic.pdf
- futuresmag.com/2008/12/15/crossover-relative-value-trading
- kaufmansignals.com/timing/
- TASC 2014 March issue.

Though Kaufman's Stress stategy is built on top of this Stress Indicator, I suggest reading up his full strategy guidelines before applying this.

Kaufman suggests using 60SMA on the index to track the slope. I have included a custom SMA (find it in the middle pane) that can show SMA for any selected symbol. Use the guide below to import that in to your charts: drive.google.com/file/d/0Bx48Du_2aPFncUhIemNrZUY1dTA/edit?usp=sharing
ARBcustomindicatorslazybearpairs

오픈 소스 스크립트

진정한 TradingView 정신에 따라, 이 스크립트의 저자는 트레이더들이 이해하고 검증할 수 있도록 오픈 소스로 공개했습니다. 저자에게 박수를 보냅니다! 이 코드는 무료로 사용할 수 있지만, 출판물에서 이 코드를 재사용하는 것은 하우스 룰에 의해 관리됩니다. 님은 즐겨찾기로 이 스크립트를 차트에서 쓸 수 있습니다.

차트에 이 스크립트를 사용하시겠습니까?


List of my free indicators: bit.ly/1LQaPK8
List of my indicators at Appstore: blog.tradingview.com/?p=970
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