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Hong Kong ETFs or exchange-traded funds are open-ended and passively managed funds that are traded on the securities market of the HKEx (Hong Kong Exchanges and Clearing Limited).
ETFs are assets created to track the performance of an index, commodity or a basket of other assets. The advantages of trading ETFs...
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Symbols
Medium

This is a long only trading system that uses two Bollinger bands indicators with different look back periods.
Bollinger Bands is a technical analysis tool created by John Bollinger and it consists of two lines (upper and lower lines) that form an envelope around the price series or any other time...
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Trading System
Medium

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

The supertrend indicator as known from different publications.
Variables: Period and Factor...
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Indicator
Medium

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

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

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

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

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

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

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

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

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

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

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 RČ is mainly used to analyze how well...
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Indicator
Medium

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

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

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

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

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

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

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

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

To determine the volatility of a financial time-series, such as stock close prices, the Chaikin Volatility trading indicator measures the range between high and low values. Unlike the ATR or Average True Range, this indicator does not consider gaps. Gaps are accounted by ATR because its formula calculates volatility based...
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Indicator
Medium

The "RandomMonths" function picks months depending on a percentage value passed to this function. If you specify 100% then the function returns TRUE for all months, if you specify 50% then the function returns TRUE for half of the months and if you specify 0% then the function returns FALSE...
No notes

Indicator
Medium

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