I am looking for a programmer in AFL for Amibroker. I want to have a tradingsystem that can analyse pairs. The formula is quite simple. For example :Let's take two pairs, the SP500 index and the Dow Jones index. If the SP500 drops with 1% the Dow Jones also has to drop... But by which amount??... If the volatility of the Dow Jones is 1.5 times the volatility of SP500 then the Dow should drop with 1.5% So I want to have a realtime chart with 3 lines: 1) SP500 2) Dow Jones and 3) the Dow "as it should be" - so adjusted with the volatility. The amount of the volatility I can set that by hand (manually) so that will be a parameter that I will control.
Now I want to have a trading system that sends an email and a pop-up on the screen when the difference between 2 and 3 ( 2=dow, 3= Dow as it should be) hits a certain level. In the example above: If the Dow is only down by 1% and the value of line 3 ( Dow as it should be) is down by 1.5% there is a difference of 0.5%. This could be the first threshold for example..So when the difference is 0.5 or more, there will be an email and a popup to alert the trader that there is a possibility to trade. The message can be: The difference between the Dow and the Dow -as it should be - is more than 0.5% - SELL DOW FUTURE / BUY SP500 FUTURE.
I also want to backtest this strategy and to be able to optimize it.
The example above is for the Dow vs SP500, but I want to trade more pairs.