Crack Spread chart?

Discussion in 'Energy Futures' started by polpolik, Jul 1, 2008.

  1. Anyone knows a good source with a daily chart of the crack spread ?
     
  2. [​IMG]
     
  3. LOL thanks coach. I just did a bull Puke Spread on it.
     
  4. Any relation to the stripper spread system?
     
  5. JayS

    JayS

  6. yeah, i've tried this on Amibroker, I don't think I'm smart enough to configure Amibroker to do the 3-2-1 ratio :) Thanks though.
     
  7. bunkinc

    bunkinc

  8. auric

    auric

    hi polpolik here is an afl that might help just open heating oil chart up and type the crude and gasoline tickers in the parameter box
    still learning how to do spreads in ami not much help around
    cheers kg

    //2Gasoline +1 Heating Oil - 3Crude Oil

    SetChartBkGradientFill( ParamColor("BgTop", colorBlack),ParamColor("BgBottom", colorDarkGreen));
    //////////////////////////////////////////////
    Tickerg= ParamStr("long ticker", "type in Gasoline ticker");//long
    ///////////////
    tickersgc=Foreign( tickerg, "C");//long gasoline
    tickersgo=Foreign( tickerg, "O");//long gasoline
    tickersgh=Foreign( tickerg, "H");//long gasoline
    tickersgl=Foreign( tickerg, "L");//long gasoline
    ////////////////////////////////////////////
    Ticker= ParamStr("Short ticker", "type in crude ticker");//short stock
    //////////////////////////////////////
    tickersc=Foreign( ticker, "C");//Short crude
    tickerso=Foreign( ticker, "O");//Short crude
    tickersh=Foreign( ticker, "H");//Short crude
    tickersl=Foreign( ticker, "L");//Short crude
    /////////////////////////////////////////////////////////////////
    Longt=Param("Gasoline contracts",2,1,5,1);
    Shortt=Param("Crude contracts",3,1,5,1);
    //////////////////////////////////////////////////////////////////
    spreadc=(((Longt)*(tickersgc))+C)-((Shortt)*(tickersc));
    spreado=(((Longt)*(tickersgo))+O)-((Shortt)*(tickerso));
    spreadh=(((Longt)*(tickersgh))+H)-((Shortt)*(tickersh));
    spreadl=(((Longt)*(tickersgl))+L)-((Shortt)*(tickersl));
    ////////////////2 period moving average////////////////////////////////////
    Cc1=EMA(spreadc,2);
    Plot( spreadc,""+Ticker,colorGold,styleDashed);
    Plot(Cc1,"",colorBrightGreen,5);
    ///////////displaced moving average////////////////////////
    x1=MA(Cc1,13);
    x2=Ref(x1,-3);
    Plot(x2,"3 displaced 13 MA ",0,5);
    ///////////bollinger bands of ///////////////////////////////////
    bb=1.7*(StDev( spreadc, 11 )) ;
    Plot(Cc1+bb,"",54,styleDashed);
    Plot(Cc1-bb,"",54,styleDashed);
     
  9. Auric, thanks for the AFL script. I'll give that a shot later after the trading day. I appreciate the help!

    Have you tried this type of formula

    spread = Foreign( "ticker1", "C") - Foreign( "ticker2", "C");
    Plot( spread, "spread", colorRed);

    - Tools -> Apply Indicator
    (replace ticker1, ticker2 with actual symbol names).

    I suppose, in this case, just changing the formula a bit would give the spread. I'll work on it later and see how it turns out.
     
  10. auric

    auric

    no problem here is rsi of the crack spread just do same as before open heating oil and type tickers in parameters etc should give you a base to play with cheers


    //rsi of crack oil
    //2Gasoline +1 Heating Oil - 3Crude Oil

    SetChartBkGradientFill( ParamColor("BgTop", colorBlack),ParamColor("BgBottom", colorDarkGreen));
    //////////////////////////////////////////////
    Tickerg= ParamStr("long ticker", "type in Gasoline ticker");//long
    ///////////////
    tickersgc=Foreign( tickerg, "C");//long gasoline
    tickersgo=Foreign( tickerg, "O");//long gasoline
    tickersgh=Foreign( tickerg, "H");//long gasoline
    tickersgl=Foreign( tickerg, "L");//long gasoline
    ////////////////////////////////////////////
    Ticker= ParamStr("Short ticker", "type in crude ticker");//short stock
    //////////////////////////////////////
    tickersc=Foreign( ticker, "C");//Short crude
    tickerso=Foreign( ticker, "O");//Short crude
    tickersh=Foreign( ticker, "H");//Short crude
    tickersl=Foreign( ticker, "L");//Short crude
    /////////////////////////////////////////////////////////////////
    Longt=Param("Gasoline contracts",2,1,5,1);
    Shortt=Param("Crude contracts",3,1,5,1);
    //////////////////////////////////////////////////////////////////
    spreadc=(((Longt)*(tickersgc))+C)-((Shortt)*(tickersc));
    spreado=(((Longt)*(tickersgo))+O)-((Shortt)*(tickerso));
    spreadh=(((Longt)*(tickersgh))+H)-((Shortt)*(tickersh));
    spreadl=(((Longt)*(tickersgl))+L)-((Shortt)*(tickersl));

    pd=Param("pd",13,1,100,1);
    pp1=RSIa( spreadc, pd ) ;

    Plot(pp1,"",5,5);
     
    #10     Jul 29, 2008