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OverSpread Watchlist

Understand the OverSpread Watchlist function

The OverSpread Watchlist unlike the OverSpread Scanner is updated, the updates depend on the timeframe used. Weekly every 120 minutes, Daily every 15 minutes, 1 hour every 5 minutes, 30 minutes every 3 minutes, 15 minutes every 3 minutes, 10 minutes every 2 minutes, 5 minutes every minute, 1 minute every 30 seconds.

The OverSpread Watchlist is divided into two sections, in the top one the pairs that have been transferred are listed, in the bottom one there are the pairs for which the trading, be it in Paper Trading or Real Market. The section at the bottom is actually the portfolio where you can control market pairs, with related profit / loss.

For more information on OverSpread Trading , click here.

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  • OverSpread Watchlist: includes commands to save or open an OverSpread Watchlist;
  • Trading: contains the functions to enable the OverSpread Trading. More details on this feature can be found on the page OverSpread Trading;
  • Properties: launch the Choose Properties window to choose which properties view, save the layout of the properties or upload a previously saved one;
  • Filters: launch the OverSpread Scanner Filters window to set filters to reduce the pairs in the scanner, the filters set can be saved and loaded in the future;
  • Assets: opens the chart for asset A, asset B or both.

Filters

It is very likely that at the end of the scan there are many pairs in OverSpread Scanner. Using filters is the best way to limit pairs to those that can actually be used to do an OverSpread.

The purpose of the OverSpread Filters function is to apply different filters and to restrict the pairs present in the OverSpread Scanner. For each property that you want to use as a filter you choose the mathematical operator, the value, if this value is to be considered in absolute value and finally the filter activated. Clicking on Calculate beeTrader filters the pairs based on the set values.

In the example it has been set that the value of Z-Score Last Value must be greater than or equal to 2 in absolute value. In this way all the pairs that are greater than 2 Z-Score and less than -2 scores are identified, just the ones that interest us.

Properties Legend

Asset A Indexed PriceIndexed value of the asset A. The first value of the asset A is set to 100%, all subsequent values are calculated starting from this value
Asset A Last Bar TimeLast bar of the Asset A on which the calculations are made, must coincide with Asset B Last Bar Time
Asset A Last PriceLast price of Asset A
Asset A Start DateFirst useful date of historical data of Asset A
Asset A WeightWeight of the symbols to match the pair. The value of 1 unit is assigned to the asset with the least weight. It takes into account the point value and the price difference
Asset A Z-Score Last ValueLast value of the Z-Score of Asset A
Asset B Indexed PriceIndexed value of the Asset B. The first value of the Asset B is set to 100%, all subsequent values are calculated starting from this value
Asset B Last Bar TimeLast bar of the Asset B on which the calculations are made, must coincide with Asset A Last Bar Time
Asset B Last PriceLast price of the Asset B
Asset B Start DateFirst useful date of historical data of the Asset B
Asset B WeightWeight of the symbols to match the pair. The value of 1 unit is assigned to the asset with the least weight. It takes into account the point value and the price difference
Asset B Z-Score Last ValueLast value of the Z-Score of the Asset B
Average Spread Crossing IntervalThe average in bars between a return to zero and the next of the Spread. The lower the number, the less time it will take to close the spread on average
Average Z-Score Crossing IntervalThe average in bars between a return to zero and the next one of the Z-Score. The lower the number, the less time it will take to close the spread on average
CointegrationValue that does not exceed unity and that is greater and greater is the bond we seek within the couple
Confidence LevelQuality, robustness, of the bond found in the cointegration. Higher percentage value and the higher the quality
Estimated bars to ZeroEstimated calculation of bars that will be needed at the spread to return to zero. The smaller the number, the sooner the pair will be closed in profit
Historical BarsNumber of bars on which all counts are made
Max Spread Divergence %The maximum divergence value that the two assets that make up the spread had. The greater the number, the greater the amount of possible gain
Max. Z-Score (Final bars)The maximum positive value assumed by the Z-Score in the last 250 bars
Max. Z-Score DivergenceThe maximum divergence value that had the Z-Score calculated for the two assets. The greater the number, the greater the amount of possible gain or loss
Min. Z-Score (Final bars)The minimum value taken by the Z-Score in the last 250 bars
Optimized Avg Bars / TradeAverage number of bars on the market per trade obtained in the optimization and on which all calculations were made
Optimized Avg Trade %Relationship between Optimized Profit / Loss% and Optmized Num. Trades
Optimized Avg. Losing Trade %Average value of the losses of the only losing trades obtained in the optimization and on which all the calculations have been made
Optimized Avg. Winning Trade %Average value of the profit of the only winning trades obtained in the optimization and on which all the calculations have been made
Optimized Bars in MarketNumber of bars in which the pair has remained in the market overall to generate the calculated results
Optimized Max DrawDown %Draw-Down expressed in% that would have been obtained in the time considered and at the values of Z-Score Optimized Upper Level, Optimized Lower Level
Optimized Z-Score Lower LevelLower level of Z-Score obtained from the optimization and that would have generated the best performances if used to enter the market. They indicate a cue to possibly adjust the entry levels because it is an average historical value and probably repeatable
Optimized Z-Score Upper LevelHigher level of Z-Score obtained from the optimization and that would have generated the best performances if used to enter the market. They indicate a cue to possibly adjust the entry levels because it is an average historical value and probably repeatable
Optimized Num. TradesNumber of trades obtained in the optimization and on which all the calculations have been made
Optimized Num. Losing TradesNumber of losing trades obtained in the optimization and on which all the calculations have been made
Optimized Num. Winning TradesNumber of winning trades obtained in the optimization and on which all the calculations have been made
Optimized Profit/Loss %The profit expressed in % that would have been obtained in the time considered and at the values of Z-Score Optimized Upper Level, Optimized Lower Level
Optimized P/L Std. Dev.Standard deviation of the profit that would have been obtained in the time considered and to the values of Z-Score Optimized Upper Level, Optimized Lower Level
Ratio A/BWeight ratio between the two titles, coincides with the greater weight to be given to the asset
Ratio Profit Opt./Std.Relationship between Optimized Profit / Loss% and Standard Profit / Loss%
R-Squared Last ValueLast value of R-Squared
Spread Bars from zeroNumber of bars elapsed since the spread has last crossed zero
Spread Zero-CrossesHow many times the spread crossed zero in the period expressed by Historical Bars. A higher number indicates better spread responsiveness. If the spread crosses the zero line it means that the assets have crossed and therefore any assumed position has gone to 0
Standard Avg Bars / TradeAverage number of bars on the market per trade obtained using +2 and -2 as thresholds on the Z-Score to enter the market
Standard Avg Trade %Relationship between Standard Profit / Loss% and Standard Num. Trades
Standard Avg. Losing Trade %Average loss value of the only lost trades obtained using +2 and -2 as thresholds on the Z-Score to enter the market
Standard Avg. Winning Trade %Average value of the profit of the only winning trades obtained using +2 and -2 as thresholds on the Z-Score to enter the market
Standard Bars in MarketNumber of bars in which the pair remained in the market overall, using +2 and -2 as thresholds on the Z-Score to enter the market
Standard Max. DrawDown %Draw-Down expressed in% that would have been obtained in the time considered and at the values of Z-Score +2 and -2
Standard Z-Score Lower LevelAlways equal to -2
Standard Z-Score Upper LevelAlways equal to +2
Standard Num. TradesNumber of trades obtained using +2 and -2 as thresholds on the Z-Score to enter the market
Standard Num. Losing TradesNumber of losing trades obtained using +2 and -2 as thresholds on the Z-Score to enter the market
Standard Num. Winning TradesNumber of winning trades obtained obtained using +2 and -2 as thresholds on the Z-Score to enter the market
Standard Profit/Loss %The profit expressed in% that would have been obtained in the time considered using +2 and -2 as thresholds on the Z-Score to enter the market
Standard P/L Std. Dev.Standard deviation of the profit that would have been obtained in the time considered using +2 and -2 as thresholds on the Z-Score to enter the market
Z-Score Bars from ZeroNumber of bars elapsed since the Z-Score has last crossed zero
Z-Score DirectionCurrent direction of Z-Score Last Value, can be UP or DOWN
Z-Score Last ValueValue of the Z-Score of the spread at the time of scanning. It is colored in absolute value and the greater value indicates the possibility of being close to 2 or -2 which are the standard values for putting the spread on the market
Z-Score Std. Dev.Standard deviation of the Z-Score
Z-Score Zero CrossesHow many times the Z-Score has crossed zero in the period expressed by Historical Bars. A higher number indicates better responsiveness of the Z-Score. If the Z-Score crosses the zero line it means that the assets have crossed and therefore any assumed position has gone to 0