Pivot System price levels act as potential support and resistance zones throughout the day. They serve as focal points for floor professionals as they adjust their bids and offers, especially when trading activity is slow. The use of these values, along with tape reading skills and candlestick pattern recognition can...
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"GetField" is a function that gets a word among a list of words given an index provided as parameter to the function.
The function is mainly used in quantitative trading to optimize News driven trading systems and it works as follows:
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The current algorithm calculates the mathematical combination element given the lexicographical index. The function gets several string values separated by a semi-colon, a value to test, the number of values per combination and the combination index (or what is called lexicographical index).
To understand the usefulness of this function, here is...
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Formula Name:VROC
Formula Full Name:Rate of Change (Volume)
Formula Description:
Rate of Change Volume (ROCV) is an oscillator applied to volume rather than price and is calculated in the same manner as the Rate of Change (Price) indicator.
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The volatility channels indicator is used as a confirmation rule to enter long or short trades. When long rules are triggered, enter long when the price breaks up the upper volatility band and when short rules are triggered, enter short when the price breaks down the lower volatility band. The...
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The Hull Moving Average is based on several weighted moving averages. In an attempt to create a more responsive MA and reduce the lag problem that is inherent to most moving averages, the HULL indicator returns a much faster and smoother moving average.
The Hull Moving Average was first introduced by...
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Volume near price is a technical indicator that returns the total volume near the current price level that occurred in previous periods. For each period, the indicator calculates the total volume of the previous N period where the close price was between the current price and a threshold value (+-)....
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Imagine you have a trading rule that turns itself off if the average return of the last trade (or the last few trades) that were generated by this rule are negative or below a specific threshold.
This is exactly what this technical indicator will allow you to do.
You tell him...
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The Elliott Wave Oscillator is a very simple indicator that consists of taking the difference of a 5-period simple moving average and a 34-period simple moving average. The result oscillates above and below the zero line and it is displayed as a histogram whose bar colors changes depending on whether...
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The beta is a common metric used in evaluating stocks.
From money-zine:
"Perhaps the single most important measure of stock risk or volatility is a stock's beta. It's one of those at-a-glance measures that can provide serious stock analysts with insights into the movements of a particular stock relative...
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Calculates the covariance of two numeric arrays. Similar to the covariance function in excel. The following description is taken from ehow:
Covariance is a measurement of how related the variances between two variables are. If the two variables both tend to increase together, it is a positive covariance,...
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This is a variation of the 120. The indicator contains an additional parameter that lets you define a minimum number of trades threshold.
The Buy Indicator performs for each bar a simulation or backtest and returns the average return/performance of the strategy defined in the rule and N-Bar stop parameters. For...
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Some companies distribute dividends and some do not. Some companies distribute dividends quarterly, while others distribute it biannually, annually or sporadically. The distribution schedule is usually tied to the company fiscal year.
Dividend frequency refers to how often a dividend is paid. The current function calculates the dividend frequency or the...
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Using put and call volume from all market participants (Customers, Firms and Market makers), this trading indicator calculates the put/call ratio of each individual U.S. Stock.
357 downloader gets U.S. options put and call volume from the Options Clearing Corporation website. You should install and execute this downloader before using the...
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The Forecast Oscillator is a technical indicator that compares a security close price to its time series forecast. The time series forecast function name is "tsf" (already implemented in QuantShare) and it calculates the projection of the price trend for the next bar.
The Forecast Oscillator and therefore the time series...
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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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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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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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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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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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Donald Dorsey is known for developing technical analysis indicators such as the 231 and the 415. He has also created and introduced the Inertia trading indicator in the Stocks & Commodities magazine issue of September 1995.
In Physics, Inertia is the tendency of an object to resist to acceleration. Dorsey has...
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Among linear filters commonly used in trading, the simple and exponential moving averages are probably the most popular ones. According to John Ehlers, linear filters are optimal when used with stationary data, which is not the case with security quotes. The Ehler Filter invented by John is a nonlinear FIR...
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Here is an indicator I am using to detect potential turning points in the S&P 500 Index. The technical indicator is the addition of the percent rank of the AAII Bullish Index and the percent rank of the S&P 500. The lower the indicator value is the more likely there...
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This technical analysis indicator calculates the drawdown of any time-series beginning from the bar at which the provided signal array is TRUE. Unlike the default drawdown function, which calculates the drawdown from the first bar, the drawdown calculated by this function is reset each time the given signal array becomes...
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The Ulcer Performance Index is a measure of investment or trading strategy performance and is constructed by dividing the excess return by the Ulcer Index. The calculation is almost the same as in the Sharpe Ratio, which is computed by dividing the excess return (Total strategy return minus the risk...
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Unlike the majority of stock market risk and volatility measures (such as the Standard deviation), the Ulcer Index was designed, by Peter Martin in 1987, to calculate the volatility in the downward direction only. This technical analysis indicator (Ulcer Index) was first introduced in a 1989's book called "The Investors...
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One way to discover stocks that are in a trading range and may move in one way or another in the coming days is to count the number of close and moving average crossovers over the previous days. For example, a stock that had four crossover during the last 10...
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This function transforms any technical or trading indicator into a sort of adaptive indicator. In fact, it gives you the average one day performance when the rule you provided is true, for a specific number of past bars. To do so, the function calculates the one bar rate of change...
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The Year to date change is a trading indicator that is usually used to calculate the percentage change of a stock's last closing price compared to the previous year close price. You can also use the indicator to calculate the Year to date percentage change of any other time-series or...
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This trading indicator has the same parameters as the 829 item I have shared yesterday. However, instead of getting a time-series value at a specific bar, this indicator calculates, for the specified price series/indicator, the sum of all bars that occurred before a given time.
For example, the following formula (YTimeSum(volume,...
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The Price at a specific Intraday Time item is a function that works with intraday data and that returns the price, open, high, low, volume or any technical indicator value of a security/stock at a specific time during a trading day. The indicator gets a time-series, an hour and a...
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The InSync Index is a consensus oscillator created in 1995 by Norm North. A consensus oscillator is an indicator that generates an output using the value of many other trading indicators.
The InSync Index is calculated by summing several technical analysis indicators including the Bollinger Bands, Moving average convergence/divergence, Commodity channel...
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Based on the Chaos Theory, the Fractal Market Hypothesis is an alternative to the Efficient Market Hypothesis. It assumes that each trader may interpret trading information in different ways and at different times (The Efficient Market Hypothesis assumes that all information is reflected in prices), that investors are not rational...
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This Fractal dimension indicator is based on fractal analysis and Chaos theory and it was developed by John Ehlers and Ric Way. This trading indicator was introduced in the article "Fractal Dimension As A Market Mode Sensor" in the Stocks & Commodities magazine and it is a modified version of...
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The Adaptive Price Channel is a technical analysis indicator composed of two lines: the upper and lower lines. These lines are created by calculating the highest high value and lowest low value over a non-fixed lookback period. The lookback period value changes after each bar according to the change of...
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Ichimoku Kinko Hyo, which means "one glance equilibrium chart", is a charting technique developed in late 1930s by Japanese journalist, Goichi Hosoda. The Ichimoku technical analysis technique was made available to the general public in 1960.
Ichimoku is used to detect trends by creating five lines calculated using the midpoint of...
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The Long/Short Term Moving Average uses several moving averages with different periods to account for long, medium and short term trends. It results from the average of ten different simple moving averages with different lookback periods.
Given a start and end period (Example: 30 and 300), the long/short term moving average...
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The Volatility Ratio is a technical analysis indicator used to detect wide-ranging days, days with an unusual distance between the high and low prices.
The Volatility Ratio is based on the True Range (TR) indicator and it is computed by dividing the current true range value by the N-Bar exponential moving...
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EMA Exponential Moving Average
SYNTAX Ema( ARRAY close, ARRAY timeperiod)
In a Simple Moving Average, each value in the time period carries equal weight, and values outside of the time period are not included in the average. However, the Exponential Moving Average is a cumulative calculation, including all data. Past values...
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This Indicator contains macd.macd signal and ema
MACD Moving Average Convergence/Divergence
SYNTAX Macd( ARRAY signalperiod)
MACD returns the Moving Average Convergence Divergence indicator. MACD is a momentum oscillator, yet its primary use is to trade trends. MACD has two lines, one called MACD line or fast line and the other MACD signal...
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