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
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This list of symbols includes Indices, Forex and Futures symbols. It can be used with the following end-of-day historical data downloader: 226. The list is composed of 13 indices, 15 forex pairs and 62 futures contracts.
The symbols' list data includes the symbol name, the security name and the security group...
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Symbols
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Introduced by John Andersen in a September 1996 article appearing in the 'Stock and Commodities' magazine, Standard Error Bands is an envelope whose bands are obtained by the calculation of the beta and alpha coefficients of linear regression. Standard Error Bands are used to measure the strength of a trend,...
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For each Forex currency pair, you can use the 212 trading item to download historical calendar events in a custom intraday database. This database will contain calendar events for several currency pairs as well as the actual, the forecast and the previous value for each event.
This indicator requires this data...
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Indicator
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This indicator uses short selling data downloaded by the 323 object. The indicator calculates, for a defined lookback period, the percentage of bars where the short selling ratio was higher than 50%. (More short selling volume than long volume).
This indicator can be interpreted as follows; a high value means that...
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Indicator
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Using the pivot table tool of QuantShare, I have created a table that shows the average daily return of a security per month and per year. The table displays years as rows and months as columns and calculates the average daily return for every cell (year/month). The daily return is...
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Pivot Table
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This trading system consists of purchasing S&P 500 or any other market index on some particular months that are known to be profitable (average over long periods).
The strategy enters S&P 500 on March, April, October, November and December. It buys the first day of these months and exits the position...
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Trading System
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Stocks that outperform the market are more likely to increase in the future that stocks that are lagging and performing worse than the market.
Outperforming stocks carry also higher risk and we should be particularly careful when entering positions in one of these stocks. Many reasons could explain why...
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Screen
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By default, users are unable to take advantage of global variables inside of charts and other features. This function reads the specified global variable and returns its value as a string (not a number). If the global variable does not exist, this function will return a blank string.
By itself, GetVariable...
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Indicator
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Unlike the majority of stock market risk and volatility measures (such as the Standard deviation), the Ulcer Index was designed, by Peter Martin in 1987, to calculate the volatility in the downward direction only. This technical analysis indicator (Ulcer Index) was first introduced in a 1989's book called "The Investors...
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Indicator
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The Vertical Horizontal Filter, introduced by Adam White, is an indicator used to identify trending and ranging markets. In fact, similarly to the popular ADX indicator, the VHF estimates the raise / fall price acceleration, and thus attempts to predict whether we are going to deal with a trending or...
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Indicator
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Each quarter, companies release their earning numbers in the income statement. The release occurs after or before the market opens.
Earnings are used to calculate several fundamental ratios, including the earnings per share or EPS, which is calculated by dividing the total company's earnings by the number of shares outstanding, and...
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Downloader
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Tadawul is the Saudi Arabia unique stock exchange.
The Saudi stock market is the biggest market in the Arab world by market capitalization. The stock market capitalization exceeds the 55 billion US dollars.
Only people belonging to the Gulf Cooperation Council (GCC) are allowed to invest in the Saudi Arabia...
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Symbols
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This function calculates the Fibonacci retracement 61.8% level, also referred to as 'the golden mean' or 'the golden ratio'. It uses simple vector-based functions to do this. The function accepts one parameter which is the lookback period to use to define the highest and lowest close prices.
Fibonacci retracement is a...
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Indicator
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The Bankruptcy Data Project at Harvard provides historical data of the bankruptcy petitions filled by individuals and entities in the Unites States.
This item downloads the number of total Chapter 7 petitions filled by both commercial and noncommercial (the same as individuals and entities) for each month, from January 2006...
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Downloader
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Here is a money management script that can be applied to any trading system to prevent it from buying positions that didn't perform well in the past. This money management item simply tracks new positions in the "OnNewPosition" event and then decides whether to allow the position to be bought...
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Money Manag.
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This item loads and saves a list of all European holidays. As with the US holidays object (268), the data is retrieved from the InterContinental Exchange website (theice.com).
The data is downloaded from 2001 to 2012 and is saved into the following custom database: 'holidays_europe'. The symbol '^Holidays_EUROPE', which is associated...
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Downloader
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The Fibonacci trading indicator is a technical analysis tool that calculates different Fibonacci retracement levels and then tells you whether there is a resistance or support line near the stock or security price (slightly above or slightly below the close price depending on the sensitivity parameter).
It is almost the same...
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Indicator
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The Cumulative Volume Index is a breadth indicator that uses the advance and decline volume data (volume of advancing stocks and volume of declining stocks) downloaded by 151.
Advancing volume refers to the total volume traded for securities that advanced or closed above their opening price. Declining volume refers...
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Composite
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The Demand Index is a technical indicator that tries to lead price changes using price and volume data. The indicator was developed by Hames Sibbet.
The demand index formula requires several parameters:
Price: A time series that is usually set to the close price, midpoint or high plus low divided by two.
Constant:...
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Indicator
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I had the QuantShare development team build this advanced money management (AMM) script to allow testing of several advanced rebalancing options triggered when a new buy signal is received but insufficient margin is available to take the new position.
When a new buy signal is received and insufficient margin is...
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Money Manag.
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This list contains 1950 ticker symbols. These are ticker symbols of stocks that trade in the Australian stock market.
The Australian securities exchange, or the ASX, is the main stock exchange in Australia. It is based in Sydney and it was formed in 1987. The Australian securities exchange...
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Symbols
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Here is a trading indicator to calculate the Jensen index or alpha of a particular security. When evaluating the return of a security or a fund, it is important to take into account the risk. The alpha indicator helps you achieve this by measuring risk premiums in terms of beta....
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Indicator
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The following screen calculates the average one-month return for each stock and compares that value with the one-month return of their corresponding industry. The average industry return is calculated using the "comp" function. More info can be found on our blog posts about this composite function.
In order for this screen...
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Screen
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Murrey Math Lines indicator creates eight different lines (pivot lines) on a chart to locate potential support and resistance areas. This trading indicator helps you find the best points to buy, short, sell and cover positions.
The function, whose name is "MurreyMath", requires a lookback period that will be used...
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Indicator
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The "HhvLlv" function returns the highest or the lowest value of a time series over a preceding period. Unlike the built-in "hhv" and "llv" functions, this function accepts dynamic lookback periods. This means that you can get, for example, the highest high of a stock over a non-constant period.
Here...
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Indicator
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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
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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
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Advance/decline/unchanged issues are measures of the number of stocks or securities whose price has advanced, declined or remained unchanged. The data comes from stock market exchanges as with the advancing/declining/unchanged volume and the 52-week highs and lows which can be downloaded here (151 and 134).
This item downloads historical data for...
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Downloader
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The current downloader downloads Market Capitalization data for the US Stock market companies that trade in the New York stock exchange (NYSE), NASDAQ and OTC.
A stock market capitalization could be considered as the company's net worth.
It is calculated by multiplying the company stock price by the number of shares outstanding.
If...
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Downloader
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This function allows you to store a variable value globally so that it can be referenced later by any QuantShare tool.
Since variables between a trading system and money management script cannot be shared (The former uses QS language and the latter uses CSharp/C#), you can for example store a trading...
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Indicator
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The Relative Vigor Index is an oscillator introduced by John Ehder. Described in an article entitled 'Something old, something new' in the Technical Analysis of Stocks and Commodities magazine in January 2002 edition, the RVI combines modern digital signal processing with the classical market technical analysis.
In fact, the RVI...
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Investopedia defines oversold as
1. A condition in which the price of an underlying asset has fallen sharply, and to a level below which its true value resides. This condition is usually a result of market overreaction or panic selling.
2. A situation in technical analysis where the price of an asset...
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Watch List
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Here is a very simple money management script that shows you how to buy a fixed number of shares instead of a number of shares determined by the available cash (default money management sizing method).
In order to use this script, simply add it to your trading system. Later, when selecting...
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Money Manag.
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The Copenhagen Stock Exchange is the Denmark's official market for securities.
Shares, bonds, treasury bills and notes, future and options are traded in the CSE (Copenhagen Stock Exchange).
The CSE main index, C20 Index lists 20 Danish blue chips.
This symbol list contains information about 189 companies from Denmark. ...
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Symbols
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The majority of companies spend each year a huge amount of money in research and development or R&D. Research and development refers to a creative activity whose purpose is to improve and increase company and its workers knowledge and then to use this knowledge to improve the existing products/applications or...
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Downloader
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The NORMDIST function is similar to the one available in Excel. Given a set of parameters, this statistical function calculates the normal probability density function or the cumulative normal distribution function.
Here are the different parameters of the NORMDIST function:
X: The function will return the probability of the value "x" occurring.
Mean:...
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Indicator
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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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The following money management script calculates the weight of the industry given the current open positions and orders and rejects any new order if the new weight would be higher than a specific threshold.
If you specify an industry weight of 50% then your portfolio will always have an industry concentration...
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Money Manag.
Advanced
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