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Arms Index - TRIN
by The trader, uploaded several months ago

This Arms index item is my third market breadth composite index. This first item I have uploaded, 340, calculates the ratio between the number of advancing stocks and the number of declining stocks. The second one, 344, calculates the absolute value of the difference between the number of advancing stocks...
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Ratio of Stocks Outperforming/Underperforming Their Industry
by QuantShare, uploaded several months ago

Here is an interesting market breadth indicator that measures market strength by comparing the stocks that are outperforming their industry with stocks that are underperforming it.

The composite is calculated as follows:
- It counts the number of stocks whose 25-bar rate of return is higher than the 25-bar rate of return...

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Best Performing VS Worst Performing Stocks
by The trader, uploaded several months ago

The best performing versus worst performing stocks is a composite I have created while trying to find whether the number of stocks with very high increase is higher or not that the number of stocks with very high decrease.

This market indicator calculates the number of stocks whose daily return was...

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Rate an item Rate an item Rate an item Rate an item Rate an item Write a review no reviews Number of downloads 28 downloads Notes Report an item
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Percent Rank Market Indicator
by Brian Brown, uploaded several months ago

Percent Rank Indicator measures the percentage of bars whose values are below the current bar value in the past N-bars. A value of 100% indicates that the current value is the highest for the given lookback period, while a value of 0% indicates that the current value is the lowest...
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Advancing-Declining Industries
by QuantShare, uploaded several months ago

This market composite returns the number of industries that advanced minus the number of industries that declined. It stores the composite time series in the following ticker symbol: _INDUSTRY_ADVANCEDECLINE

The composite gets all industry symbols and computes the one-day return for each one. It then adds the ones that have advanced...

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10-bar moving average return for S&P 500 stocks
by Patrick Fonce, uploaded several months ago

The S&P 500 - 10-bar moving average return is a market indicator that calculates, each trading day, the 10-bar moving average of each stock that composes the S&P 500 Index. The 10-bar return is then computed for each MA and the results are averaged.

The composite name is "_S&P500_AVGMA". It is...

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Hull Moving Average Strategy - Multi Time Frame Trading System
by QuantShare, uploaded several months ago

Using the Hull moving average, a market rule, two time frames and an N-Bar stop, this strategy generates an annual return of 30.91%, a high Sharpe ratio of 2.13 and a very low drawdown (-16.21%). The strategy beta is equal to 0.29 and the correlation between daily returns and S&P...
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