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Index of dispersion - Variance-to-Mean Ratio - VMR
by The trader, uploaded several months ago

As with the coefficient of variation, the index of dispersion is a ratio that is used to measure the dispersion of a probability distribution. It tells us whether prices or technical indicator values are dispersed or clustered compared to a standard statistical model.

Index of dispersion, also called dispersion index or...

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 Indicator 
Medium
Trading System based on the Previous Week SPY Return
by Patrick Fonce, uploaded several months ago

This strategy enters a position in the S&P 500 Index (SPY or ^GSPC) when previous week return is negative (Return is calculated based on Monday open price and Friday close price), the trade is closed at the end of the week on Friday. No stop rules are defined.

The trading system...

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 Trading System 
Medium
Traders Dynamic Index - TDI Indicator
by Caleb, uploaded several months ago

The Traders Dynamic Index uses trend direction, momentum and market volatility to determine market conditions. This indicator uses relative strength index, simple moving average, double exponential moving average and standard deviation to generate five time-series.

The function displays those time-series and returns the TDI or traders dynamic index.
The parameters of...

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 Indicator 
Medium
NORMINV - Inverse of the Normal Cumulative Distribution
by QuantShare, uploaded several months ago

NORMINV function is the inverse of the normal cumulative distribution for a specified standard deviation and mean. The normal probability density and the cumulative normal distribution can be calculated using the following function: 1041.

This function finds the z value given the probability that a value or variable is within a...

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 Indicator 
Medium
Excess Kurtosis of a Distribution
by QuantShare, uploaded several months ago

In statistics, kurtosis measures the relative peakedness of a probability distribution compared with the normal distribution. This is why we also call it "excess kurtosis".

The higher the kurtosis value is, the sharper the distribution peak and the longer & fatter the tails are.
The lower the kurtosis value is, the rounder...

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 Indicator 
Medium
Withdraw a Fixed Amount Every Month - Money Management
by The trader, uploaded several months ago

Using this money management script, you can simulate the effect of withdrawing a fixed amount of money, every month, from your portfolio.

The script allows you to enter the fixed amount to withdraw and to determine whether to withdraw money on each month or only on months that show positive returns...

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 Money Manag. 
Medium
Wilder's Smoothing - Moving Average
by QuantShare, uploaded several months ago

The Wilder's Smoothing is a technical analysis indicator created by J. Welles Wilder, Jr. and is part of the Wilder's RSI indicator implementation. Like any other moving average, this indicator smoothes price movements to help you identify and spot bullish and bearish trends.

The Wilder's smoothing formula is very similar to...

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 Indicator 
Medium
Opening Range Breakout Indicator
by QuantShare, uploaded several months ago

The opening range breakout is a trading indicator that returns true when a stock, an ETF or any other asset breaks the high or low of the first hours or minutes of a trading session (opening range).

You define a number of minutes and the indicator plots the high and low...

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 Indicator 
Medium
Trading the Equity Curve
by QuantShare, uploaded several months ago

While backtesting a portfolio or trading system, trading signals and position sizing rules are defined at startup and cannot be changed or updated dynamically during the backtesting process. The money management tool allows you to create scripts for different events that are executed during the backtesting and therefore it allows...
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 Money Manag. 
Medium
Average Stock Standard Deviation by Industry
by QuantShare, uploaded several months ago

Standard deviation is often used as a measure to estimate future moves of an asset such as a stock (volatility). Although, price changes do not have a normal distribution, some technical analysts assume that it is the case and use this assumption to predict future price move. If the price...
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 Pivot Table 
Medium
ATR - Average True Range Drawing Tool
by Juliettpapa, uploaded several months ago

Sometimes one wants to review/evaluate a certain stop loss by assessing its distances from the last bar in ATR multiples (Average true range). That is what this drawing tool was created for.
When using it, it draws lines for each ATR multiple. So one can see, how much is the distance...

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 Drawing Tool 
Medium
Swing Point Function (SP)
by SystemTrade, uploaded several months ago

If - while swing-trading - you want to buy e.g. when a higher swing high occurs after a higher swing low then you could set up your trading system as follows:
buy = sp(10, -1) > 0 && sp(10, 0) > sp(10, 2) && sp(10,1) > sp(10,3);

What does it mean?

...

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 Indicator 
Medium
Highlight Area on Chart
by Patrick Fonce, uploaded several months ago

This object allows you to highlight an area in your trading chart. After you download it and add it to the bookmark panel, double click on "HighlightArea" button and click twice on a chart. Before the first click, select the beginning of the area of the chart you would like...
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 Drawing Tool 
Medium
US delisted symbols
by QuantShare, uploaded several months ago

List of all inactive stocks, those who were delisted from US exchanges.
This list includes stocks that gone bankrupt or were delisted for any other reason.
4777 symbols are listed.

This list can be very useful to build a database that doesn't contain a survivorship bias. ...

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 Symbols 
Medium
U.S. Stock Market
by QuantShare, uploaded several months ago

This U.S. Stock Market item contains a list of symbols of U.S stocks. These US companies are listed in the New York Stock Exchange, American Stock Exchange, NASDAQ, OTCBB (Over the Counter Bulletin Board) and the Pink Sheets.
Symbol names of companies that trade in the OTCBB end with '.OB', while...

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 Symbols 
Medium
Self-Adjusting RSI Indicator
by Caleb, uploaded several months ago

The Self-Adjusting RSI indicator was developed by David Sepiashvili. It describes two techniques to adjust the oversold and overbought levels of the relative strength index indicator. It will create dynamic overbought/oversold zones that aim to improve your strategies performance by reducing false signals that may be generated when using the...
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 Indicator 
Basic
Connors Alvarez MDD MDU Strategy
by Vangelis M., uploaded several months ago

This Simulator strategy is based on a system described by Larry Connors and Cezar Alvarez in their book "High Probability ETF Trading: 7 Professional Strategies To Improve Your ETF Trading ". The strategy's name is "Multiple Days Up/Multiple Days Down" or MDU/MDD.

This strategy was originally run on these ETFs:
DIA,EEM,EFA,EWH,EWJ,EWT,EWZ,FXI,GLD,ILF,IWM,IYR,QQQQ,SPY,XHB,XLB,XLE,XLF,XLI,XLV
...

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 Trading System 
Medium
Fast Fourier Transform - Plots the Amplitude of the different Bins
by QuantShare, uploaded several months ago

Here is an example of how to use fast Fourier transform in QuantShare.
This function calculates the amplitude of the different FFT bins and plots each one on a chart using each time a different color.

How it works:
- The function "FFtAmpPlot" gets a time series (For example, the close time series)...

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 Indicator 
Advanced
Price Pattern Drawing Tool
by QuantShare, uploaded several months ago

The price pattern drawing tool allows you to select a price range to create a drawing item from prices in that range.
Once created, you can move this drawing item like any other item.

This price pattern drawing tool can useful in several ways:
- You can for example compare recent price movements...

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 Drawing Tool 
Advanced
Equity Export To Excel
by QuantShare, uploaded several months ago

When added to a trading system, the following money management automatically opens an excel document and exports the equity data when the simulation/backtesting ends.

Before using it, open the money management script using "Tools -> Advanced Money Management Script -> Load".
Select "Global" event, click on "Menu" at the bottom then select...

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 Money Manag. 
Medium
Minimum Variance Optimization with Solver V1.1- AMM
by Alexander Horn, uploaded several months ago

Mean-variance optimization (the implementation of Markowitz's modern portfolio theory) basically allows one to find the optimal weights of assets in a portfolio that maximizes expected return given a level of risk/variance, or equivalently, minimize risk/variance given a level of expected return. The biggest ingredient in mean-variance optimization is the covariance...
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 Trading System 
Medium
 Private 
Fibonacci retracement: Golden ratio
by bug man, uploaded several months ago

This function calculates the Fibonacci retracement 61.8% level, also referred to as 'the golden mean' or 'the golden ratio'. It uses simple vector-based functions to do this. The function accepts one parameter which is the lookback period to use to define the highest and lowest close prices.
Fibonacci retracement is a...

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 Indicator 
Medium
Absolute Breadth Index
by The trader, uploaded several months ago

The absolute breadth index, or ABI, is a market breadth indicator; it uses the number of advancing and declining stocks to measure the amount of volatility on US exchanges. This indicator does not take into account the price direction because it calculates the absolute value of the difference between the...
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 Composite 
Medium
NSE Nifty - S&P CNX Nifty
by QuantShare, uploaded several months ago

The NSE Nifty, S&P CNX Nifty or Nifty 50, is the main index of the National Stock Exchange of India. It contains the 50 largest companies that are listed on the NSE. These companies account for 22 sectors of the Indian economy.

This item downloads the S&P CNX Nifty Index, as...

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 Downloader 
Medium
Historical Stock Market Data
by QuantShare, uploaded several months ago

Yahoo finance provides historical EOD data for several markets including US exchanges (NYSE, NASDAQ, OTCBB, Pink Sheets), EURONEXT exchanges, Sao Paulo Stock Exchange, National Stock Exchange, Bombay Stock Exchange... Traders may use this item to retrieve EOD data for all stocks listed on one of the exchanges that are supported...
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 Downloader 
Medium
Fisher Transform - Technical Indicator
by bug man, uploaded several months ago

In the November 2002 issue of the Stocks and Commodities magazine, John Ehlers wrote an article "Using the Fisher Transform" and introduced a technical analysis indicator called the Fisher Transform or Fish.
Fisher Transform indicator is used to identify price reversals and is based on the assumption that prices behave like...

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 Indicator 
Medium
Consecutive Up and Down Bars - Works With Any Trading Indicator
by Caleb, uploaded several months ago

Consecutive Up or Down Bars is a technical analysis indicator that detects up or down vector values and calculates the number of consecutive bars a specific vector closed above its previous value and the number of consecutive bars this vector closed below its previous value. The number of consecutive up...
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 Indicator 
Medium
Weekly ETF Switch V 1.0
by saratur, uploaded several months ago

ETF Switching Strategy (Weekly)

This is a momentum based ETF switching strategy. You can use it as a starting point for developing your own system.
The concept of momentum based sector rotation or switch between asset classes has been around for a long time. Typically such a...

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 Trading System 
Medium
Historical EOD data Downloader for Delisted/Bankrupt Stocks
by Caleb, uploaded several months ago

Here is how to download historical EOD data for delisted or bankrupt stocks.

- Download this item
- Open it and start downloading
- The item will start downloading and adding EOD data to your database ...

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 Downloader 
Advanced
Commitments of Traders
by QuantShare, uploaded several months ago

This item downloads commitments of traders (COT) futures only reports from the U.S. Commodity Futures Trading Commission website (cftc.gov). Unlike the 348 item, which downloads the new report, this item gets the legacy report which is still being published by the CFTC.

The legacy report has three main categories: Commercials traders,...

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 Downloader 
Medium
Trendline
by QuantShare, uploaded several months ago

Here is the second custom drawing tool. The first one can be downloaded here 449, it displays the selected security's price above the mouse cursor.

The current object draws a trendline. A trendline is composed of two or more points; it is often used in trading as a support or resistance...

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 Drawing Tool 
Medium
MSR Support-Resistance Trading Indicator
by Caleb, uploaded several months ago

The MSR is a support and resistance indicator developed by David Varadi and introduced in his website cssanalytics.wordpress.com.
This technical indicator tries to measure the support and resistance levels by calculating the middle price over a short/intermediate time frame. Data is normalized using the Percent rank indicator, which can be downloaded...

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 Indicator 
Medium
EOD NSE stock quotes data
by The trader, uploaded several months ago

------------------------------------------------------------------------
------------------------------------------------------------------------
This item no longer works.

You can use the following downloader instead: 463 ...

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 Downloader 
Medium
Filter high and low spikes
by QuantShare, uploaded several months ago

This item doesn't contain any downloader, but it contains a script, in the Post-Script, that filters quotes from bad high and low prices. The filtering method consists of guessing which bars had bad intraday ticks that result in big spikes in an historical chart. (The candlestick bar has long shadows)....
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 Downloader 
Medium
Super Stock Screener Ranking System
by Brian Brown, uploaded several months ago

The SuperStockScreener.com website has created a ranking system that gives a score of one to five to stocks listed on U.S. exchanges, including the NYSE and NASDAQ.

The ranking system assigns a value of one to stocks that are likely to beat the market with less volatility (Strong buy recommendation). A...

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 Downloader 
Medium
Fundamental Valuation Ratios for US Stocks
by Patrick Fonce, uploaded several months ago

The current fundamental data downloader gets several valuation metrics or ratios for stocks listed on US exchanges from the finviz website. Valuations ratios are measures of how expensive or cheap a stock or company is; they are used by analysts, traders and investors to assess the attractiveness of the company.

The...

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 Downloader 
Medium
Austria Stock Market Symbols
by QuantShare, uploaded several months ago

The list of symbols in the "Bourse de Vienne".
This list contains 98 symbols. Stock description is also included.
The fiscal year ends in the month specified in the Expiration Date field.
Name1 contains the yahoo compatible symbol....

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 Symbols 
Medium
ETF Symbols
by QuantShare, uploaded several months ago

An exchange-traded fund or ETF is a financial instrument that trades like a stock. An ETF represents a basket of assets like stocks, future, currencies...
This item contains the list of ETFs listed on the US stock exchanges.
The list contains 1383 symbols and contains the full name of the exchange-traded...

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 Symbols 
Medium
Quotemedia Historical Quotes
by QuantShare, uploaded several months ago

Download end of day historical quotes for US Stocks from Quotemedia.
Downloaded quotes are automatically adjusted for splits and dividends.
Just select the start and end date then hit download, you can also let the downloader detect the last available quote data for each symbol and download the last quotes....

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 Downloader 
Medium
French Euronext Symbols - Liste des entreprises francaise coté ŕ l'Euronext
by QuantShare, uploaded several months ago

The list contains stocks that are traded in Paris Stock Exchange.
Besides the symbols, are included in this list: industries, stocks' full name and some other details.
This list contains 765 symbols....

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 Symbols 
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.