The scale-in trading strategy was described in the following blog post: Money Management: Scale-in Trading Strategy
It is an example that shows you how to use money management events to create an advanced strategy that splits an initial order into two parts, executes the first one then checks for a...
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Money Manag.
Medium
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This function is an alternative to the "PREV" function of Metastock.
In Metastock, the "PREV" function is a constant used to reference the previous value of the same formula.
For example, if you want to calculate this: ...
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Indicator
Medium
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The U.S. Consumer Sentiment, also called the University of Michigan Consumer Sentiment Index, is a market indicator published monthly by Thomson Reuters and the University of Michigan.
The indicator is build by conducting not less than 500 telephone interviews each month and its purpose is to assess consumer attitudes on business,...
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Downloader
Basic
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This function tells you whether a stock is optionable or not. That is, if a stock has options trading on a market exchange.
Due to exchange requirements such as minimum outstanding shares, minimum share price and other rules, not all stocks has options listed.
This function, whose name is "IsOptionable", requires that...
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Indicator
Medium
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This strategy is based on earnings surprise data and it consists of the following trading rules:
Buy Rules:
- Today's Earnings surprise is higher than 5%, which means the actual EPS is 5% higher than EPS consensus (expected earnings per share by analysts).
- Previous earnings-per-share is positive (previous quarter EPS) ...
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Trading System
Advanced
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For a reliable trading system this score must be > 1.68. You can use it with any of your trading system during back testing to see how good your strategy is.
This script is based on an Advanced Momey Management and to use it, after downloading, follow the steps given below:
Simulation/backtesting...
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Money Manag.
Medium
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If your portfolio or trading system performance decreases below a specific threshold then this money management script will automatically stop (pause) your strategy (by not taking more positions) for a specified number of trading bars. The stop threshold and the number of trading bars are two money management variables than...
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Money Manag.
Advanced
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This Simulator strategy is based on a system described by Larry Connors and Cezar Alvarez in their book "High Probability ETF Trading: 7 Professional Strategies To Improve Your ETF Trading ". The strategy's name is "Multiple Days Up/Multiple Days Down" or MDU/MDD.
This strategy was originally run on these ETFs:
DIA,EEM,EFA,EWH,EWJ,EWT,EWZ,FXI,GLD,ILF,IWM,IYR,QQQQ,SPY,XHB,XLB,XLE,XLF,XLI,XLV
...
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Trading System
Medium
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The strategy consists of buying additional shares of a stock at a lower price than the first entry price.
It is similar to the "Averaging Down" MM Script but it is specifically built to work with the Connors_Alvarez MDD/MDU strategy.
The script goes through your open positions and if any current price...
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Money Manag.
Medium
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Every trading system you develop must be thoroughly tested to ensure that it is robust enough to continue outperforming the market in the future. One of these tests consists of changing the simulation or backtest start date and verifying that this doesn't affect the strategy performance. By changing the start...
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Money Manag.
Medium
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This Downloader downloads fundamental data from Morningstar's free service. 82 different elements are captured into a "morningstar_fundaments" database. Typically 10 years of data are available. The data points provided are:
Financials
Revenue USD Mil
...
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Downloader
Medium
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This script allows backtesting of stock portfolios in different currencies and/or conversion of backtesting results to a different reporting currency. It works - but as it is quite complex, I would like to have it tested by the community under different environments before releasing it finally. This is why I...
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Money Manag.
Medium
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Here is a super simple indicator with dozens of applications. Similar to AggM, the AggZ is a composite trend and mean-reversion indicator rolled into one. The concept of both is to anchor a long term trending measure to a short-term mean-reverting measure so that you can have an indicator that...
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Indicator
Medium
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The following download item retrieves historical EOD data for the Singapore Exchange (SGX). It gets data very quickly (by date) for the last 22 market days and for all securities (Stocks, ADRs, Company Warrants, ETFs and ETNs).
To get older data, please use the following downloader: 1171. You can also use...
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Downloader
Medium
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This function analyzes the first N-minutes of a trading session then counts the number of times a specific event occurred. As an example, you can use it to measure the number of times the price crossed above its short-term moving average during the first trading hour.
You can implement this example...
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Indicator
Advanced
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This intraday downloader retrieves 5-minute bars historical data for U.S. stocks (NYSE, NASDAQ, AMEX and OTC exchanges).
The item downloads a single file, decompresses it, reads the content, parses each file then adds the data into the QuantShare intraday database. In few minutes, you get a new database of intraday data...
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Downloader
Basic
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This Singapore Historical Data item retrieves EOD quotes for all companies that are listed on the Singapore Stock Exchange. The list of ticker symbols can be downloaded here: 237.
You can choose to download data for the last 5 days (week) or 5 years. In the "TimePeriod" tab of this SGX...
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Downloader
Medium
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Here is an interesting screen that scans your stocks universe looking for the ones that are bouncing off their previous resistance line (Breakout followed by a bounce). The resistance line is calculated based on the "AutoSR" function and it uses 150 bars as period and 10 bars as lag value....
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Screen
Advanced
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This indicator tells you whether a stock is trading above or below its short-term, medium-term and long-term moving averages. It does so by printing, for example, "Below MA10" if the selected stock is trading below its 10-bar moving average (The calculation is based on the last trading bar only). It...
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Indicator
Medium
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This is a Fibonacci Long and Short Trading System based on the Generic Trading System Template I have uploaded a couple of months ago.
It will identify past swing highs and lows and generate a buy or sell signal when a certain Fibonacci retrace level - which can be optimized -...
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Trading System
Medium
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This function
a) provides exact Finonacci retracement and extension levels
b) allows optimization regarding different Fibonacci levels, for instance:
Optimize("fibo_index", 0, 7, 1);
var = fibonacci(fibo_index); ...
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Indicator
Medium
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Textual analysis in financial markets consists of analyzing text data (news, tweets...) in order to determine the general sentiment of the market and predict its direction. The easiest technique to detect the sentiment of a news release or a tweet is by counting the number of positive words and subtracting...
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Indicator
Advanced
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This script has the following main functions:
a) use of exact levels in stop setting
b) automatically adjust stop loss to the low/high of the previous x periods ...
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Money Manag.
Medium
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This function plots economic releases on a Forex chart. It requires the following downloader 212, which gets economic calendar date and stores it in a custom database. This function then reads the data and plots an arrow and the name of the economic release on the bar where it occurred....
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Indicator
Medium
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The Short term Volume and Price Oscillator is a technical analysis indicator created by Sylvain Vervoort.
The indicator is detailed here:
http://stocata.org/ta_en/proprietary.html
The short-term volume and price oscillator (SVAPO) is based on price & volume and their relationship in bullish (up trending) and bearish (down trending) markets. ...
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Indicator
Basic
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The Self-Adjusting RSI indicator was developed by David Sepiashvili. It describes two techniques to adjust the oversold and overbought levels of the relative strength index indicator. It will create dynamic overbought/oversold zones that aim to improve your strategies performance by reducing false signals that may be generated when using the...
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Indicator
Basic
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Inverse Fisher Transform was first introduced by John Ehlers in an article published in May 2004 issue of the Technical Analysis of Stocks and Commodities magazine.
It is the inverse of the fisher transform which can be downloaded here 528. It is well suited to transform oscillator indicators because it is...
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Indicator
Advanced
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A triangle is a chart pattern formed when two trendlines are converging. When the resistance line is increasing and the support line is horizontal, we call this chart pattern an ascending triangle. When the support line is decreasing and the resistance line is horizontal, we call it a descending triangle....
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Screen
Medium
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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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The wedge pattern is a technical analysis pattern that can be found in the price charts of a financial asset (Stocks, futures, ETFs and bonds).
There are two types of wedge pattern: Rising wedge and Falling wedge. The former is a bearish pattern that is characterized by a contracting range and...
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Screen
Medium
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The Sortino ratio is a popular measure of the risk of an asset, investment, portfolio or strategy. Its formula resembles the one that describes the Sharpe ratio with a small variation that consists of penalizing only negative returns.
Sortino ratio uses the downside standard deviation instead of the classic standard deviation....
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Indicator
Medium
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This downloader is based on the QuantShare blog post: Getting Accurate Backtesting Results: Survivorship bias-free S&P 500
It allows you to create a survivorship bias-free database of several indices. It downloads historical composition of an ETF that tracks an index then creates a custom database by assigning the value "1"...
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Downloader
Medium
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This downloader uses IYW - Dow Jones U.S. Technology Sector Index Fund to create survivorship bias-free database for more reliable bactesting. This ETF fund is 0,99 correlated to QQQ.
Downloader is based on this blog post: Getting Accurate Backtesting Results: Survivorship bias-free S&P 500
Original/Idea autor is Quant Share team....
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Downloader
Medium
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This is a survivorship bias-free S&P 500 database downloader. With this downloader you will be able to test your strategies with more realistic expectations.
I have created this script thanks to this blog post: Getting Accurate Backtesting Results: Survivorship bias-free S&P 500.
Original author is Quantshare Team. Thank You QS!
...
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Downloader
Medium
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If you are a momentum trader then volatility is your friend.The current script analyzes and calculates the volatility of the security you are about to buy/short and update the number of shares according to this volatility. The 60 day standard deviation is used to calculate the volatility.
Example:
You have three instuments...
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Money Manag.
Medium
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This custom trading indicator gets a time-series or condition and starts returning "1" on the first occurrence of "true" signal. It keeps returning "1" until there are no longer "true" signals in the future (in the provided time-series or condition). In other words, it returns "true" or "1" between the...
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Indicator
Medium
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The staggered entry and exit strategy allows you to enter a percentage of the total number of shares to buy when the first condition is met. The remaining number of positions is entered only when the second condition is met.
For exits, it will close only a percentage of the total...
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Money Manag.
Medium
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This asset allocation strategy is implemented using a money management script that rebalances your portfolio monthly and adjusts the open positions by making sure they are equally weighted.
At the beginning of a new month (Monday), this asset allocation strategy loops through open positions, calculates the ideal size (total equity divided...
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Money Manag.
Medium
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This MM script is a simple improvement version Tom Huggens "Historical trading volatility-based system to adjust trade sizes"
You can change and optimize period of stddev and moving average.
Here is Tom Huggens description:
...
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Money Manag.
Medium
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The Directional Trend Index, DTI, is a trading indicator that uses the high/low momentum to calculate the increasing momentum of the highs in an up market and the decreasing momentum of the lows in a down market.
The DTI slope tells you about the direction of the market or security price....
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Trading System
Medium
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