This mask transforms one rule into 5 rules. It adds to your rules a volatility constraint.
Let's for example say that your rule is: close > sma(close, 20).
The mask will generate 5 rules from the above rule:
Rule 1: Original rule + security volatility must be lower than 10%. ...
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Rules Mask
Advanced
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This downloader gets splits announcements for U.S. stocks. It creates a custom database (splitsannounced) with the following fields:
Date: Ex-date or the date that the stock price is scheduled to adjust on the exchange
Ratio: The split ratio. Example: 5-4 or 1-2
Payable: The date the stock split will be paid. Example: Sep02
Announced:...
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Downloader
Medium
Private
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The "SetNaN" function updates the first N-values of a time-series and replaces them with "NaN" (Not a number).
A "NaN" value is not drawn on a chart and it always return false when used in a trading rule.
For example, let us create a "NaN" array:
a = ref(close, 10000000000);
...
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Indicator
Basic
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Every day, several stocks are impacted by major news. These news can substantially move higher or lower the stock price of the company it is about.
Every day, a list of stocks that are hit by major news is available on the Finviz website. This list of ticker symbols is downloaded...
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Downloader
Medium
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Standard Deviation Ratio or SDR is a technical analysis indicator based on two standard deviations; one using a longer period that the other.
The SDR is measured by taking the ratio of the short-term standard deviation (function: SDDEV) to the long-term standard deviation. The ratio tends to stay below level 1;...
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Indicator
Medium
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The CFNAI or the Chicago Fed National Activity Index is a monthly index released by the Federal Reserve Bank of Chicago. It is a weighted average of several economic indicators that belong to four main categories: Production and income, employment, unemployment and hours, personal consumption and housing and finally sales,...
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Downloader
Medium
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Here an interesting page that allows EOD download by ISIN codes for several exchanges since 2000. All ISIN symbols incl non-public indices, commodities, etc seem to work.
http://charts.dgap.de/clients/dgap/download_share.php?lang=german&isin=BRIBOVINDM18&start_day=10
&start_month=12&start_year=1992&end_day=10&end_month=06&end_year=2014&exchange=XETRA&go=download
...
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Downloader
Medium
Private
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Applying the linear regression to the 2-Bar Relative strength index series creates an oscillator whose values vary between 0 and 100. The oscillator reaches low values after a decline in the underlying stock and reaches high values after a fast increase.
Linear regression analysis is used to analyze the relationship between...
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Trading System
Medium
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This item allows you to create a Survivorship-bias-free historical database by downloading historical quotes for delisted US companies.
Delisted stocks are companies that are no longer available for trading. A stock can be delisted from an exchange for several reasons: It no longer meets the exchange requirements, it chooses to go...
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Downloader
Advanced
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The 'insideperiod' function is a custom function that deals with dates.
It returns a value of '1' on bars where the bar's date is superior or equal to the start date and inferior the end date.
It returns a value of '0' on bars where the bar's date is inferior...
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Indicator
Medium
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This is a variation of the 120. The indicator contains an additional parameter that lets you define a minimum number of trades threshold.
The Buy Indicator performs for each bar a simulation or backtest and returns the average return/performance of the strategy defined in the rule and N-Bar stop parameters. For...
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Indicator
Medium
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Even in periods where a stock market index such as the S&P 500 rises, many stocks fall sharply. Several reasons could explain this decline: bad news, earnings release below the analysts consensus, big sell orders from institutional traders (micro and small cap stocks are likely to react more to these...
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Trading System
Medium
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Margin could be defined as the percentage of initial capital that you can invest. A default margin factor of 1 indicates that you can invest 100% of your capital. A margin factor of 1.5 indicates that you can invest 150% of your initial capital. In this case, 50% of the...
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Money Manag.
Medium
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This item downloads a measure for U.S. stocks that tells you how likely a company is to achieve its financial goals.
Quantitative research based on public companies financial statements is conducted in order to grade each stock on its ability to achieve the most important goal, which is to maximize returns...
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Downloader
Medium
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As with the 463 item, this downloader gets historical end-of-day data for several markets from Yahoo finance website.
In addition to that, it will also create a custom database "adjust" and store in that database, the adjustment ratio as well as the unadjusted close.
The adjustment ratio will be stored under the...
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Downloader
Medium
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The CRBQX, CRBIX and CRBAX are three market indices created by Thomson Reuters/Jefferies. The indices include most of the industry global market capitalization.
The CRBQX or the TR/J CRB Global Commodity Equity Index (Symbol name: ^CRBQX) is an equity index designed to track 150 stocks, which are essentially engaged in the...
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Downloader
Medium
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The following is a swing indicator that allows one to plot swings and various swing statistics within a chart. Note that this cannot be used for backtesting, a seperate version called swingsim (1555) may be used for that purpose.
The second parameter defines the swing threshold in points....
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Indicator
Medium
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The NYSE Index Closes item retrieves historical index closing values from the New York Stock Exchange website.
Eight indices data are downloaded by this item: (Symbols are added automatically to the Quote Database)
^NYSE_COMPOSITE: The NYSE Composite Index measures the performance of all stocks listed on the NYSE, including REITS, ADRs...
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Downloader
Medium
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The sales, growth and estimates object downloads financial data for all stocks trading on US exchanges - NYSE, NASDAQ, AMEX, and OTCBB.
The object gets four fundamental items:
Sales Growth F0/F-1: This is the percentage growth in annual sales. It is computed by taking the difference between sales of the last...
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Downloader
Medium
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This is a list of symbols of all IMF commodity series. The list includes 63 symbols and it was retrieved from the IMF, International Monetary Fund website (www.imf.org). The commodity indices and series belong to one of the following categories: Food, Beverages, Agricultural raw materials, Metals and Energy.
The following object...
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Symbols
Medium
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This dynamic watchlist lists all shares that are on the current symbol list, that have crossed the simple moving average during the last 200 days. For long-term trend followers this could be a signal for buying stocks from this particular list....
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Watch List
Medium
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In the rating system of the Motley Fool, each member predicts if a stock is going to outperform or underperform the S&P 500 Index in a given timeframe and based on these predictions a score or CAPS rating is given to each stock. The higher the CAPS rating is the...
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Downloader
Medium
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This function creates a chart with different plots usefull for asset allocation / rotation systems as an update to 1005 :
1. Pane: Relative performance of assets indexed dynamically to first visible date on chart, e.g. changes when scrolling chart
2. Pane: Trend indicator of different assets based on custom indicator and...
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Indicator
Medium
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The Stock Market Momentum Indicator is a proprietary stock market indicator created by the Commodity Research Bureau (crb). It is mainly used to determine the general direction of the market. Based on S&P 500 stock prices, this indicator analyzes some stocks and calculates the ratio of the percentage of those...
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Downloader
Medium
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The Hull Moving Average (HMA/HullMovingAvg) is a Moving Average/Study created by Allan Hull and described in his book Active Investing.
When adding the indicator to a chart, buy and sell signals are generated (represented by line color changes and buy/sell arrows) base upon a change in line slope (Positive Slope...
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Indicator
Basic
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This downloader creates a symbol (^BANKHOLIDAY) as well as a custom database (bank_holidays). It then downloads a file that contains a list of bank holidays dates until 2020.
In fact, the data contains more than the bank holiday dates, it contains the date of each holiday, the holiday name, the holiday...
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Downloader
Advanced
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Dave's New System or DNS is an indicator, developed by David R. Evans, which consists of the sum of eight trading rules. Each time a trading rule passes, the indicator value increases by one. The DNS indicator value varies between zero and eight, a value of zero means that no...
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Indicator
Medium
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These masks uses some formulas to determine how far is the time-series current value from its high and low of the x preceding bars.
The first mask calculates the distance in percentage between the time-series and its high, while the second use the same calculation but for the low.
The last one...
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Rules Mask
Medium
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When added to a chart, this function generates a beep each time a new bar is created.
This function could be particularly useful when streaming real time data in a chart with a custom periodicity (Tickers per Bar, Range Bar.). It allows you to be quickly notified each time a new...
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Indicator
Medium
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The function "IsNewBar" detects whether the current bar is a new bar or not (new tick in an existing bar).
If a new tick creates a new bar (Example: 1-min bar) then this functions returns 1, otherwise it returns 0.
The function should be applied with real time data.
...
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Indicator
Medium
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This ticker list contains 3615 symbols of companies listed in the Bombay Stock Exchange (BSE). The data contains the symbol name as well as the company title, and it can be used with the following end-of-day downloader: 220.
The Bombay stock exchange is the largest exchange of the 23 stock exchanges...
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Symbols
Medium
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The Derivative Moving Average was published in an article in the "Technical Analysis of Stocks and Commodities" magazine, in June 1996. The article was written by Adam White and was entitled "The Derivative Moving Average". It describes a trading strategy that uses a simple moving average for long signals and...
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Trading System
Medium
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The 'Buff Averages' is an indicator created by Buff Dormeier. It first appeared in the Traders' Tips section of the Stocks & Commodities magazine in February 2001. The function accepts two inputs: a price time-series and a length period. The indicator volume-weighting calculation is applied to the price time-series. The...
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Indicator
Medium
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The following indicator doesn't create a time-series but instead displays some statistics on your chart.
The data will be displayed on the left-bottom corner and will contain the following values:
Drawdown: Maximum drawdown corresponding to the selected bar
...
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Indicator
Basic
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Known as Dr. Doom, because he is always pessimistic regarding the market and economy, Nouriel Roubini is an American professor of economics at Stern School of Business. He is born is 1959 and is also the chairman of an economic consultancy firm: Roubini Global Economics.
In an interesting post at insidermonkey.com,...
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Downloader
Medium
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This function automatically draws lines for non-closed gaps; - both gap down and gap up. It takes one parameter named "LookingBack" that indicates the numbers of bars to backward scan, e.g. 100 means that the function scans 100 bars backward from last bar. If the parameters is set to zero,...
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Indicator
Medium
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Unlike the futures historical downloader that I have shared some weeks ago (226), this item downloads non-continuous daily futures series, which means that it downloads each future contract separately. A continuous contract, the Crude oil for example which has 'CL' as symbol, will have a unique time-series. This time-series is...
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Downloader
Advanced
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The cash rate is the interest rate at which banks lend money to each other. This overnight money market interest rate should follow the cash rate target decided by a central bank and this can be achieved using different operations in order to influence the supply of money of the...
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Downloader
Medium
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In Abu Dhabi, United Arab Emirates, stocks are traded on the ADX or Abu Dhabi Securities Exchange. Formerly known as Abu Dhabi Securities Market (ADSM), the ADX is a place where investors can trade shares of UAE based companies. Despite an increasing in activity in recent years, the exchange has...
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Downloader
Medium
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