This item downloads a measure for U.S. stocks that tells you how likely a company is to achieve its financial goals.
Quantitative research based on public companies financial statements is conducted in order to grade each stock on its ability to achieve the most important goal, which is to maximize returns...
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Downloader
Medium
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Cumulative sum or running total of a technical indicator refers to the algebraic sum of all previous values of this technical indicator.
The Cumulative sum formula is as follows:
A = B + C * previous value of A ...
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Indicator
Medium
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This Generic Trading System Template can be used as a starting point for your own trading system developments. It includes all the simulator settings that can be parameterized as well as examples for ranking, optimization, stop-setting, entry/exit rules and limits.
The template is grouped into settings that are likely to get...
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Trading System
Medium
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With this trading system template, you will be able to test your strategy with different position sizing techniques quickly and effectively. By using this template to build your trading system then by clicking on the optimize button, QuantShare will backtest your strategy five times, each time using a different position...
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Trading System
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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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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The list of symbols in the "Bourse de Toronto" and "TSX Venture Exchange".
This list contains 1581 symbols. Stock description is also included.
The fiscal year ends in the month specified in the Expiration Date field....
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Symbols
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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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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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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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 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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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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Returns a sub- string from a larger string that contains comma separated string values, at the nth comma position (starting at 0)
ex1:
tickerList="IBM,AAPL,SPY,TLT";
strCommaExtract(tickerList,3) returns "TLT"
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Indicator
Basic
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The least squares regression line is a line in the form of "y = a + b * x" that best fits a data set (time series).
The least squares regression is the most used modeling technique. It is mainly used to predict the future value of the analyzed time series.
Example: ...
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Indicator
Advanced
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The coefficient of determination or R2 is used in the context of statistical models whose main purpose is the prediction of future outcomes based on other related information.
R2 value is a number between 0 and 1 and it describes how well a regression line fits a set of data.
When R2...
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Money Manag.
Advanced
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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
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The equity symbols function returns the relative value of a group of securities. It gets a list of securities separated by semi-colons.
This indicator (EquitySymbols) can be used for example to calculate the relative performance of a stock against a group of other stocks.
Formula: (Right click on a chart then "Edit...
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Indicator
Medium
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The Rex Oscillator is a study that measures market behavior based on the relationship of the close to the open, high and low values of the same bar. The theory behind the Rex Oscillator is that a big difference between the high and close on a bar indicates weakness. Conversely,...
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Indicator
Medium
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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
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This Script MM is constructed for rebalancing your portfolio. When you buy in one day all of your assets MM this script works:
Allocations are based on the observed volatility of
each asset over the recent past for a portfolio of stocks and bonds. This concept can easily be extended to...
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Money Manag.
Medium
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This downloader gets one-minute intraday data for several futures contracts. It get continuous data for the past three trading days.
It downloads intraday data for the following 58 futures:
Australian Dollar (AD)
Soybean oil (BO) ...
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Downloader
Medium
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Here is a download item that will allow you to retrieve daily historical continuous contract data for CME Eurodollar futures. It gets non-adjusted price based on spot-month continuous contract calculations.
Eurodollar futures are interest-rate derivatives based on the LIBRO. These 3-Month Eurodollar futures are traded on the CME or Chicago Mercantile...
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Downloader
Advanced
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The "AutoSR" function is a very useful trading indicator that automatically calculates support and resistance lines for any security. It can be used to calculate the last support or resistance lines (Detect chart patterns using the auto support/resistance indicator) or it can be used to calculate the support and...
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Indicator
Advanced
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What is the ConnorsRSI?
It consists of three components:
a. Short term Relative Strength, i.e., RSI(3).
b. Counting consecutive up and down days (streaks) and "normalizing" the data using RSI(streak,2). The result is a bounded, 0-100 indicator. ...
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Indicator
Medium
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The built-in "random" QuantShare function returns a random value given a min and max interval. The random number is the same for all bars. It will be no lower than "min" and no higher than "max".
The current "RandomValues" function is almost the same but instead of assigning the same...
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Indicator
Medium
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Margin could be defined as the percentage of initial capital that you can invest. A default margin factor of 1 indicates that you can invest 100% of your capital. A margin factor of 1.5 indicates that you can invest 150% of your initial capital. In this case, 50% of the...
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Money Manag.
Medium
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Dr. Van Tharp's System Quality Number (SQN) metric.
SQN measures the relationship between the mean (expectancy) and the standard deviation of the R-multiple distribution generated by a trading system. It also makes an adjustment for the number of trades involved. Dr. Tharp has determined that the better the SQN, the easier...
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Rule Metrics
Medium
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This script adds two columns, entry price and exit price, in the "Trade -> Realized trades" table of the simulation report. Entry price refers to the execution price of the buy or short order and the exit price refers to the execution price of the sell or cover order. For...
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Money Manag.
Advanced
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// RSI + SMA(200) + Hurst v001
// 2013-07-16
Inspired by Larry Connors' work on RSI(2). The system buys major ETFs on weakness [RSI(2) < 5] and sells when the recovery starts [RSI > 65]. The system is long only and trades when the price is above the 200 day moving average....
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Trading System
Medium
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Calculates the SQN100 (see work of Dr. Van Tharp) as if the per position "Output" is the trade result. This is different from the other rules analyszer metric named SQN in that the sample standard deviation calculation is used vs. the built-in Standard deviation. The result of...
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Rule Metrics
Basic
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This is an enhancement from the "1327" MM script. This version has many calculation bug fixes and adds the following:
Four inputs:
1) # Tr Rolling R - the number of trades to use in rolling R/SQN calculation
2) Include Dividends - flag to indicate whether to include dividends in calculations (requires...
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Money Manag.
Advanced
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The Exit Postition Based on Profitability money management script is used to exit an open position if X% profit has not been achieved after Y number of bars.
The values for the profit threshold (X) and the number of bars (Y) are configurable using the money management variable inputs screen....
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Money Manag.
Medium
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The built-in "GetData" function allows you to retrieve data from a custom database (fundamental, news, sentiment, put/call ratio...). It gets data for the last field's value that occurred during each trading bar.
Imagine you have a volume field (daily data) and you want to display the volume's sum in a...
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Indicator
Advanced
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The Chi-Squared is a widely used statistical hypothesis test to determine whether observed results are significantly different from expected results or not.
In trading, we can use the Chi-Squared test to determine how meaningful or statistically significant the performance that follows a specific pattern is.
Let us for example say that...
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Indicator
Advanced
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This downloader gets EOD continuous data for several futures contracts.
The data is downloaded for several years (+20 years).
Here is the list of futures that you can get with this item (58 symbols): ...
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Downloader
Medium
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This downloader gets EOD data for several Forex pairs.
The data is downloaded for several years (+20 years).
Here is the list of Forex pairs that you can get with this item: ...
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Downloader
Medium
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NOTE: Updated 01/25/2014. See Note 3 below. Thanks to Zoidberg, many thanks.
This EOD(end of day data, no intraday data) downloader can be used to download all data sets from the Quandl.com website. They have more than 8 million global data sets available, so get busy!
Visit http://www.quandl.com/country-index for complete listing for...
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Downloader
Medium
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This function allows you to transform numbers from the following format (example: 1000000) to the following one (1,000,000). The value returned is a string (text).
Here is an example that allows you to plot volume separated by commas:
First remove the default "Plot(volume.." line your formula (Right click on a chart then...
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Indicator
Basic
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This downloader is an update and extension of Tom Huggens' Permabear Sentiment Index downloader (Object 726: http://www.quantshare.com/item-726-permabear-sentiment-index) and related downloaders,
and is based on that as well as code/discussion etc from Stack Overflow (maybe especially http://stackoverflow.com/questions/4986758/oauth-google-trends-download-csv-file) and possibly other sources (C# doc., etc).
The general idea is that we can download weekly...
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Downloader
Medium
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