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
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Here is a list of ticker symbols for the Major World Indices. It contains more than 25 indexes from five different continents.
It includes the following stock indexes for Americas:
^MERV: MerVal
^BVSP: Bovespa ...
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Symbols
Medium
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This list contains the ticker symbols of stocks that trade in the Brazilian stock market, more precisely in the Sao Paulo stock exchange.
Sao Paulo stock exchange is the largest stock exchange in Brazil and the fourth in the American continent in terms of market capitalization.
According to Wikipedia there...
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Symbols
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This function creates both the bull power and bear power indicators. Both indicators were created and described by Alexander Elder in its "Trading for a Living" book. They are both used in the popular Elder-Ray indicator.
The bull power shows the buying pressure or the capacity of bulls to push prices...
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Indicator
Medium
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Day of week average is a date-related function. It does not aim at generating signals and making decisions, but is used as a statistical indicator tracing the price change dependently on the day of the week. It gives the price simple moving average over N bars back, these bars corresponding...
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Indicator
Medium
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The Fibonacci retracement indicator returns a value indicating whether there is a support or resistance near the current stock price. Five different retracement levels or numbers are used: 0%, 38.2%, 50%, 61.8% and 100%.
When calculating the Fibonacci retracement levels, if the highest stock value occurs before the lowest value, then...
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Indicator
Medium
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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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Indicator
Medium
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This composite calculates the ratio of stocks trading above their upper Bollinger band to stocks trading below their lower Bollinger band.
The number of stocks trading above/below their upper/lower Bollinger band is computed by comparing the close price to the 20-bar "BbandsUpper"/"BbandsLower" function.
A value of 60 tells us that among stocks...
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Composite
Medium
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The Short Ratio Index calculates the short ratio of the U.S. market. It sums the short selling volume and the total volume for every U.S. stock (From different exchanges: NYSE, NASDAQ, AMEX...). The first sum is then divided by the second sum to produce the Short Ratio Index.
Short selling data...
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Composite
Advanced
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The double top, double bottom, multiple top and multiple bottom are four chart patterns. These reversal patterns are generally formed after an uptrend for the double top and multiple top or a downtrend for the double bottom and multiple bottom.
As said previously, a double-top pattern occurs at the peaks after...
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Downloader
Medium
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Broker Ratings & Recommendations object downloads several metrics about broker recommendations for US stocks.
Database Name: "Broker_Rating"
Fields: ...
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Downloader
Medium
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This is a list of trading rules to be used for example in a stock picking system. The list contains 64 trading rules and use price, volume and some indicators like roc, rsi, sharpe and drawdown.
Example of trading rules include:
Close > open
Roc(30) > 5 ...
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Rules
Medium
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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...
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Indicator
Medium
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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 item downloads a measure for U.S. stocks that tells you how likely a company is to achieve its financial goals.
Quantitative research based on public companies financial statements is conducted in order to grade each stock on its ability to achieve the most important goal, which is to maximize returns...
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Downloader
Medium
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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
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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
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buy sell signal is very good for trading. down load it...
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Trading System
Medium
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The National Stock Exchange website provides the Security-wise Delivery Position data. The current downloader gets this data for a period you specify and for all stocks listed on the NSE. This item also creates a database and inserts the data into it. The database name is 'delivery_position'. It has...
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Downloader
Medium
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Aggregate fundamental data for industries could be very useful in a top-down analysis style. It can be of course be used in several ways and would allow you for example to create industry-specific rules in your trading or ranking system.
By running this item daily, you would be able to gather...
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Downloader
Advanced
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The sales, growth and estimates object downloads financial data for all stocks trading on US exchanges - NYSE, NASDAQ, AMEX, and OTCBB.
The object gets four fundamental items:
Sales Growth F0/F-1: This is the percentage growth in annual sales. It is computed by taking the difference between sales of the last...
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Downloader
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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Indicator
Medium
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I have attempted to translate a trading system that is available on the web for free. I was not able to get a system togather that allows me to trade both long term and short term trading systems. Any help would be helpful. I am adding my...
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Trading System
Medium
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Intraday RSI multitimeframe rules based based on intraday data.
There are 4 basic rules:
2 HOURS RSI >x
...
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Rules
Basic
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The CBOE DJIA BuyWrite Index and the CBOE NASDAQ-100 BuyWrite Index are benchmark indices that track the performance of an hypothetical buy-write strategy that buys stocks in the Dow Jones Industrial Average (CBOE DJIA BuyWrite Index) or in the NASDAQ 100 (CBOE NASDAQ-100 BuyWrite Index) and sells or writes DJX...
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Downloader
Medium
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The 'calcA' function is used by the standard error bands function to calculate the alpha linear regression coefficient. It is multiplied by the sum of the close price over the calculation period and then subtracted from the sum of the square of the close price over the same period. CalcA...
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Indicator
Medium
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This item creates a 52-week high symbol from all stocks available in your database. The market indicator is created using the composite plug-in and it can be applied to any stock market. It uses the "hhv" (highest value over a period) indicator to count the number of stocks that are...
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Composite
Medium
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The maximum drawdown is a popular measure of the maximum amount an investor can expect to lose. It is used as a measure of riskiness of a trading strategy.
Another measure of a trading strategy's riskiness is the Time under Water.
The Time under water is derived from the calculation of...
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Rule Metrics
Advanced
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Unlike the 1406 script, the current one exports the date in addition to the equity value.
It will automatically open an excel document with the date and equity value for each data point.
Please note that in order for this item to work you need to add a reference to the excel...
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Money Manag.
Medium
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The Toronto Stock Exchange is the main stock exchange in Canada. This item lets you download historical end-of-day data for companies listed in this exchange. Data for 1444 symbols are downloaded, parsed and inserted into your quote database. The data is grouped by month and thus can be downloaded very...
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Downloader
Medium
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This item allows you to download CUSIP data for U.S. stocks. This list contains 6993 ticker symbols of companies that are listed in the NYSE, AMEX, NASDAQ and OTC exchanges. The companies' full names and the CUSIP (The Committee on Uniform Security Identification Procedure) numbers are included in the list.
The...
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Symbols
Medium
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This function allows you to enter several criteria (segments) and an index. It then calculates the result of the segment referenced by the index.
Let us say that for example, you want to create two segments:
Overbought Stocks
Oversold Stocks
...
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Indicator
Medium
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The sector rotation model or SRM is a trading indicator described by Giorgos Siligardos in an article in the traders' magazine.
The sector rotation model is based on several sectors represented by the following exchange traded funds:
XLY: Consumer Discret Select Sector SPDR
XLF: Financial Select Sector SPDR ...
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Indicator
Medium
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SGX, Singapore Exchange is a stock exchange in Singapore, formed on December 1, 1999, after the merger of two financial institutions in the country, the Stock Exchange of Singapore -SES- and the Singapore International Monetary Exchange -SIMEX-. The Singapore Exchange normal session starts at 09:00am and ends at 05:00pm, while...
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Symbols
Medium
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Disposable Personal Income is an economic measure of the total amount of money that is available to the population or households to use and spend after all taxes have been paid.
The Disposable Personal Income is a key economical indicator and is often used to monitor and gauge the state of...
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Downloader
Medium
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After downloading the list of symbols (312) of the manufacturers' survey diffusion indexes, you can use this object to download seasonally adjusted time-series data (historical data). The data is available from May 1968 (The date the first time the survey was conducted) to present.
The data is retrieved from the Federal...
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Downloader
Medium
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Insider trading data are data reported by company insiders to the Securities and Exchange Commission (SEC). It could be a director who sold some shares in the company stock, or a CEO who bought 1000 shares of the company he works for.
Insider trading data could be downloaded from the SEC...
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Downloader
Medium
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The New York Stock Exchange releases Round-Lot Share Volume numbers every day. This report includes the following numbers:
Specialist Purchases (Symbol: ^Specialist_Purchases): The Specialist purchases volume. Specialists are members of the NYSE; their role is to facilitate the trading of stocks by holding an inventory of the stocks in which they...
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Downloader
Medium
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