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Percentage of Stocks that are trading between their 50 and 200-day Moving Averages
by Brian Brown, uploaded several months ago

Market indicators such as the percentage of stocks that are trading above or below a specific moving average are well known and often used to determine whether the market is bullish or bearish.
There are many other composites or market indicators that use the close price and the moving average of...

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 Composite 
Medium
Return per Bar Stop - Money Management Strategy
by QuantShare, uploaded several months ago

Return per bar is a metric calculated by dividing a position return by the number of bars since entry (holding period).

For each position and for each trading bar, this money management script calculates the Return par bar and then exits a position if this metric is lower than a specific...

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 Money Manag. 
Medium
Holding period return - classifying positions
by The trader, uploaded several months ago

This item creates three metrics when analyzing a list of trading rules.
The object classify trading rules output or return into three categories.
The categories are:
Position whose holding period is below 10 bars
Position whose holding period is below 40 bars ...

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 Rule Metrics 
Medium
Floor Traders Pivots
by Jim Harrison, uploaded several months ago


Pivot System price levels act as potential support and resistance zones throughout the day. They serve as focal points for floor professionals as they adjust their bids and offers, especially when trading activity is slow. The use of these values, along with tape reading skills and candlestick pattern recognition can...

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 Indicator 
Medium
Trend Strength Index
by swalk10, uploaded several months ago

Frank Hassler introduced this measurement. It was discussed on Frank's Blog Engineering Returns http://engineering-returns.com/2010/06/28/aapl-ts/, and it was highlighted and researched by David Varadi of CSS Analytics in his blog http://cssanalytics.wordpress.com/2010/06/28/trend-strength-index-tsi/, and subsequent posts.

David uses the following summary of TSI: "The TSI is an intermediate-term absolute (versus relative ) measure...

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 Indicator 
Basic
% Invested Capital by Value of Index
by Piotr, uploaded several months ago

Money Management script, that reduces invested capital depending of value of selected symbol:
- if close price is above long SMA and above short SMA - script invests 100% capital
- if close price is below long SMA and below short SMA - script invests 0% capital
- if close price is between...

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 Money Manag. 
Basic
 Private 
Relative Vigor Index
by Brian Brown, uploaded several months ago

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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 Indicator 
Medium
Abu Dhabi Securities Exchange - EOD data
by bug man, uploaded several months ago

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
Dow Jones U.S. Technology Sector Index Fund survivorship bias-free database downloader
by clonex, uploaded several months ago

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
DV Intermediate Oscillator (DVI)
by clonex, uploaded several months ago

This is the smoothed intermediate oscillator framework designed to complement the DVO. It was also designed to be flexible for use in adaptive systems. The current DVI is a combination of two different indicators: 1) DVIM- DVI Magnitude which measures the distance price has travelled over multiple intermediate time frames...
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 Indicator 
Medium
Average Cross-Correlations
by Vangelis M., uploaded several months ago

Example: a=AvgCorrelation("SPY,TLT,EEM",100) ;

This function computes the average cross- correlations of the assets in the list. It sums up the correlations of all possible pairs and divides by the number of pairs.
It can help to visualize how correlated more than 2 assets are. Or it can be used in a system...

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 Indicator 
Medium
Day of week and Week number function
by Brian Brown, uploaded several months ago

Here is another date function used to make correspondence between the trading bars and the actual dates in the calendar. It is named DayOfWkMonth, and it returns a value of one for the bar that corresponds to the day of week in the week number given as parameters.
For example, if...

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 Indicator 
Medium
Japan Stock Market
by The trader, uploaded several months ago

The Tokyo stock exchange, the Osaka securities exchange and the Nagoya stock exchange are the main three exchanges in the Japan stock market.

The Tokyo stock exchange or the TSE is the bigger one; it has more than 2000 listed companies with a combined market capitalization of more than 4 trillion...

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 Symbols 
Medium
Turn of the Month in Equity Indexes
by Brian Brown, uploaded several months ago

The turn of the month effect on stock indexes states that stock prices performs better on the first three days and the last four days of each month. The idea is based on several academic papers such as the Equity Returns at the Turn of the Month, Further Evidence on...
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 Trading System 
Medium
Parallel Resistance and Support Lines
by QuantShare, uploaded few weeks ago

This watchlist scans for securities that have parallel support and resistance lines.
This is accomplished using the powerful "autosr" function (Automatic Support/Resistance).

You can read more about how this dynamic watchlist was built by reading the following blog post:
How to Scan for Parallel Resistance and Support Lines ...

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 Watch List 
Advanced
NSE Margin Trading
by QuantShare, uploaded several months ago

The Margin Trading data for the National Stock Exchange (India) is downloaded from the NSE website (http://www.nseindia.com/archives/archives.htm). It includes the quantity and the amount financed by members/dealers of the NSE under the Margin Trading Facility for all securities listed in the exchange.

Members of the exchange report this data to the...

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 Downloader 
Medium
Insider trading data
by Patrick Fonce, uploaded several months ago

Insider trading data are data reported by company insiders to the Securities and Exchange Commission (SEC). It could be a director who sold some shares in the company stock, or a CEO who bought 1000 shares of the company he works for.
Insider trading data could be downloaded from the SEC...

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 Downloader 
Medium
McNicholl Sentiment
by mdmd, uploaded several months ago

Sentiment indicator from Dennis McNicholl's 2002 Book "Taming Complexity in Trading; Beating the Dow 3 to 1"

It uses statistical techniques to make the stock series stationary and then works on looking at the confidence intervals of the moving standard deviation of the smoothed transformed series.

It is best as a very...

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 Indicator 
Medium
Volume Ratio Rank Screen
by bug man, uploaded several months ago

An increase in volume can be detected in several ways. For example, you can calculate the ratio of the total volume in the last five bars to the volume of the last 50 days. The higher the ratio is the higher the increase of the volume during the last days.

Here...

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 Screen 
Medium
Industry Fundamental Data
by Brian Brown, uploaded few weeks ago

Aggregate fundamental data for industries could be very useful in a top-down analysis style. It can be of course be used in several ways and would allow you for example to create industry-specific rules in your trading or ranking system.

By running this item daily, you would be able to gather...

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 Downloader 
Advanced
Candle Pattern Forecast
by Kyra Packens, uploaded several months ago

This indicator makes a prediction for the returns of the current bar based upon averaging the returns of the NumClosest (parameter) candlestick patterns that were most similar to the current bar's pattern in the Lookback (parameter) period. "Similarity" here is the squared euclidean distance between vectors describing the two...
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 Indicator 
Advanced
Average Open-to-Close Return per Day of Week
by QuantShare, uploaded few weeks ago

This pivot table will show you how a stock or an asset would have performed intraday depending on two factors, which are the day of the week and the previous intraday return. By intraday, I mean here the open-to-close return and not the yesterday's close to today's close return.

The pivot...

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 Pivot Table 
Advanced
Technical Analysis Continuation Pattern: Descending Triangle Indicator
by bug man, uploaded several months ago

In technical analysis, the descending triangle is a continuation pattern that occurs in a downtrend after a consolidation period. It is formed by two trend lines: A descending trend line and a horizontal line or support line. A bearish signal is generated when the close price moves below the support...
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 Indicator 
Medium
Forex Correlation Matrix
by QuantShare, uploaded several months ago

The following Forex correlation trading item creates a correlation matrix between several currency pairs.

Correlation is a statistical measure of the relationship between two securities. It tells us whether two currency pairs are moving in the same, opposite or random direction.

Correlation values vary between -100% (Forex pairs move in the same...

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 Pivot Table 
Medium
VolDex Implied Volatility Index - Historical Data
by QuantShare, uploaded several months ago

VolDex (symbol: VOLI) is a new index that measures the real-time implied volatility of the SPY (SPDR 500 ETF) by using only at-the-money SPY options (unlike the VIX, developed by CBOE, who uses all SPY options in its calculation).

The index calculates the implied volatility of at-the-money SPY put options of...

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 Downloader 
Basic
Historical futures data
by Brian Brown, uploaded several months ago

The current download item gets non-continuous daily futures quotes from the following download location: www.accesstrading.com. The quotes can be downloaded starting from the end of 2007. This is because a change in the URL that points to the CSV content was made in the late 2007. The data provided by...
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 Downloader 
Medium
Market trading rules
by bug man, uploaded several months ago

This function accepts a list of rules and an index as parameters and returns a rule for the specified index.
The Market trading rules function can be very useful when applied in an optimization or backtesting process. Imagine you have a trading system and you would like to test different exit...

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 Indicator 
Medium
Set the First Trading Bar Values to Not a Number
by QuantShare, uploaded several months ago

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
Auto Support Line
by Caleb, uploaded several months ago

The Auto Support Line draws a support line that starts from the low price of the first bar location to the lowest price value of bars that are comprised between the start and end locations of the support line.

A support line is a line that is drawn below prices; it...

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 Drawing Tool 
Medium
Qualitative Quantitative Estimation Indicator
by Brian Brown, uploaded several months ago

The Qualitative Quantitative Estimation indicator is calculated based on a combination of the smoothed relative strength index (Moving average of RSI) and the average true range (ATR is used as a volatility based trailing stop) indicators. The QQE or Qualitative Quantitative Estimation indicator is particularly useful for volatile assets (stocks,...
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 Indicator 
Advanced
Cumulative New High/Low Line
by The trader, uploaded several months ago

52-Week New Highs and 52-Week New Lows are numbers released by several stock exchanges. The New York Stock Exchange, American Stock Exchange and NASDAQ released numbers are downloaded by 134. From the same data provider, 159 gets the number of advancing and declining issues on these exchanges and the 151...
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 Composite 
Medium
Choose function
by Tom Huggens, uploaded several months ago

The 'Choose' function is a small piece of code that returns a vector given an index. The function accepts six parameters, the first one is the index and it is used to select one the next five parameters. The others parameters accept any numeric vectors.

Example:
a = rsi(14);
b = rsi(14) >...

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 Indicator 
Medium
Per Symbol Average Output
by The trader, uploaded several months ago

This rules analyzer metric calculates the average output of each analyzed rule and on a per-symbol basis. The standard average output adds up the outputs generated by all the positions for all securities then divides this value by the number of positions.
The current metric adds up the outputs separately for...

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 Rule Metrics 
Advanced
Amsterdam stock exchange
by QuantShare, uploaded several months ago

After merging with the Paris Stock Exchange and the Brussels Stock Exchange to form the Euronext in 22 September 2000 (Euronext merged with NYSE in 2007 to form the NYSE Euronext), The Amsterdam Stock Exchange name changed to become the Euronext Amsterdam.

The Amsterdam Stock Exchange is considered to be the...

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 Symbols 
Medium
ISIN EOD downloader incl indices, commodities since 2000
by Alexander Horn, uploaded several months ago

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 
News parser function
by The trader, uploaded several months ago

This function parses a symbol custom database and returns a value of one on bars where the database field data contain a specific word.
This function accepts three parameters. The first one is the database name (Example: ' yahoo_news ' if you are using the yahoo news downloader - 88),...

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 Indicator 
Advanced
French Industrial Indices Euronext
by Vincent Prat, uploaded several months ago

This List contains the 10 Industrials Indices of the French stock market (euronext) classified according the ICB classification.
They will be added in your database.

CAC OIL & GAS
CAC BASIC MATER.
...

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 Symbols 
Basic
Chaikin Oscillator
by bug man, uploaded several months ago

The Chaikin Oscillator is calculated by subtracting an exponential moving average of the Accumulation Distribution line with a 10 bars lookback period from an exponential moving average of the Accumulation Distribution line with a 3 bars lookback period.

This Chaikin Oscillator indicator accepts two parameters. The first one, called 'slow' refers...

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 Indicator 
Medium
Market: US Holidays
by Patrick Fonce, uploaded several months ago

This item loads and saves a list of all US holidays. The data is retrieved from the (ice.com) website. The market closes on these US holiday dates and thus the list can be helpful if you need to conduct some analysis on the how the market behaves near these dates.

The...

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 Downloader 
Medium
Moving Average: Rule-based
by The trader, uploaded several months ago

Probably the most popular trading indicator is the moving average. It is widely used in technical analysis and several other indicators use it in their calculation. For each bar, the moving average indicator calculates the average price of a time-series over the preceding N-bars.
The function name is 'rbsma', which stands...

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 Indicator 
Medium
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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.