The Sharpe Ratio is the first measure I look at when analyzing and assessing a backtest results. It is a simple and quick way to measure the performance of a trading strategy.
While this ratio is often used to measure the excess return per unit of risk of an investment or...
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Trading System
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Using a single (although not basic) trading rule, the current trading strategy gained more than 27% per year for the last 10 years. The strategy consists of buying falling stocks or the top five stocks with the highest decrease in price compared to the last five trading days moving average.
The...
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Trading System
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The DFM or Dubai Financial Market is a stock exchange based in Dubai and located in the Trade Center Building. The market capitalization of companies listed on the DFM is about the same as the market capitalization of companies that trade in the Abu Dhabi Securities Market (2007).
The current item...
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Downloader
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The expected US Market volatility for the next 30 days is measured by the VIX or the Chicago Board Options Exchange Market Volatility Index.
The VIX measures the implied volatility of the S&P 500 index options. It is a very popular index introduced by Robert Whaley in 1993. The index...
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Money Manag.
Medium
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In order to reduce the average cost per share for a security, traders sometimes apply a technique called Averaging Down (scale trading).
The strategy consists of buying additional shares of a stock at lower prices than the first entry price. For example, a trader buys 1000 shares of Google at...
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Money Manag.
Medium
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The Keltner Channel Breakout is a trading strategy that creates short signals when the close price breaks above the high band/line of the Keltner channel.
This trading system is short only. It enters short orders when the close price of a security crosses above the high band of the 40-Bar...
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Trading System
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The daily price index is a measure of the inflation of a specific country and it is created by the Billion Prices Project.
The Billion Prices Project is an academic initiative that gathers prices from several online retailers on a daily basis and then uses this data to perform...
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Downloader
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The USD/INR or USDINR is the symbol of the United States Dollar/Indian rupee currency pair. The INR or Indian rupee is the official currency of India and it is issued by the Reserve Bank of India.
This downloader gets historical EOD data of the USD/INR (USDINR) for the last 12 years.
If...
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Downloader
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The Consolidation Breakout technical indicator identifies breakout in a congestion pattern. It does so by checking several conditions and then returning a value of one if a bullish congestion breakout is detected and a value of minus one if a bearish congestion breakout is detected. In case there is no...
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Indicator
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This item gets daily FII derivatives statistics from the National Stock Exchange website. You can run it daily to get the number of contracts and the amount in Crores in buy and sell positions as well as open interest at the end of the day for index futures, index options,...
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Downloader
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The DSE or Dhaka Stock Exchange is a stock exchange in Bangladesh. It is the main stock exchange and is located in Dhaka city.
The main market indices of the DSE are the DSI Index and the General Index.
The trading item gets historical EOD for stocks listed on the Dhaka Stock...
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Downloader
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This item downloads daily volatility data for several currency pairs including the majors and popular crosses.
The volatility in measured in pips and it corresponds to the daily movement of a $100.000 Forex pair contract. It is calculated by taking the average of the high and low prices of the...
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Downloader
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The Derivative Moving Average was published in an article in the "Technical Analysis of Stocks and Commodities" magazine, in June 1996. The article was written by Adam White and was entitled "The Derivative Moving Average". It describes a trading strategy that uses a simple moving average for long signals and...
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Trading System
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In the 1980s, John Bollinger created a technical analysis indicator called the Bollinger Bands. It consists of three bands: the middle band, the upper band and the lower band.
The middle band is an N-Period SMA (Simple moving average). The lower band is the middle band minus X times an N-period...
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Composite
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Unlike most EOD data downloaders for the U.S. Market, which get data by ticker symbol, this trading object gets historical data by date. It downloads end of day data for all U.S. Stocks (More than 7000 stocks from the New York Stock Exchange, American Stock Exchange and NASDAQ) and for...
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Downloader
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This download item gets one-minute intraday data for S&P CNX Nifty Index Futures. The data is available for the last five trading days.
The S&P CNX Nifty Index Futures is a futures on Index instrument where the underlying security is the S&P CNX Nifty. Historical data for the underlying index can...
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Downloader
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Standard deviation is a well-known measure of volatility of an investment or an asset. The volatility measures the dispersion of a set of data from its mean, it does not tell us about the direction of the market or the asset.
The volatility of a stock is calculated by taking...
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Composite
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S&P 500 index constituents as of 1/21/2011 .
The list can be used for creating watchlists, calculating composites etc.
In this list the Name3 field contains "S&P 500" .
Index constituents do change from time to time, and if one wants to keep the list accurate it should be updated with index changes....
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Symbols
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Using historical data for the Long to Short position ratios, this composite item creates an index that calculates the average of the ratio of long positions to short positions of the Majors (Pairs of currencies that involve the U.S. Dollar).
The index is based on data downloaded by the following item:...
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Composite
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The percentage of index stocks trading above a specific moving average (PAMA) is a breadth indicator that measures internal strength or weakness in the underlying index. The indicator is used on various time frames - e.g. the 10 or 20 day moving average for short time frame, The 50-day...
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Composite
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Nasdaq 100 Constituents as of 1/20/2011...
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Symbols
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The long to short position ratio is a measure that tells us whether Forex trader are bullish or bearish a particular currency pair. It is the ratio of the number of long positions to the number of short positions for a given currency pair.
Some brokers release the long vs. short...
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Downloader
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VIX is the ticker symbol for the Chicago Board Options Exchange Market Volatility Index, a popular measure of the implied volatility of S&P 500 index options. Often referred to as the fear index or the fear gauge, it represents one measure of the market's expectation of stock market volatility...
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Trading System
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Few weeks ago, I have uploaded two trading items that download data from Google trends to create sentiment indicators.
The 726 is constructed by adding Google trends volume of four pessimistic and popular traders (Roubini, Nassim Taleb, Peter Schiff and Marc Faber). The 724 represents Google trends volume of Nouriel...
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Downloader
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Known as the MSM, the Muscat Securities Market is located in Muscat and is the main exchange in Oman. It was established on 21 June 1988 by a Royal Decree.
The stock exchange lists more than 120 companies from different sectors (The major sectors are Banks and investment, Industry and Services).
This...
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Downloader
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The Auto Support Line draws a support line that starts from the low price of the first bar location to the lowest price value of bars that are comprised between the start and end locations of the support line.
A support line is a line that is drawn below prices; it...
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Drawing Tool
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This is not another indicator , just see the picture to know the power of this study
http://www.freeimagehosting.net/uploads/1e120823dd.jpg
Formula Name:VMACD
Formula Full Name:Volumn Moving Average Convergence Divergence
...
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Watch List
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This indicator gets a time-series, a day, a month and a year and returns the value of this time-series at the specific date (Date calculated from the provided day, month and year). The indicator name is "ValueOn" and it uses the "ValueWhen" function to return that value.
To specify an unknown...
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Indicator
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NYSE Up/Down Volume Ratio is often used as a barometer for stocks trading on all U.S. Exchanges even though it is calculated based on stocks listed on the New York Stock Exchange. NYSE Up/Down ratio represents the volume of NYSE stocks that are advancing divided by the volume of...
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Downloader
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The Hughes Breadth Index is also known as the The Hughes Breadth-Momentum Oscillator.
It measures the ratio between the difference of advancing and declining issues in an exchange, to the total number of issues. The theory behind the index is that increases in stock prices are preceded by strengthening internals...
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Composite
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Percent Rank Indicator measures the percentage of bars whose values are below the current bar value in the past N-bars. A value of 100% indicates that the current value is the highest for the given lookback period, while a value of 0% indicates that the current value is the lowest...
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Composite
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Kaufman's Efficiency Ratio (Fractal Efficiency)
The Efficiency Ratio (ER) was initially described by Perry Kaufman in his book Smarter Trading. This same indicator also became known as Fractal Efficiency.
This ratio measure the efficiency of a trend by dividing the net price movement over a certain time period by the...
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Indicator
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The Regularized Exponential Moving Average or Regularized EMA is a trading indicator introduced by Chris Satchwell in July 2003 version of Stock & Commodities magazine.
This technical analysis indicator was designed to be smoother and with less lag that the traditional exponential moving average. The indicator gets the EMA period and...
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Indicator
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Fidelity Select Funds
Sector funds typically invest in companies in a particular industry or market sector. Fidelity offers a suite of 40 Select Portfolios, the industry's largest lineup of actively managed sector and sub-sector funds. These funds are used by investors and traders to invest in a specific sector, or implement...
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Symbols
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This trading screen uses three fundamental valuation ratios to create a ranking system using the composite function.
The screen consists of calculating the percentile rank of the inverse of each valuation ratio (Based on all U.S. stocks) and then returning the percentile rank of the following measure (0.4 * Percentile Rank...
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Screen
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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
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The FAO or the Food and agriculture organization of the United Nations is an agency that works toward defeating hunger.
The FAO releases a report called the Monthly Food Price Index. The monthly report contains the following indices: Food Price Index, Meat Index, Dairy Index, Cereals Index, Oils & Fats Index...
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Downloader
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An exchange-traded fund (ETF) is a financial instrument traded on a stock exchange, much like stocks. An ETF holds assets such as stocks, futures, or bonds and trades at approximately the same price as the net asset value of its underlying assets over the course of the trading day....
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Symbols
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The Price/Earnings to Growth ratio, also known as the PEG ratio, is a measure of valuation of a company. The PEG ratio was made popular by Peter Lynch and it provides an easy to way to find whether a company is fairly valued, overvalued or undervalued. A stock with a...
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Screen
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The True Strength Index (TSI) is a momentum indicator developed by William
Blau, published in "Momentum, Direction and Divergence" (Wiley 1995). It is designed to determine both the trend and overbought-oversold conditions. The TSI is applicable to intraday time frames as well as longer-term horizons.
The TSI uses a one...
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Indicator
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