Let us say you have a trading system that contains three trading rules, imagine if you have a indicator that acts like a backtester or simulator; it analyzes each trading rule before it is applied to a stock or a security and tells you whether this rule was profitable for...
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Advanced
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The Percentile or Percent Rank function calculates the percentage of observations or values, within a lookback period, that are below the current value of a given function. It is the percentage of values in the provided time series frequency distribution that are lower than the value of any given bar.
As...
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Medium
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The TED spread is the difference between the interest rates on interbank loans and short-term government debt ("T-bills"). TED is an acronym formed from T-Bill and ED, the ticker symbol for the Eurodollar futures contract.
Initially, the TED spread was the difference between the interest rates for three-month U.S. Treasuries...
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Medium
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In technical analysis and active trading, the majority of oscillator systems follow almost the same logic. Buy when the oscillator moves above a certain threshold and sell when it moves below a certain threshold. The problem with this approach is that it doesn't take the evolution and the volatility of...
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Medium
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The Q-Ratio, developed by the economist James Tobin, is a market valuation method used to estimate the fair value of the stock market. It is calculated by taking the total price of the market and dividing it by the replacement cost of all companies in that market.
The data used to...
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Medium
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In the November 2002 issue of the Stocks and Commodities magazine, John Ehlers wrote an article "Using the Fisher Transform" and introduced a technical analysis indicator called the Fisher Transform or Fish.
Fisher Transform indicator is used to identify price reversals and is based on the assumption that prices behave like...
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Medium
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The ratio of Total Market Cap to US GDP is an economic indicator measure that tells us whether the stock market valuation is overvalued, undervalued or fairly valued. Warren Buffet once said that the percentage of total market cap to US GNP is the "best single measure" for stock market...
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Medium
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The Better Volume indicator uses a combination of bid/ask volume and range to identify
Volume Climax, High Volume Churn and Low Volume bars.
? Market tops are characterized by Volume Climax Up bars, High Volume Churn and Low ...
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Medium
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The Vortex Oscillator is a technical analysis indicator inspired from J. Welles Wilders directional movement indicator. The oscillator can be used to determine if a security is trending, it can be incorporated into a trend following system or can be used directly to generate buy and sell signals.
The Vortex Oscillator...
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Medium
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The KST indicator or the Know Sure Thing indicator is a technical analysis tool developed in the early 1990's by Martin Pring. It weights several smoothed rate of change time-series with different periods.
The KST indicator was developed in order to signal and to detect market trends while removing shorter-term movements.
To...
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Medium
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This function converts a string to a number. It generates a number from a string or combinations of letters and numbers.
The function is called "Num" and it uses the "GetHashCode" method of an object to generate a number.
The "Num" function can be helpful in many situations.
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Medium
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The Accumulation Swing index, introduced in the New Concepts In "Technical Trading Systems" book by Welles Wilder, is an oscillator based on the SI or swing index, which is a technical indicator that compares the current asset prices (close, open, high and low) to the previous bar prices. The swing...
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Medium
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The Date filter is a simple function that returns one if a specific bar's date is comprised between a given start and end dates; otherwise, it returns zero.
The date filter accepts six parameters.
Param1: The day of the start date
Param2: The month of the start date
Param3: The year of the start...
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Medium
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This function calculates the slope of the Weighted Linear Regression.
The Weighted Linear Regression Is an extension of the standard Linear Regression, where a weight is added to each of the points.
It can be used to calculate the linear regression of the closing prices by considering the volume traded on each...
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Medium
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The Weighted Linear Regression Is an extension of the standard Linear Regression, where a weight is added to each of the points.
It can be used to calculate the linear regression of the closing prices by considering the volume traded on each day, This indicator compared to the standard Linear Regression...
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Medium
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This simple function can be used in Forex trading; it returns for a given symbol whether the specified currency is the base currency or the counter/quote currency.
The function is named "isbase", it accepts the currency name and it returns one if the specified currency is the base currency, minus one...
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Medium
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Created by William Blau and described in his book "Momentum, Direction and Divergence", the Directional Trend Index, DTI, can be used to measure the directional movement of a stock or security. Usually, the DTI moves along with the market. When the market moves up, the DTI moves up as well...
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Medium
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Percent Bollinger Bands is a technical analysis indicator derived from the Bollinger Bands indicator, which was developed by John Bollinger. Bollinger Bands consists of three bands, the lower band, the middle band and the upper band. The middle band is an N-bar simple moving average (SMA), the lower band is...
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Medium
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The majority of technical trading indicators use the rate of change of security prices in their calculation. The Relative Volatility Indicator or RVI, uses a different time-series, it uses the volatility trend, which is calculated using the standard deviation of the security close price, to measure and evaluate market strength.
The...
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Medium
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Developed by P.N. Haurlan, the Haurlan Index is a market breadth indicator with three components. The first one, the short-term component, calculates the 3-bar exponential moving average of the number of advancing stocks on the New York Stock Exchange minus the number of declining stocks on the same exchange.
The intermediate...
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Medium
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Dave's New System or DNS is an indicator, developed by David R. Evans, which consists of the sum of eight trading rules. Each time a trading rule passes, the indicator value increases by one. The DNS indicator value varies between zero and eight, a value of zero means that no...
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Medium
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The Dynamic Momentum Index or DMI is a technical analysis indicator used to determine overbought and oversold conditions of a particular security. Unlike other overbought/oversold indicators like the Relative Strength Index (RSI), the Dynamic Momentum Index does not use a fixed time period. Instead, the time period, used by this...
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Medium
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Nicholas Darvas in his book "How I Made $2,000,000 In the Stock Market", published in 1986, created the Darvas Box Theory.
Nicholas Darvas explains in this book that the Darvas box theory is a momentum strategy that should be used with short-term timeframes (less than one year).
The Darvas box...
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Medium
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If you want to compare a certain value of a time-series for a particular security to the value of other securities for the same date, then you should use the z-score. You will need to standardize data in order to use the z-score or the standard score.
The standard score, which...
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Medium
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The damping index, created by Curtis McKallip Jr., is a technical analysis indicator that indentifies bars where the highs and lows are getting close and closer.
In order to do so, it calculates a simple moving average of the difference between the high and low prices using a period of 5...
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Medium
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Mahesh Moving Average, MMA, is a technical analysis indicator that unlike the other types of moving averages (Example: Simple moving average and Weighted moving average) uses the historical price and volume data in its calculation. Traditional moving averages calculate a bar's value using the close, volume and other time-series data...
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Medium
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The Volume Accumulation Oscillator (VAO) is a trading indicator developed by Marc Chaikin, who has also developed the 162 and 175 technical indicators.
The Volume Accumulation Oscillator, which is also called Chaikin Volume Accumulation and sometimes Accumulation/Distribution Indicator, is used in technical analysis to identify strengths and weaknesses in a market....
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Medium
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The Guppy Multiple Moving Average is a technical indicator that displays two sets of moving averages. The first set contains six exponential moving averages that use short time frames to monitor the trading activity of short-term traders. The second set contains six exponential moving averages that use long time frames...
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Medium
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The Guppy Multiple Moving Average is a technical analysis trading indicator developed by Daryl Guppy and explained in his Trend Trading book. The Guppy MMA uses multiple exponential moving averages to determine whether outlook of short-term traders agrees with the outlook of longer-term traders or investors and thus identifies change...
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Medium
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The TD Range Projections or the Tom Demark Range Projections is an indicator used in technical analysis and developed by Tom Demark. This indicator tries to project and predict the next bar's high and low values (range).
The calculation of the range or the high and low values of the next...
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Medium
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Tom Demark, in his book 'Day Trading Options', has developed a market-timing indicator (oscillator), called TD Range Expansion Index (REI), which identifies areas that are risky for buying and selling. A weakness in the security or market price could occur if the value of the TD Range Expansion Index is...
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Medium
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When there is more short selling volume than long volume, traders expect a decrease in the price of the stock and when there is more long volume than short selling volume, traders expect an increase in the price of the stock. However, things could happen differently from what traders expect.
The...
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Medium
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This indicator uses short selling data downloaded by the 323 object. The indicator calculates, for a defined lookback period, the percentage of bars where the short selling ratio was higher than 50%. (More short selling volume than long volume).
This indicator can be interpreted as follows; a high value means that...
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Medium
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Here is another trading indicator that uses the short selling data. The function or indicator determines whether short or long volume is dominating in the last N-period. It uses the short selling ratio to calculate the excess volume (Volume below or above 50%) and then sums up the result over...
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Medium
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This function accepts a list of rules and an index as parameters and returns a rule for the specified index.
The Market trading rules function can be very useful when applied in an optimization or backtesting process. Imagine you have a trading system and you would like to test different exit...
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Medium
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This function uses short selling data to create a short indicator that determines whether short traders are stronger or weaker. This is done by calculating for each trading bar, the difference between short sell volume that occurred above and below a specific stock price.
Here is how the calculation process occurs....
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Medium
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Probably the most popular trading indicator is the moving average. It is widely used in technical analysis and several other indicators use it in their calculation. For each bar, the moving average indicator calculates the average price of a time-series over the preceding N-bars.
The function name is 'rbsma', which stands...
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Medium
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The R-Squared or R2 is a statistical measure that shows the percentage of movements of one time-series that can be explained by movements of another time-series. The R-squared values range from 0 to 1 or 0 to 100 if expressed in percentage. A value of 100 indicates that all movements...
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Medium
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In September 1993 edition of the 'Stock & Commodities' magazine, Tushar Chande introduced the Chande's Trendscore indicator. This indicator main role is to determine the direction and strength of the market trend. To do so, it compares the close price to previous close prices over a period of 20 bars....
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Medium
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This function calculates the number of days until a contract expires. It works with all symbols that have a date in the 'Expiration Date' field. I am using it with these US options symbols (306, 307).
The function takes no arguments and it just uses the date it finds in the...
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Medium
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