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ConnorsRSI v003
by Dave W., uploaded several months ago

This trading system implements the ConnorsRSI pullback system as described in the ConnorsRSI Pullbacks Guidebook.

A description of ConnorsRSI and the system description are available here:
http://info.tradingmarkets.com/ConnorsRSI_ConnorsRSI.html

...

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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 63 downloads Notes Report an item
 Trading System 
Medium
System Metrics
by Dave Walton, uploaded several months ago

This MM scrip adds many system statistics and per trade metrics to help compare trading systems. Most of the calculations are done in terms of R (defiend as initial risk).

Trade Statistics:
Total R - P/L in terms of R
Expectancy (R)
...

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 Money Manag. 
Advanced
SysEnSQN Indicator based on System Quality Number
by Dave Walton, uploaded several months ago

This function is a system filter. It calculates the SQN of the market of choice. Whenever the SQN of that market drops below the input value of nSQN, the function returns false. It returns true when there have been 2 consecutive periods of increase in SQN. ...
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 Indicator 
Medium
Fixed Fractional Position Sizing
by Dave Walton, uploaded several months ago

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
Conditional Trailing Stop Exit 2013-10-18
by Dave W., uploaded several months ago

This money management script allows you to add a trailing stop to your trading strategy AFTER a condition is met. For example, the script will allow you to set a 2% trailing stop after RSI(2) > 70.

The script accepts two inputs from the user: the condition to evaluate, and...

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Rate an item Rate an item Rate an item Rate an item Rate an item Write a review 2 reviews Number of downloads 36 downloads Notes Report an item
 Money Manag. 
Medium
Custom Trading System Rebalancing
by Dave W., uploaded several months ago

I had the QuantShare development team build this advanced money management (AMM) script to allow testing of several advanced rebalancing options triggered when a new buy signal is received but insufficient margin is available to take the new position.

When a new buy signal is received and insufficient margin is...

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Rate an item Rate an item Rate an item Rate an item Rate an item Write a review one review Number of downloads 37 downloads Notes Report an item
 Money Manag. 
Advanced
Plurality Index
by bug man, uploaded several months ago

The plurality index is a market breadth indicator based on the number of advancing and declining issues. These numbers must be downloaded first before using this indicator: 159. Note that the plurality index uses two ticker symbols created by the previous downloader: ^ADVANCE-ISSUES-NYSE and ^DECLINE-ISSUES-NYSE.

The plurality index is always positive...

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 Indicator 
Medium
TTF - The Trend Trigger Factor Indicator
by clonex, uploaded several months ago

The Trend Trigger Factor Indicator is similar to the RSI Indicator. This indicator was originally used to trade and and analyze price movements in the stock exchange and commodities market.The TTF is used as a trend identification indicator. It uses an n number of price periods to calculate the direction...
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 Indicator 
Medium
Alpha/Jensen index of a Security
by QuantShare, uploaded several months ago

Here is a trading indicator to calculate the Jensen index or alpha of a particular security. When evaluating the return of a security or a fund, it is important to take into account the risk. The alpha indicator helps you achieve this by measuring risk premiums in terms of beta....
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 Indicator 
Advanced
Buy/Short a Fixed Number of Shares
by QuantShare, uploaded several months ago

Here is a very simple money management script that shows you how to buy a fixed number of shares instead of a number of shares determined by the available cash (default money management sizing method).

In order to use this script, simply add it to your trading system. Later, when selecting...

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 Money Manag. 
Medium
Return Since a Specific Condition Occurred
by QuantShare, uploaded several months ago

If you want to calculate the return of a time series (example: stock's price) since a specific event or condition occurred then you can download this function and use it as follows:

Example 1: Stock return since the beginning of the year

cond = year() != ref(year(), 1); ...

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 Indicator 
Medium
Triple Period Indicator
by QuantShare, uploaded several months ago

This indicator checks a specific condition using different time frames. First of all, it will check if your condition is met in the daily period. After that it will verify the condition using weekly period then monthly period.

For example, if you type:

a = IsMet3("rsi(14) > 80"); ...

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 Indicator 
Advanced
Extensive Fundamental Data for U.S. Stocks
by QuantShare, uploaded several months ago

This item downloads extensive fundamental data. It gets quarterly fundamental data for all U.S. stocks and for the past 20 years.

More than 200 fundamental fields are downloaded, including income statement data, balance sheet data (assets, equity and liabilities) and cash flow statement data (from operating, investing, financing activities) and various...

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 Downloader 
Advanced
 Private 
Convert Seconds to Trading Bars
by QuantShare, uploaded several months ago

This simple indicator converts a number of seconds (Intraday) to the equivalent number of bars given the analyzed data.

For example, let us say you want to calculate the return of a stock in the last hour.
If you are working on a one-minute chart, you can type:

...

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 Indicator 
Basic
Number of Days to a Specific Date
by bug man, uploaded several months ago

This function calculates the number of days between today (current bar's date) and the specified date.

The date you should specify must follow this format: Month/Day

Example of use: ...

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 Indicator 
Medium
Support & Resistance Breakout Indicator
by Tom Huggens, uploaded several months ago

Here is how this technical analysis indicator works:
- Calculates support and resistance for each trading bar (support and resistance are calculated based on the period you provide and using the "AutoSR" function of QuantShare)
- Detects whether a security breaks its support or resistance
- Returns the percentage of increase (one bar)...

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 Indicator 
Advanced
Backtest different Segments in your Trading System
by QuantShare, uploaded several months ago

This function allows you to enter several criteria (segments) and an index. It then calculates the result of the segment referenced by the index.

Let us say that for example, you want to create two segments:
Overbought Stocks
Oversold Stocks
...

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 Indicator 
Medium
Advanced Quotes and Custom Databases Function
by QuantShare, uploaded several months ago

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
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
Number of Symbols in Watchlists
by QuantShare, uploaded several months ago

This table displays the number of symbols in the watchlists you specify.
It has two columns:
Watchlist: Specify the watchlist name here
Nb Symbols: Gets the number of symbols in the specified watchlist

...

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Basic
Auto Draw Gap Lines
by Jan Christensen, uploaded several months ago

This function automatically draws lines for non-closed gaps; - both gap down and gap up. It takes one parameter named "LookingBack" that indicates the numbers of bars to backward scan, e.g. 100 means that the function scans 100 bars backward from last bar. If the parameters is set to zero,...
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 Indicator 
Medium
Intraday Trading System with Daily Ranking
by QuantShare, uploaded several months ago

This trading system is an example of an intraday trading system that selectively trades different stocks/securities every day.

Here is how the strategy works:

- Stocks are ranked based on their daily return ...

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 Trading System 
Advanced
Breakout With Volume and liquidity
by Steeve Harvey, uploaded several months ago

This trading system is quite simple.

- The script is looking to see if today's close is the higher high in the last 50 days.
- When it is it compares the breakout and the lowest close of the 14 days trading channel are not more than 7% to limit...

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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 71 downloads Notes Report an item
 Trading System 
Medium
Staggered Trade Entry - Profit Entry
by QuantShare, uploaded several months ago

This staggered entry money management strategy lets you enter a certain number of shares when the buy rule is met and the rest of the shares when the position increases by a specific percentage.

For example, we can define the following strategy:

Enter long 60% of shares when the stock crosses its...

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 Money Manag. 
Advanced
Relative Performance/Return Chart - Compare Several Assets/Stocks - Update for automation
by Alexander Horn, uploaded several months ago


Update to 1005 to pull watchlist symbols and visible startdate of chart through global variables.

Use this or similar formula in your chart pane:

...

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 Indicator 
Medium
Relative Performance Chart - Dynamic assets and index
by Alexander Horn, uploaded several months ago

This function creates a chart with different plots usefull for asset allocation / rotation systems as an update to 1005 :

1. Pane: Relative performance of assets indexed dynamically to first visible date on chart, e.g. changes when scrolling chart
2. Pane: Trend indicator of different assets based on custom indicator and...

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 Indicator 
Medium
Multi TimeFrame RSI
by clonex, uploaded several months ago

Intraday RSI multitimeframe rules based based on intraday data.
There are 4 basic rules:

2 HOURS RSI >x

...

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 Rules 
Basic
Pullback to EMA 20 during Downtrend
by Kelvin, uploaded few weeks ago

Screens stocks using Ketlner's Channel and MACD histogram slope.
I screen for a NEGATIVE MACD Histogram slope below the 0 reference line to prevent being too late for the pullback.
Filters stock that either have it's close lower than the -2 ATR or has a price rejection candle with the low greater...

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 Screen 
Medium
Intraday Floor Pivots Mask
by clonex, uploaded several months ago

Floor Pivots for Intraday Trading

Based on:
http://www.quantshare.com/item-995-floor-traders-pivots&kbaseid=item-995-2755-1542

...

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 Rules 
Medium
MAE and MFE of a Trading System
by QuantShare, uploaded several months ago

Maximum Adverse Excursion (MAE) and Maximum Favorable Excursion (MFE) for individual trades are available under the "Trades" and "MAE/MFE" tabs of the trading system report.

The current money management script calculates the MAE and MFE for the whole trading system.

The calculation is based on the highest/lowest portfolio equity compared to...

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 Money Manag. 
Medium
Maximum Intraday System Drawdown
by QuantShare, uploaded several months ago

This is the Maximum Intraday System Drawdown money management script.


...

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 Money Manag. 
Medium
Cash/Equity Rebalance
by Felipe, uploaded several months ago

This money management script defines a "Ratio Cash" variable that is used to set the percentage of capital to invest in equities. The rest of the capital remains in cash.
If "Ratio Cash" is equal to 20 then 80% (100-20) will be invested into equities (at least available for buying/shorting securities).

The...

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 Money Manag. 
Advanced
Correlation Matrix - 41 Major ETFs
by Dave W., uploaded several months ago

Correlation matrix of 41 major ETFs. Correlations higher than 0.8 are shown in red, between 0.5 and 0.8 in yellow, and under 0.5 are in green.

Requires daily data for the following ETFs:
ACWI, DBA, DIA, DUST, DXD, EFA, EWA, EWG, EWH, EWJ, EWM, EWP, EWQ, EWS, EWT, EWU, EWW, EWY,...

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Medium
Identify Spilts Screener Script
by Dave W., uploaded several months ago

This screener script makes it relatively quick and painless to apply splits to securities.

The script uses the QuantShare custom Splits database to display
the splits that have occurred (or are expected to occur) over a user-defined number of bars.
Enter the number of bars to use to identify splits in the...

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 Screen 
Basic
Is New Bar
by QuantShare, uploaded several months ago

The function "IsNewBar" detects whether the current bar is a new bar or not (new tick in an existing bar).
If a new tick creates a new bar (Example: 1-min bar) then this functions returns 1, otherwise it returns 0.

The function should be applied with real time data.
...

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 Indicator 
Medium
Time Segmented Volume
by Brian Brown, uploaded several months ago

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
EODData Daily Import
by Dave W., uploaded several months ago

This downloader imports EODData.com (end of day only) formatted text files from your hard drive. EODData.com allows free end of day data downloads for a number of exchanges as long as you register (see: http://www.eoddata.com/download.aspx). If you pay for a premium membership, they also provide you with a proprietary downloader...
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 Downloader 
Medium
Short Term Trading System with RSI Ratios
by Brian Brown, uploaded several months ago

This trading system is based on the ratio of two short-term relative strength indicators.
The ratio is created by dividing the 7-bar RSI with the 2-bar RSI.
That ratio is then ranked for all stocks in NASDAQ 100 index and the top 5 stocks are bought at the open of the next...

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 Trading System 
Advanced
DIDI INDEX
by clonex, uploaded several months ago

DiDi Index is based on simple (arithmetic) moving averages. In order to calculate simple (arithmetic) moving average, we add the closing price of the currency pair for a number of time periods and then divide this sum by the number of time periods. Thus, short term moving averages respond instantly...
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 Indicator 
Basic
TSI - Trend Strength Index
by clonex, uploaded several months ago

The TSI is an intermediate-term absolute (versus relative ) measure of the tendency of a stock to trend or mean revert. The premise underlying the theory is that stocks with a high degree of momentum in relation to volatility are much less likely to mean-revert than those that have...
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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.