Rebasing data

This is a discussion on Rebasing data within the General Trading Chat forums, part of the Reception category; I often see charts in magazines with "rebased to 1st". For example, you might want to compare BP with the ...

Reply
 
LinkBack Thread Tools Search this Thread
Old Sep 2, 2010, 4:23am   #1
Joined Mar 2009
Rebasing data

I often see charts in magazines with "rebased to 1st". For example, you might want to compare BP with the FTSE Oil sector on the same chart.
What and how is rebasing to 1st done?
SanMiguel is offline   Reply With Quote
Old Sep 2, 2010, 9:01am   #2
 
barjon's Avatar
Joined May 2003
Re: Rebasing data

the second instrument is overlaid onto the first (main) instrument's chart and given a common starting point at bar 1 (rebased to first). Thus, at that point the price of the two instruments is made equal and subsequent diversion from that equality show up in the progress of the two instruments displayed on the one chart.
barjon is offline   Reply With Quote
Old Sep 2, 2010, 6:43pm   #3
Joined Mar 2009
Re: Rebasing data

SanMiguel started this thread
Quote:
Originally Posted by barjon View Post
the second instrument is overlaid onto the first (main) instrument's chart and given a common starting point at bar 1 (rebased to first). Thus, at that point the price of the two instruments is made equal and subsequent diversion from that equality show up in the progress of the two instruments displayed on the one chart.
It doesn't seem correct to compare 2 charts just based on the 1st bar.
For example, you could overlay Shell and the FTSE 100 on each other. FTSE moves about 100pts a day, Shell about 36p a day - surely that's going to be a dramatic difference.
Would a better way be regression? There must be some way to compare the 2 like for like...perhaps dividing the price by the ATRs or other to get them on a 1to1 scale. RSI would probably do it?
SanMiguel is offline   Reply With Quote
Old Sep 2, 2010, 7:33pm   #4
 
barjon's Avatar
Joined May 2003
Re: Rebasing data

Quote:
Originally Posted by SanMiguel View Post
It doesn't seem correct to compare 2 charts just based on the 1st bar.
For example, you could overlay Shell and the FTSE 100 on each other. FTSE moves about 100pts a day, Shell about 36p a day - surely that's going to be a dramatic difference.
Would a better way be regression? There must be some way to compare the 2 like for like...perhaps dividing the price by the ATRs or other to get them on a 1to1 scale. RSI would probably do it?
sm

no, the main instrument chart would rise as normal, but the secondary (comparitor) one would only rise in the same ratio as the re-based first bar.

So if shell rose by 10% but ftse only rose by 5% then the ftse line (although rising) would fall below the shell line and so on.

jon
barjon is offline   Reply With Quote
Old Sep 2, 2010, 7:43pm   #5
 
barjon's Avatar
Joined May 2003
Re: Rebasing data

ps - the other comparison chart is the relative strength one - here's the pro-real time explanation of it:

Relative Strength Calculation: This indicator represents the evolution of a security's price compared to another one. (a stock, a market index) In order to study the relative strength of a stock compared to a market index we calculate the ratio. Ratio = price of the security/price of the index. Then, calculate the difference Diff = ratio(t)-ratio(t-1) and finally the percentage of variation.

Interpretation: The relative strength compares the evolution of two securities.This indicator is used to represent the correlation between two securities or generally between a security and its sectoral index. For instance, you can compare the evolution of an automobile security relative to its automobile sector index. When the relative performance is going up, it means that the first security is outperforming the second (named the reference) and when the relative strength decreases, it means that the first security is underperforming the second.
barjon is offline   Reply With Quote
Old Sep 2, 2010, 8:33pm   #6
Joined Mar 2009
Re: Rebasing data

SanMiguel started this thread
Quote:
Originally Posted by barjon View Post
ps - the other comparison chart is the relative strength one - here's the pro-real time explanation of it:

Relative Strength Calculation: This indicator represents the evolution of a security's price compared to another one. (a stock, a market index) In order to study the relative strength of a stock compared to a market index we calculate the ratio. Ratio = price of the security/price of the index. Then, calculate the difference Diff = ratio(t)-ratio(t-1) and finally the percentage of variation.

Interpretation: The relative strength compares the evolution of two securities.This indicator is used to represent the correlation between two securities or generally between a security and its sectoral index. For instance, you can compare the evolution of an automobile security relative to its automobile sector index. When the relative performance is going up, it means that the first security is outperforming the second (named the reference) and when the relative strength decreases, it means that the first security is underperforming the second.
Seems like the RSI would be a better comparison tool.
Is it possible to do that in Pro real time? I'll have a look tonight but I only have EOD data.
SanMiguel is offline   Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search

Similar Threads
Thread Thread Starter Forum Replies Last Post
IB data pacing violations too much aggro - recommend another data source for forex? Adamus Data Feeds 5 Aug 23, 2010 8:16pm
Whant to change quality forex data on Oil and Gold data fx.practic Data Feeds 1 Aug 14, 2010 9:42pm
Stock yield data/yield spread data? rsd886647 General Trading Chat 1 Mar 27, 2009 6:13pm
"Price-Data" for Historical Intraday Market Data hailnoel Data Feeds 0 Jul 4, 2008 7:41pm
v8.1: historical data and data feeds - i'm a newbie Kanpo Trading Software 2 Nov 13, 2006 9:24am

Currently Active Users Viewing This Thread: 1 (0 members and 1 guests)