Implements traditional fixed fraction position sizing (fixed percentage risk per trade). In this case, risk = (entry price - stop) * nbshares. If you have an account of $100,000, @ 1.5% risk, the first trade risk will be $1500. $1500 is not the same as margin used...
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Money Manag.
Medium
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Calculates the SQN100 (see work of Dr. Van Tharp) as if the per position "Output" is the trade result. This is different from the other rules analyszer metric named SQN in that the sample standard deviation calculation is used vs. the built-in Standard deviation. The result of...
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Rule Metrics
Basic
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This function is a system filter. It calculates the SQN of the market of choice. Whenever the SQN of that market drops below the input value of nSQN, the function returns false. It returns true when there have been 2 consecutive periods of increase in SQN. ...
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Indicator
Medium
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// RSI + SMA(200) + Hurst v001
// 2013-07-16
Inspired by Larry Connors' work on RSI(2). The system buys major ETFs on weakness [RSI(2) < 5] and sells when the recovery starts [RSI > 65]. The system is long only and trades when the price is above the 200 day moving average....
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Trading System
Medium
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This MM scrip adds many system statistics and per trade metrics to help compare trading systems. Most of the calculations are done in terms of R (defiend as initial risk).
Trade Statistics:
Total R - P/L in terms of R
Expectancy (R)
...
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Money Manag.
Advanced
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This trading system implements the ConnorsRSI pullback system as described in the ConnorsRSI Pullbacks Guidebook.
A description of ConnorsRSI and the system description are available here:
http://info.tradingmarkets.com/ConnorsRSI_ConnorsRSI.html
...
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Trading System
Medium
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This script adds two columns, entry price and exit price, in the "Trade -> Realized trades" table of the simulation report. Entry price refers to the execution price of the buy or short order and the exit price refers to the execution price of the sell or cover order. For...
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Money Manag.
Advanced
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This ranking system based on RSI(3). The value of RSI(3) is subtracted from 100 so that lower RSI(3) values are given a higher ranking.
Larry Connors' has published some good, quantitative work showing short-term RSI() values (e.g., RSI 2, 3, 4) are good predictors of a stocks performance over the following...
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Ranking System
Basic
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When you are evaluating stock trading systems, it is helpful to see how your system performed each year in comparison to major stock indexes. So, if my trading system had a 10% return in 2006, it would be good to know if that return represents over or under performance compared...
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Medium
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Returns True on the 1st trading day of the month....
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Indicator
Basic
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Do you want to know how an asset performed in the past following a specific pattern or event?
Now, you can with the new trading indicator (PatternPerf) I am presenting here. It is the perfect indicator for creating adaptive strategy. Why? Because on each trading bar, this indicator tells you how...
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Indicator
Medium
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The portfolio versus stock return item is a money management script you can include in any trading system.
Here is how it works:
For each incoming new position, it calculates the N-bar return of that stock and compares it with the N-bar return of the portfolio (equity).
The new position is taken only...
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Money Manag.
Advanced
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By measuring and averaging intercorrelation between different assets, you can create a market sentiment indicator and add it in your trading arsenal.
The sentiment indicator you are about to download calculates the average intercorrelation between two or more securities. In mathematical terms, it takes a security, calculates the 10-bar correlation with...
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Indicator
Advanced
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Dr. Van Tharp's System Quality Number (SQN) metric.
SQN measures the relationship between the mean (expectancy) and the standard deviation of the R-multiple distribution generated by a trading system. It also makes an adjustment for the number of trades involved. Dr. Tharp has determined that the better the SQN, the easier...
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Rule Metrics
Medium
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The next chart display different treasury yield curves for different maturities:
...
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Indicator
Advanced
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Interest Data downloaded by this item is available in the Federal Reserve website. Use the following link to get this data in a text file or use this download item to get the data automatically added into your QuantShare database.
The following market yields on U.S. treasury securities (bill,...
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Downloader
Advanced
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This list of trading rules contains seven rules based on price channel indicators (Bollinger Bands, Donchian Channels, Keltner Channel, Volatility Channels, Standard Error Bands, Adaptive Price Channel and Moving Average Envelopes).
Each rule contains five variations where each variation uses a different lookback period. In price channels, the lookback period is...
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Rules
Medium
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The S&P 500 volatility ratio indicator compares the volatility of a stock with the volatility of the S&P 500 index. The ratio is calculated by taking the N-bar volatility of the analyzed stock and dividing it by the N-bar volatility of the S&P 500 index.
Here, the standard deviation is...
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Indicator
Advanced
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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
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Margin could be defined as the percentage of initial capital that you can invest. A default margin factor of 1 indicates that you can invest 100% of your capital. A margin factor of 1.5 indicates that you can invest 150% of your initial capital. In this case, 50% of the...
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Money Manag.
Medium
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The best performing versus worst performing stocks is a composite I have created while trying to find whether the number of stocks with very high increase is higher or not that the number of stocks with very high decrease.
This market indicator calculates the number of stocks whose daily return was...
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Composite
Basic
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The "GetWeekNumber" function returns the week's number for each month. The value will vary from 1 to 5, where "1" indicates the first week of the month and "4 or 5" the last week of the month (depends on the number of days in the month).
This function can be used...
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Indicator
Medium
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The standard error of the estimate is a measure that tells us how close our values are from the regression line. In other words, it measures the accuracy of predictions. The lower the standard error of the estimate the better the predictions are.
When applied to the close series, we can...
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Indicator
Advanced
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This is a small list of trading rules that uses trend indicators to detect trending securities (bullish). The list contains several rules that use the following indicators: Moving average, Directional movement index, Average directional index (ADX), Aroon indicator and Percentage price oscillator (PPO).
Example:
cross(close, sma(25))
Interpretation: Generates a signal when the...
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Rules
Medium
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It was created by Hans Hannula and presented in 1994 in one edition of the Technical Analysis of Stocks & Commodities magazine. It primarily goal is to determine price efficiency over a specific period of time and to tell us whether a security is trending or not. The indicator values...
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Indicator
Medium
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This item downloads historical tick data for all U.S. equities and for the last 20 trading days.
If you are not using the Auto-Manage feature of QuantShare, you must first update your symbols list:
- Select "Symbol -> Auto-Manage Symbols"
- Check "New York Stock Exchange", "American...
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Downloader
Medium
Private
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This indicator returns the percent of time a security spent trading above a certain moving average. You just have to specify the lookback period and the moving average period and the indicator will calculate the number of bars where the security traded above its N-bar moving average and divide that...
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Indicator
Medium
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This Reverse Engineer RSI (RSI PREDICTOR) helps you to know what stock price must be reached in order to trigger a particular RSI value. For example, if I want to buy a stock or ETF on the close today if the RSI(2) is below 50. How do I know...
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Indicator
Medium
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The built-in "random" QuantShare function returns a random value given a min and max interval. The random number is the same for all bars. It will be no lower than "min" and no higher than "max".
The current "RandomValues" function is almost the same but instead of assigning the same...
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Indicator
Medium
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This is an index published monthly by the Federal Reserve Bank of Philadelphia and is used to predict future movements of the economy.
This composite is based on several economic indicators. They are all leading indicators which mean that their changes are likely to precede changes in the economy. These economic...
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Downloader
Medium
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What is the ConnorsRSI?
It consists of three components:
a. Short term Relative Strength, i.e., RSI(3).
b. Counting consecutive up and down days (streaks) and "normalizing" the data using RSI(streak,2). The result is a bounded, 0-100 indicator. ...
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Indicator
Medium
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The "AutoSR" function is a very useful trading indicator that automatically calculates support and resistance lines for any security. It can be used to calculate the last support or resistance lines (Detect chart patterns using the auto support/resistance indicator) or it can be used to calculate the support and...
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Indicator
Advanced
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This composite is based on "DetectSplits" function, which is a function I have shared few days ago and whose role is to detect potential splits on historical data (Should be mainly used if your data is not split-adjusted).
The composite or market indicator calculates for each stock in your database, the...
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Composite
Advanced
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Here is a nice function that displays potential stock splits on a chart.
By simply adding the "DetectSplits" function to your chart, you will be able to quickly see whether the stock data has potential non-adjusted splits or not.
The function can detect many types of splits and reverse splits, including 3:1,...
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Indicator
Medium
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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
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The flat market indicator is a technical analysis indicator that can help you identify possible congestions in your asset's prices.
Congestion is a situation where no significant change in asset's price happens. It also sometimes indicates areas where heavy trading volume occurred in the past. Congestion periods are sometimes followed by...
No notes
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Indicator
Medium
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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
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Here is a download item that will allow you to retrieve daily historical continuous contract data for CME Eurodollar futures. It gets non-adjusted price based on spot-month continuous contract calculations.
Eurodollar futures are interest-rate derivatives based on the LIBRO. These 3-Month Eurodollar futures are traded on the CME or Chicago Mercantile...
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Downloader
Advanced
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This downloader gets one-minute intraday data for several futures contracts. It get continuous data for the past three trading days.
It downloads intraday data for the following 58 futures:
Australian Dollar (AD)
Soybean oil (BO) ...
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Downloader
Medium
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This list of symbols contains stocks listed on U.S. OTC Markets (Over-the-counter). Trading in OTC markets is done directly between two traders/investors without any kind of supervision from the exchange. The trading is done electronically.
It contains more than 18000 stocks from different security types (Common Stock, Ordinary Shares, Fund, American...
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Symbols
Medium
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