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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
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 
Adaptive Asset Allocation Butler V1.3 AMM
by Alexander Horn, uploaded several months ago

Inspired by Butler (2012) Adaptive Asset Allocation: A Primer (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...

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 Trading System 
Advanced
 Private 
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 
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
Permanent Portfolio Timing Active Rebalance V0.1
by Vangelis M., uploaded several months ago

This was inspired by an article on tweaking Harry Browne's Permanent Portfolio (I cannot find that article... )
This is v.01 so it's not 100% checked and verified.Please report any errors or mistakes.

The basic PP portfolio is equal weight in 4 assets:
25% Equity ...

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 Trading System 
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 
Adaptive BuyInd MR_Mom Strategy
by clonex, uploaded several months ago

Strategy uses 120 function to simulate simlple mean reversion strategy: RSI(3)55;

Annual return is nothing excellent 9,18% with 5% DD in last 14 years. Goal was...

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

This function computes the correlation of daily returns of a stock to the daily returns of a portfolio of stocks.

If we hold a portfolio of AAPL and IBM and we want to check the correlation of GE to our portfolio for the past 100 days, we would use:
corel=CorellationToPortfolio("GE","AAPL,IBM",100);...

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 Indicator 
Advanced
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
Sleep Well Bond Rotation Strategy V1.1
by Alexander Horn, uploaded several months ago

V1.1

- Change to daily timeframe
- Change correlation based cash protection to SPY/TLT
--------------------------------------------------------- ...

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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 
Sleep Well Bond Rotation Strategy V1.0
by Alexander Horn, uploaded several months ago

This trading system tries to reproduce the 'Sleep Well' Bond Rotation Strategy developed by Frank Grossmann (http://www.logical-invest.com/)

The strategy switches, on a monthly basis, between 5 different ETFs, either on a Top1 or Top2 approach:

. AGG - iShares Core Total US Bond (4-5yr) ...

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 Trading System 
Medium
 Private 
Global Market Rotation Strategy V1.1
by Alexander Horn, uploaded several months ago

V1.1:
- Added optimization items (heatmaps for parameter stability on google drive tbd)
- Risk free rate to 3%, comissions to $0.05 per trade
- extend backtest from Jan 03 to May 2014
- included synthetic synSSO and synEDV ticker (as per Marc Cohn to extend with MDY, TLT respectively), need to import from...

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 Trading System 
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 
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 
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 
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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Rate an item Rate an item Rate an item Rate an item Rate an item Write a review one review Number of downloads 8 downloads Notes Report an item
 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 
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...

No notes

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 Trading System 
Medium
 Private 
Metatrader Historical Data Downloader
by clonex, uploaded several months ago

This Downloader allows you to download historical data from MT4 database.

There are 3 critical installation steps:

1) You must have Demo/Real MT4 Account ...

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 Downloader 
Medium
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
Simple Moving Median Indicator
by QuantShare, uploaded several months ago

The SMM trading indicator is very similar to the SMA (Simple Moving Average) function, except that instead of returning the average (or mean) price it returns the median price.

A median is conceptually similar to a average except that an average is affected by outliers while a median is not. It...

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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
PercentRank HLC Function
by clonex, uploaded several months ago

PERCENTRANK of High, Low and Close values translated from Amibroker.

Amibroker Code:
function PercentRankHLC(Data1, Data2, Data3, Periods)
{ ...

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 Indicator 
Medium
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
Symbol Information on Chart
by QuantShare, uploaded several months ago

The "SymbolInformation" function displays symbol's information on a chart.
It displays the company or security title, the stock's industry, the stock's sector and the stock's exchange (NYSE, NASDAQ, AMEX...)

In order for this function to work properly, the full name, industry, sector and market fields of your stocks must be filled.
These fields...

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 Indicator 
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
Average Bid/Ask Spread
by QuantShare, uploaded several months ago

The "AvgBidAskSpread" is a parameterless function that calculates the average ask price for the current bar minus the average bid price for that same bar.

The indicator uses the newly introduced CSharp-based "cFunctions.GetBidAskData" function to capture last bid/ask updates and performing the necessary calculations.

You can plot this indicator to a chart...

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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
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
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
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
RefString
by QuantShare, uploaded several months ago

The following function references a previous element in a time-series/vector.
This function is similar to the "ref" built-in QuantShare function but allows you to use "string/text" variables instead of numeric variables.

Example 1:
date1 = refString(date(), 1);
...

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 Indicator 
Medium
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
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
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
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
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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.