This drawing tool creates a simple trend line with two additional properties:
- The line is colored Green when it is trending up and red when it is trending down
- The trend line displays its length (number of trading bars) and the sum of volume (accumulation) of the bars that occurred...
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Drawing Tool
Medium
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Based on the different iShares ETFs Dow Jones industries, this trading system buys the ETF that is ranked number one based on the ratio between the small-term and long-term moving averages (trending up).
On each rebalance day, the strategy ranks all ETFs based on their moving averages ratio. It then...
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Trading System
Medium
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TSPTalk.com publishes a weekly survey that asks investors whether they think the S&P 500 is bullish or bearish. The percentage of bullish and bearish traders as well as the TSP trading strategy mode are downloaded from TSP website. The Excel file is parsed then three symbols are created and added...
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Downloader
Medium
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This simply downloads all the data from finviz that cannot be calculated from the price data in one quick download. (Fundamental data)...
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Downloader
Basic
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This trading indicator returns the ratio of S&P 500 index to equity put-call volume. It gets the S&P 500 index (Symbol: ^GSPC using the following downloader 463) and divide it by the put/call ratio, which can be downloaded from 146.
The Equity put-call ratio is a sentiment indicator that measures the...
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Indicator
Medium
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Based on the first N-minutes of a trading session, this technical indicator creates a support and resistance lines for each trading session.
The first line corresponds to the high of the first N-Minutes and it is plotted for the rest of the day. The second line corresponds to the resistance and...
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Indicator
Medium
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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
Medium
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To calculate the average 14-bar relative strength index of each U.S. industry, I have used the composite function and grouped stocks by the value returned by the "industry()" function. This function returns the industry name of a stock. By passing it to the composite function, the average calculation will not...
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Screen
Medium
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The current downloader gets one-minute intraday data for Brent Oil and Crude Oil rolling futures contracts.
The data retrieved by this item covers approximately the last nine trading days. You will get one-minute bar data; you can then convert it to any time frame (5 minutes, 10 minutes, one-hour...) when displaying...
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Downloader
Medium
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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
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Description:
Stochastic Index (normalized smoothed q-period Stochastic) by William Blau, described in the book Momentum, Direction, and Divergence: Applying the Latest Momentum Indicators for Technical Analysis.
The values of q-period smoothed Stochastic is normalized and mapped into the [0,+100] interval. It allows to determine the overbought/oversold of the market.
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Indicator
Medium
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Based on the position of the security close price compared to its moving average (MA), this technical analysis indicator returns a value comprised between one and three.
A value of one indicates that the current close price is trading 5% lower than its simple moving average.
A value of three indicates that...
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Indicator
Medium
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In Forex trading, a PIP is the smallest price increment that can be made by a currency. PIP refers to "percentage in point" and it is very important in Forex as it is the basis for calculating profit and loss and measuring spreads (bid/ask differences).
Usually the value of a PIP...
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Indicator
Medium
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This indicator measures the volatility by subtracting the highest high over a specific period by the lowest low over the same period. In other words, the volatility here represents the distance between the highest and lowest value over a specific lookback period. You can of course modify the function and...
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Indicator
Medium
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The MARSI Indicator (Also called Moving Average RSI) returns the RSI or relative strength index of a moving average and thus generates a nice smooth RSI line. This line can be used to identify trends as well as to detect good entries.
The interpretation of the MARSI indicator is the same...
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Indicator
Medium
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Behind the LSS Pivotal buy and sell numbers there is a simple formula based on the mean of three prices, which are the high, low and close prices. The formula is similar to the one that calculates pivot levels. Today buy and sell numbers are calculated based on yesterday's high,...
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Indicator
Basic
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By adding a stop loss to your trading system, you instruct the simulator or portfolio tool to exit a position if it drops more than N% (from the buy price).
You can add a stop loss by clicking "Stop Loss" (bottom panel in "Update a trading system" form). Once it is...
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Money Manag.
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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In statistics, the coefficient of determination represents the strength of the relationship or the portion of common variation in two time-series or variables. It is a statistical measure of how well the regression line approximates the real values.
The coefficient of determination or R² is mainly used to analyze how well...
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Indicator
Medium
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Coefficient of Variation (CV) is a measure of the dispersion of points/prices around the mean (Dispersion of a probability distribution).
In statistics, the coefficient of variation is also called variation coefficient, unitized risk or relative standard deviation (%RSD). Because its value is normalized and it is a dimensionless number, it is...
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Indicator
Medium
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The Gap composite is a market breadth indicator that measures and compares the number of stocks that gapped up and those that gapped down. This market indicator calculates, for each trading bar, the average of the gap difference formula of all stocks in the universe. The Gap difference formula...
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Composite
Medium
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Here is a very simple script that allows you to create a sort of in-sample/out-of-sample testing. The money management creates a script that takes one parameter. You can set this parameter to 1 to perform a normal backtest or set it to 1 to perform a backtest based on half...
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Money Manag.
Medium
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The idea behind the volatility quality index is to discern bad and good volatility in order to create a better volatility indicator that can identify better trade opportunities.
This trading indicator is based on the true range and it is calculated using the latter indicator plus the open, close, high and...
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Indicator
Medium
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Variable Index Dynamic Average (VIDYA) is a special moving average which was developed by Tushar Chande. The complete details about this technical indicator can be found in %u201CThe New Technical Trader by Tushar Chande and Stanley Kroll%u201D.
VIDYA is essentially a dynamic exponential moving average wherein the market volatility is...
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Indicator
Medium
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The trend deviation indicator or TD is the ratio of the close price to its N-Bar simple moving average.
An increasing absolute value signals a divergence or an increase in the difference between the close price and its moving average, while a decreasing absolute value indicates that the close price is...
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Indicator
Medium
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This MM script uses three variables to control the amount to invest per trade and the portfolio risk:
1. Stop loss %: the stop loss in % for a single trade
2. Risk per trade: how many % of your trading capital you want to risk in a single trade.
3. Max. risk:...
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Money Manag.
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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The supertrend indicator as known from different publications.
Variables: Period and Factor...
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Indicator
Medium
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Standard Deviation Ratio or SDR is a technical analysis indicator based on two standard deviations; one using a longer period that the other.
The SDR is measured by taking the ratio of the short-term standard deviation (function: SDDEV) to the long-term standard deviation. The ratio tends to stay below level 1;...
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Indicator
Medium
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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
Medium
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This composite calculates the ratio of stocks trading above their upper Bollinger band to stocks trading below their lower Bollinger band.
The number of stocks trading above/below their upper/lower Bollinger band is computed by comparing the close price to the 20-bar "BbandsUpper"/"BbandsLower" function.
A value of 60 tells us that among stocks...
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Composite
Medium
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One of the major problems of moving averages such as the simple moving average is its lack of quick response to price. The higher the lookback period of the moving average, the slower the response to price movements. Other moving averages, such as the exponential moving average (more weight is...
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Indicator
Medium
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A basic task in statistical analysis of a probability distribution consists of measuring its peakedness and asymmetry. Kurtosis measures peakedness of a distribution, while Skew measures asymmetry.
Kurtosis function is available here: 1045.
A normal distribution is symmetric, that is it looks the same to the right and the left of the...
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Indicator
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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This function calculates the maximum number of consecutive bars that a condition was true in the past N-bars. The function name is "MaxConsecutiveBars" and it has two parameters: Condition and period.
As an example, if we use this function with "close > sma(30)" condition and 100 as a lookback period, the...
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Indicator
Medium
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This trading indicator detects whether a stock is trading at an all-time high or low. In this case, it returns 1, otherwise it returns 0. The function can also be used to detect all-time highs/lows of other time-series, technical analysis or fundamental indicator.
Screen for stock making new all-time highs:
- Select...
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Indicator
Medium
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Created by Dr. Rene Koch, the variance ratio indicator measures the degree of mean reversion or trendiness in a time series. It is an easy and fast way to detect whether a security or price series is trending, mean reverting or following a random walk.
The variance ratio interpretation is as...
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Indicator
Medium
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The maximum drawdown of a stock is calculated using the "Drawdown" function. This function returns the maximum drawdown of a price series since the first bar.
The maximum drawdown composite indicator averages the max drawdown of all stocks in the universe by calculating the max drawdown of each stock and then...
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Composite
Medium
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The VIX symbol stands for the Chicago Board Options Exchange Volatility Index and it is a measure of the S&P500 stock index options that have a maturity of 30 days. In other words, it measures the expected market volatility for the next 30 days and this is why it is...
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Pivot Table
Medium
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This function calculates the average volume during a period of time in the previous days. Given a start and end time, it counts the number of bars and the cumulative volume that occurred within this period and then divide the cumulative volume by the number of bars. Another parameter allows...
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Indicator
Medium
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