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Megan Ratio - Maximum Exponential Growth Annualized
by bug man, uploaded several months ago

Megan ratio is a performance metric that can be used to assess and compare different trading system results. Megan ratio was introduced in an article in the Stock and Commodities magazine by Oscar G. Cagigas and it stands for maximum exponential growth annualized.

This money management script calculates the Megan ratio...

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 Money Manag. 
Advanced
Butler Adaptive Asset Allocation Model V1.0
by Alexander Horn, uploaded several months ago

AMM model for Butler Adaptive Asset Allocation paper:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2328254

"The paper addresses flaws in the traditional application of Modern Portfolio Theory related to Strategic Asset Allocation. Estimates of parameters for portfolio optimization based on long-term observed average values are shown to be inferior to alternative estimates based on observations over much shorter...

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 Trading System 
Medium
 Private 
Sector Surfer AMM Model
by Alexander Horn, uploaded several months ago

AMM model following the logic of Sector Surfer (www.sumgrowth.com)

Basically rotates each month into the Top1 (only one held), and uses autocorrelation market filter on SP500

- Uses special trend function SSEma / SSEma1 which is double smoothened EMA 1456 ...

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 Trading System 
Medium
 Private 
Flexible Asset Allocation Model V1.0
by Alexander Horn, uploaded several months ago

QS language model of 2012 Keller "Flexible asset allocation" paper:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2193735

The model ranks the following assets by momentum, correlation and volatility, rotates monthly, equal weight:
...

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 Trading System 
Medium
 Private 
Double / Triple Smoothened EMA with Flexible Alpha
by Alexander Horn, uploaded several months ago

Double / triple smoothened EMA with flexible alpha to be used in Sector Surfer, AAA and FAA paper models

1455
1454
1453...

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 Indicator 
Medium
 Private 
Global Market Rotation Strategy V1.0
by Alexander Horn, uploaded several months ago

This trading system tries to reproduce the Global Market Rotation Strategy (GMR) developed by Frank Grossmann (http://www.logical-invest.com/)
The strategy switches, on a monthly basis, between 6 different ETFs:
EEM (iShares MSCI Emerging Markets Indx (ETF))
EPP (iShares MSCI Pacific ex-Japan Idx (ETF))
IEV (iShares S+P Europe 350 Index (ETF)) ...

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 Trading System 
Medium
 Private 
Global Market Rotation Strategy V1.4
by Alexander Horn, uploaded several months ago

V1.4:
-Added 5 day smoother to ROC calculation to avoid date picking
-Cleaned up and simplified coding a bit
-Top2/3 approach does not add value, decreases performance drastically
-Changed everything to daily period, basically same performance as monthly period ...

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 Trading System 
Medium
 Private 
Avgerage Correlation
by Vangelis M., uploaded several months ago

This item has been updated on June 5 2014 to compute correlation of daily returns.

Example: a=AvgCorrelation("SPY,TLT,GLD",100) ;
b=AvgCorrelation("SPY,IWM.QQQ",100);
...

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 Indicator 
Medium
Unweighted Price Index
by Seeker, uploaded several months ago

With the 'composite' plugin in QS, we can easily create our own indices. The simplest construction gives a price-weighted index. One drawback of a price weighted index is that when a high priced stock ceases to be a member of the index, it results in a downward gap for that...
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 Composite 
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 
Stochastic Cross Test V1.0
by Alexander Horn, uploaded several months ago

Test of long/short market filter based on cross of two Stochastics running 2x long SP500 (SSO) / 2x short SP500 (SDS).

Initial performance (Cagr +40%, Sharpe >1) seems interesting in some market times, but needs additional filters for stability and reduce high drawdowns. I post here if somebody is interested...

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 Trading System 
Medium
 Private 
Lunar Phase Indicator - New and Full Moon Cycles
by The trader, uploaded several months ago

The Lunar phase indicator calculates lunar cycles and highlights occurrences of new moon and full moon phases on a chart.

A new moon happens when the moon/lunar phase indicator returns 1 and a full moon happens when the lunar phase indicator returns -1.

Example of usage:
...

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 Indicator 
Medium
RSI3 Box v001b 2014-02-14
by Dave W., uploaded several months ago

RSI3 Box is a long-only mean reversion system that trades large, liquid ETFs. This version has an average hold time of 2 days. I haven't explored the system in detail -- some optimization, but haven't tested a ton for robustness -- but I think it has promise and a ton...
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 Trading System 
Medium
 Private 
Structural Arbitrage Strategy
by luftbus320, uploaded several months ago

Structural Arbitrage

This strategy was implemented to verify some ideas of Harry Long I read on Seeking Alpha. It exploits different prices of long duration bonds and VIX ETFs, which can both be used as substitutions for equity hedging.

Here is the article on Seeking Alpha: http://seekingalpha.com/article/2276573-the-quant-strategy-that-returned-36-percent-ytd-with-etps#comments_header ...

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 Trading System 
Basic
 Private 
Short Indicator
by clonex, uploaded several months ago

The short indicator tells you whether to short the current security or not based on an indicator previous performance.

For each bar, this indicator will calculate the performance of another indicator for the past bars. It will simulate a short and cover after n-bars when the provided indicator gives a...

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 Indicator 
Medium
Tony Cooper Volatility Strategy #3 - VIX Contango - Tweaked v1.0
by Chaim6, uploaded several months ago

This trading system is based on Tony Cooper's volatility trading strategy #3, which is to simply buy XIV when the VIX futures are in contango and buy VXX when the VIX futures contracts are in backwardation.

It adds to Tony Cooper's startegy by adding a couple of buy and sell rules....

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 Trading System 
Basic
 Private 
Global Sector Rotation Strategy V1.0
by Alexander Horn, uploaded several months ago

This trading system reproduces the Global Sector Rotation (GSRS) Investment Strategy developed by Frank Grossmann
http://www.logical-invest.com
http://www.logical-invest.com/strategy/global-sector-rotation-low-volatility
http://www.logical-invest.com/strategy/global-sector-rotation-aggressive
...

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 Trading System 
Medium
 Private 
AccuTrack Indicator
by Steven Sommer, uploaded several months ago

AccuTrack Indicator: This is the QuantShare version of the AmiBroker script for the Investor's FastTrack AccuTrack indicator. Note this the AmiBroker version is not a perfect duplication of the actual Investor's FastTrack version which goes from -100 to +100. However, it is a very close approximation. This version uses a...
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 Indicator 
Medium
 Private 
Benchmark Expansion
by Alpha Trader, uploaded several months ago

This is an expansion and on the original which diplayed prices rather than returns. I did this 2 years ago and forgot to share.. :(

Added: Equity Cumulative, Benchmark Cumulative, and Equity OverUnder(Equity Cumulative - BM Cumulative)

----------Original--------- ...

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 Money Manag. 
Basic
StocRSI
by Steven Sommer, uploaded several months ago

The StocRSI indicator is a hybrid indicator that employs a 21 day fast stochastic indicator , 14 day RSI, adds half the value of each and takes a 13 day EMA of the summed value to arrive at the final calculation. It was developed and employed by Don Beasley who...
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 Indicator 
Medium
 Private 
Portfolio Statistics to CSV File
by Alexander Horn, uploaded several months ago

This is a quick script to pull some data from portfolios and write them into a common csv file for later analysis. This should be a workaround until portfolio stats are accesible from Scripts. Then we rather pull them there and do analysis within QS, Azouz will include this in...
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 Money Manag. 
Medium
 Private 
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
Next Split Ex-Date In Days
by Tom Huggens, uploaded several months ago

The "LastSplitInDays" function returns the number of days that remains for the next split ex-date for the analyzed stock.
It uses data downloaded using the following item: 1498

The function returns:
A positive value: If the next stock split is in the future. In that case it returns the number of days to...

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 Indicator 
Medium
 Private 
Announced Stock Splits
by Tom Huggens, uploaded several months ago

This downloader gets splits announcements for U.S. stocks. It creates a custom database (splitsannounced) with the following fields:
Date: Ex-date or the date that the stock price is scheduled to adjust on the exchange
Ratio: The split ratio. Example: 5-4 or 1-2
Payable: The date the stock split will be paid. Example: Sep02
Announced:...

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 Downloader 
Medium
 Private 
Russell3k Symbols
by Dave W., uploaded several months ago

Current list of Russell 3000 stocks including ticker, name (description), and exchange....
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 Symbols 
Basic
RandomValsMT
by Dave Walton, uploaded several months ago

This is a replacement for the RandomValues() function.

This function uses the MersenneTwister random number generator in lieu of the .NET system pseudo random number generator to generate random numbers that change every bar. There are many well documented problems with the native .NET implementation but the biggests is too many...

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 Indicator 
Medium
% 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 
Translation into Binary Buy/Sell
by swalk10, uploaded several months ago

Demonstrates basic function of translating into binary buy/sell
parameter 1 - Threshold for buy signal
parameter 2 - # of Days lookback

Michael + Scott Walker ...

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 Indicator 
Medium
 Private 
Indicator Switch
by swalk10, uploaded several months ago

Switch- indicators by using C# switchcase function
set in form of 1 = buy, 0 = sell or not buy

Can be customized to incorporate and # of indicators or sub-systems, and then called by a strategy & optimized.
...

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 Indicator 
Medium
 Private 
Formula & Symbol Switcher
by swalk10, uploaded several months ago

Demonstrates use of the Indicator Switcher function and the Symbol switch in the same strategy

Can be used to test via optimize any combination of indicators and symbols

Note: Download & Update the "SymbolIndex" function for folder location of your symbols list for this strategy in addition to normal update of symbols...

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 Trading System 
Medium
 Private 
Set Global Variable
by QuantShare, uploaded several months ago

This function allows you to store a variable value globally so that it can be referenced later by any QuantShare tool.

Since variables between a trading system and money management script cannot be shared (The former uses QS language and the latter uses CSharp/C#), you can for example store a trading...

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 Indicator 
Advanced
Insider Data History
by Tom Huggens, uploaded several months ago

The Insider Data History downloads several years' worth of insider data for U.S. stocks.
The following fields are downloaded and stored in a custom database called "insiderdata":

Date: The announcement date of the insider transaction
Insider: The name of the insider
...

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 Downloader 
Medium
Annual Return of a Security
by bug man, uploaded several months ago

The Annual Return function calculates the trailing annual return of a security. This means that for each bar, the function returns the annual return based on its previous data.
The calculation starts after the first 50 bars. This is because for first bars, annual return time-series would be very volatile.

To...

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 Indicator 
Basic
Coppock - VLT Momentum Indicator
by Mark Peterson, uploaded several months ago

A.K.A. Very Long Term (VLT) Momentum indicator (using monthly timeframes)

Named for Edwin Sedgewick Coppock - this indicator was developed as a way to find the upturns from major stock market bottoms.

He based his settings on how long it takes a person to grieve, and to get over the...

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 Indicator 
Basic
HV - Historical Volatility
by Mark Peterson, uploaded several months ago

This has been suggested and provided on the Quantshare forum but not uploaded as an indicator/ function (that I can find) Credit: Allan Nathan.

Default is for month (21) and annualized value.

Historical Volatility reflects the past price movements of the underlying. Historical volatility is also referred to as the asset's actual...

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 Indicator 
Basic
Congestion Index
by luftbus320, uploaded several months ago

This is an Implementation of the Congestion Index Indicator presented in the book "Intermarket Trading Strategies" by Markos Katsanos.

It can be used to identify trading ranges and the direction and normalized strength of an trend. Values above 30 indicate an uptrend and values below -30 can be considered as downtrend.
Markos...

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 Indicator 
Medium
 Private 
Reinvest Dividends in Your Trading System
by QuantShare, uploaded several months ago

This money management script loads dividend data and reinvests these dividends in your trading system using the "AddCash" function available in the "Functions" class of the "OnEndPeriod" event.

Dividend data can be collected using the following downloader:
93

...

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 Money Manag. 
Medium
Relative Strength TAA System
by luftbus320, uploaded several months ago

This System for Tactical Asset Allocation is inspired by a system of Markos Katsanos published in his book "Intermarket Trading Strategies".
Following aspects of Asset Selection from a wide array of ETFs and its Timing are considered:
-An ETF is selected when the ROC of the MA is positive
-The Regression Slope...

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 Trading System 
Medium
 Private 
EURUSD Daily Intermarket MA System
by luftbus320, uploaded several months ago

This daily Forex-System for the EURUSD is inspired by the book "Intermarket Trading Strategies" by Markos Katsaros.

It uses the 10 year US-Bond yields and the Commodity CRB-Index as an Intermarket-filter for the Moving Average Signals and Wilders pSAR as Stop-Loss.

...

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 Trading System 
Medium
 Private 
Invest Available Cash In a Security
by QuantShare, uploaded several months ago

If you have a trading system that is not fully invested 100% of the time and you want to invest that cash into a security like a bond fund or a money market fund then you can use this money management script to do that for you.

Steps:
- Download this money...

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 Money Manag. 
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.