This item creates a market breadth indicator called Percentage of new highs to total market. The composite uses the number of stocks making new 52-week highs that are downloaded by the following object 134.
The Percentage of new highs to total market is calculated by dividing the number of stocks with...
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Composite
Medium
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The simulator tool analyzes hundred of stocks for buy signals and then picks few of them (A portfolio is limited by the maximum number of positions it can contains).
After a simulation is completed, you can display the trades that were generated by selecting the "Trades" tab of the Trading System...
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Money Manag.
Medium
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The 159 downloader, which gets the historical number of advancing and declining stocks listed on U.S. Markets (Stocks listed on the New York Stock Exchange, American Stock Exchange and NASDAQ), is used by this Advance/Decline Line item to create a popular composite or market breadth indicator.
The Advance/Decline Line is the...
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Composite
Medium
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This item gets main BSE indices as well as sectoral indices from the Bombay Stock Exchange. It downloads EOD data for 23 indices including the SENSEX (The Bombay Stock Exchange Sensitivity Index is a value-weighted index that includes 30 stocks), MidCap, SmlCap (A stock index that tracks the performance of...
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Downloader
Medium
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In September 1993 edition of the 'Stock & Commodities' magazine, Tushar Chande introduced the Chande's Trendscore indicator. This indicator main role is to determine the direction and strength of the market trend. To do so, it compares the close price to previous close prices over a period of 20 bars....
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Indicator
Medium
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After backtesting a trading system, you can create a ticker symbol from the strategy's equity by right clicking on the equity chart (in the simulation report) then selecting "Equity to Symbol" option.
This money management script allows you to automate this process by creating a ticker symbol for your strategy's equity...
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Money Manag.
Medium
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Average On Balance Volume (OBV) market breadth indicator is the average OBV value of all liquid stocks for each trading day. On Balance Volume is a cumulative indicator that measures buying and selling pressure. It works by adding volume on up days and subtracting volume on down days.
Given the above...
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Composite
Medium
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Shortable stocks refer to stocks that can be shorted, that is, traders are able to sell these stocks even if they don't own them. Usually, stock shares are borrowed from a broker and sold to another buyer. When the trader want to buy back stock shares (cover its position), these...
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Downloader
Medium
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Hammer is used for short term trading when applied to daily charts. Trader can take position accordingly on the particular trading days depending upon the formation of pattern. This will help you screen out stocks having Hammer formation.
Usually it is said that if the Hammer pattern is in downtrend than...
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Watch List
Basic
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The time segmented volume is a technical indicator that segments the price and volume of a stock according to time intervals.
The idea is to calculate accumulation (buying) and distribution (selling) based on volume and price change. The time segmented volume or TSV indicator increases when the current bar's close is...
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Indicator
Basic
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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
Medium
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The Sharpe Ratio is the first measure I look at when analyzing and assessing a backtest results. It is a simple and quick way to measure the performance of a trading strategy.
While this ratio is often used to measure the excess return per unit of risk of an investment or...
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Trading System
Medium
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This function returns the total number of ticker symbols in your database when the provided parameter is empty.
Example:
a = nbtickers("");
plot(a, "Number of tickers");
...
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Indicator
Basic
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Implements traditional fixed fraction position sizing (fixed percentage risk per trade). In this case, risk = (entry price - stop) * nbshares. If you have an account of $100,000, @ 1.5% risk, the first trade risk will be $1500. $1500 is not the same as margin used...
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Money Manag.
Medium
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The Simple Decycler is a study created by John Ehlers and presented in the
The idea behind this virtually zero-lagged trading indicator is that the market data can be considered as a continuum of cycle periods each one with a different cycle amplitude. Trending periods could be considered as segments of...
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Indicator
Advanced
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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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This is a modified version of the "GetDataString" function which gets a string/text from a custom database field.
The modified version allows you to get the last (non empty) string on any given trading bar.
As an example, let us say that you have a database whose name is "db" and a...
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Indicator
Medium
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List of symbols of stocks that trade in the "Bourse de Buenos Aires".
This list contains 74 symbols. Stock descriptions are also included.
The end of fiscal year month specified in the Expiration Date field.
Name1 contains the yahoo compatible symbol....
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Symbols
Medium
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The Annual Return function calculates the trailing annual return of a security. This means that for each bar, the function returns the annual return based on its previous data.
The calculation starts after the first 50 bars. This is because for first bars, annual return time-series would be very volatile.
To...
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Indicator
Basic
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The supertrend indicator as known from different publications.
Variables: Period and Factor...
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Indicator
Medium
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This is a simple hammer screen. It searches for a body equals to 1/3 of the daily (high low) range, It also searches for an upper shadow which is equal or smaller than 1/11 of the daily range (high low). The screener filters out stocks with average volume smaller...
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Watch List
Medium
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This is the Zweig Indicator. You can change the percentage values or optimize them based on the market you are looking at. For US stock markets, 4% seem to work.
After a buy signal, generate the next sell signal upon a 4% or greater decline from...
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Indicator
Medium
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Get stock market prediction (US markets) picks from traderbots website.
The traderbots website has an army of trading systems that generate signals for stocks that trade in the US stock market, the trading systems that are used perform stock analysis using algorithms and artificial intelligence according to the traderbots website.
For...
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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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This ranking system based on RSI(3). The value of RSI(3) is subtracted from 100 so that lower RSI(3) values are given a higher ranking.
Larry Connors' has published some good, quantitative work showing short-term RSI() values (e.g., RSI 2, 3, 4) are good predictors of a stocks performance over the following...
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Ranking System
Basic
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To help the QuantShare community make use of the 565 function and to illustrate the application of Rules Manager, we have created a Price Channel Position rule list.
The Price Channel is designed to measure where price is within the range of the channel look back period, expressed as a percentage...
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Rules
Medium
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This money management script calculates the 1-bar return for the strategy's equity curve and the benchmark you provide in the money management inputs. It then compares the values and adds the percentage of bars the equity curve is performing better than the benchmark in the trading system report table.
The percentage...
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Money Manag.
Basic
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This is another historical end-of-day data downloader for the US Stock Market. It works with all companies listed in one of the following exchanges: NYSE, NASDAQ, AMEX, OTCBB, and Pink Sheets.
The item gets the data from the NASDAQ website. You must select a period and a list of ticker symbols...
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Downloader
Medium
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The ratio of equal-weighted S&P 500 Index to its S&P 500 market capitalization-weighted Index can be constructed using two Exchange traded funds: the SPY (S&P 500 SPDR) and the RSP (Rydex S&P 500 Equal Weight). The S&P 500 equal-weighted indice has the same constituents as the capitalization weighted S&P500, however...
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Indicator
Medium
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The volatility channels indicator is used as a confirmation rule to enter long or short trades. When long rules are triggered, enter long when the price breaks up the upper volatility band and when short rules are triggered, enter short when the price breaks down the lower volatility band. The...
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Indicator
Medium
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This trading indicator has the same parameters as the 829 item I have shared yesterday. However, instead of getting a time-series value at a specific bar, this indicator calculates, for the specified price series/indicator, the sum of all bars that occurred before a given time.
For example, the following formula (YTimeSum(volume,...
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Indicator
Medium
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This is the Yang and Zhang extension of the Garman and Klass historical volatility estimator.
The equation was modified to include the logarithm of the open price divided by the preceding close price. As a result, this function uses the open, high, low and close prices to estimate volatility.
This modification allows...
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Indicator
Advanced
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TFS is a trend-following system introduced by Bryan Strain in "How to get with the trend and out at the end" in the Stock & Commodities magazine in 2000. It consists of a set of three indicators, used together to generate entries. We here focus on the TFS tether line...
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Indicator
Medium
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The current function retrieves data from the quotes or a custom database then performs a calculation on the different values that occurred within each analyzed bar.
Here is an example:
Imagine you are working with monthly data and you want to return the average close price (daily data) for each monthly bar....
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Indicator
Advanced
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The current pivot table returns the average 10-Bar stock performance for each U.S. Exchange (NYSE, NASD, NYSE and OTC). It also returns, in another column, the number of stocks in each one of the previous exchanges. The 10-Bar return calculation is performed using the "perf" trading indicator and it is...
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Pivot Table
Medium
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The Kuwait Stock Exchange is one of the largest stock exchanges in the Persian Gulf region. In fact, it is the second biggest stock exchange in the Middle East of Asia, just after the Saudi Stock Exchange. The exchange is located in the State of Kuwait, and it was created...
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Symbols
Medium
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To Sharpe ratio was created by William Sharpe in 1966. It is a very popular measures used to calculate the risk/return of an investment.
You can calculate the Sharpe ratio of any security in QuantShare using the "Sharpe" function. However, calculating the Sharpe ratio of a portfolio consisting of two assets...
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Indicator
Medium
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A stock is outperforming an index over a specific period if its rate of return for this period is higher than the rate of return of the index.
A high percentage of stocks outperforming the S&P 500 index could be considered as a bullish indicator for the market. The higher the...
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Composite
Medium
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Tirone levels can be calculated using the midpoint or the mean method. This drawing tool uses the midpoint method. This technique consists of calculating three lines: The top line, the center line and the bottom line. The top line for example is calculated by subtracting the lowest low from the...
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Drawing Tool
Advanced
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