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Chi Squared Indicator
by Brian Brown, uploaded several months ago

The Chi-Squared is a widely used statistical hypothesis test to determine whether observed results are significantly different from expected results or not.

In trading, we can use the Chi-Squared test to determine how meaningful or statistically significant the performance that follows a specific pattern is.

Let us for example say that...

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 Indicator 
Advanced
Rate of Change Volume
by srishail, uploaded several months ago

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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 Indicator 
Medium
S&P 500
by saratur, uploaded several months ago

S&P 500 index constituents as of 1/21/2011 .
The list can be used for creating watchlists, calculating composites etc.
In this list the Name3 field contains "S&P 500" .
Index constituents do change from time to time, and if one wants to keep the list accurate it should be updated with index changes....

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 Symbols 
Basic
Yale - Valuation Confidence Index
by Patrick Fonce, uploaded several months ago

Download Valuation Confidence Index data starting from October 1989, for institutional and individual investors, from the Yale School of management. The following item creates two symbols (^YALE_VCI_INSTITUTIONAL and ^YALE_VCI_INDIVIDUAL). The first one concerns the Valuation index for institutional investors, while the second concerns the valuation index for individual investors.

I have...

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 Downloader 
Advanced
S&P 500 - Price to earnings ratio
by Tom Huggens, uploaded several months ago

The S&P 500 Price to Earnings Ratio is the average PER (Price to Earnings ratio) of the 500 stocks that compose the S&P 500 Index. The P/E ratios are based on trailing 12-month earnings, and they are reported quarterly with one-quarter lag due to reporting.

The Price earnings ratio is simply...

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 Downloader 
Medium
Percentile Rank of PEG, Price/Free Cash Flow and Price/Sales
by Brian Brown, uploaded several months ago

This trading screen uses three fundamental valuation ratios to create a ranking system using the composite function.

The screen consists of calculating the percentile rank of the inverse of each valuation ratio (Based on all U.S. stocks) and then returning the percentile rank of the following measure (0.4 * Percentile Rank...

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 Screen 
Medium
Minimum Number of Positions in a Trading System
by QuantShare, uploaded several months ago

This money management script allows you to specify a minimum number of positions in your trading system.
The script uses the "OnClosePosition" event to reject any exit order if the current number of positions (both longs and shorts) in the portfolio is equal or below the specified threshold.

Formula rules as well...

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 Money Manag. 
Basic
Price Display Indicator
by QuantShare, uploaded several months ago

The price display indicator shows the price level of the selected bar or the last bar if no bar is selected.
This indicator displays also the one-bar return of the active security. The price and return are displayed in green when the price increases and in red when the price decreases.

You...

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 Indicator 
Basic
Trading Rules to use with the Trading System Optimizer
by bug man, uploaded several months ago

Here is a list of rules I am using in the trading system GA and PBIL optimizer to find profitable trading patterns and create new trading systems.
The list contains several rules that only use the close price. I usually use this list with other trading rules as trading system entries...

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 Rules 
Medium
MAC (Moving Average Contraction)
by Gilari Decosta, uploaded several months ago

Price of a share moves as a wave contracting and expanding alternately .So,the expansion in price always follow a contraction in price and it is a great point for an entry.An easy way to find it is to use three moving average that contract very close.
When the stock break out...

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 Watch List 
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
Breakaway Gaps
by Patrick Fonce, uploaded several months ago

This is a simple advanced rule that detects UP and DOWN breakaway gaps.
A Gap occurs when the security low price of the current bar is higher than the high price of the previous bar (GAP UP) or if the security high price of the current bar is lower than the...

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 Rules 
Advanced
Percentage Hughes Breadth Momentum Oscillator
by saratur, uploaded several months ago

The Hughes Breadth Index is also known as the The Hughes Breadth-Momentum Oscillator.
It measures the ratio between the difference of advancing and declining issues in an exchange, to the total number of issues. The theory behind the index is that increases in stock prices are preceded by strengthening internals...

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 Composite 
Medium
Ownership data for US companies
by Patrick Fonce, uploaded several months ago

This item downloads Ownership data for US stocks. The data is downloaded from the finviz website and a total of nine ownership ratios are retrieved. The fundamental ratios are stored into the following database 'fund_ownsership', which is a custom historical database.
Each time you run the downloader, a pre-script that I...

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 Downloader 
Medium
Intraday Floor Pivots Mask
by clonex, uploaded several months ago

Floor Pivots for Intraday Trading

Based on:
http://www.quantshare.com/item-995-floor-traders-pivots&kbaseid=item-995-2755-1542

...

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 Rules 
Medium
Vertical Horizontal Filter (VHF)
by srishail, uploaded several months ago

Vertical Horizontal Filter (VHF) was created by Adam White to identify trending and ranging markets. VHF measures the level of trend activity, similar to ADX in the Directional Movement System. Trend indicators can then be employed in trending markets and momentum indicators in ranging markets.

Vary the number of periods in...

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 Watch List 
Medium
Multiple Time Frames Trading System - Price / Moving Average Crossover
by QuantShare, uploaded several months ago

Here is a strategy I created to show you how to use multiple time frames in a trading system. The system is based on price crossover with its 10-Bar simple moving average. Although, no optimizations at all were done, the trading system has generated an annual return of 26.14%. It...
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 Trading System 
Medium
Staggered Entry and Exit Strategy
by QuantShare, uploaded several months ago

The staggered entry and exit strategy allows you to enter a percentage of the total number of shares to buy when the first condition is met. The remaining number of positions is entered only when the second condition is met.
For exits, it will close only a percentage of the total...

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 Money Manag. 
Medium
ETF NYSE Euronext Symbols
by QuantShare, uploaded several months ago

Currently, there are about 500 Exchange Traded Funds listed on NYSE Euronext (Paris, Lisbon, Amsterdam, and Brussels Exchanges). These ETFs are issued by Banks and Financial companies such as Amundi Investment Solutions, HSBC ETFs, iShares P.L.C, JP Morgan Struct FD Management and UBS ETF. They are investment products that offer...
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 Symbols 
Medium
Market Composite Index based on the Sharpe Ratio
by QuantShare, uploaded several months ago

This market index calculates the average Sharpe ratio of all stocks in a specific market. The Sharpe ratio is obtained using the "sharpe" function and it is computed for a period 90 trading days.

The higher the market index value the better it is; this indicates that more stocks have higher...

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 Composite 
Medium
TSI indicator by Frank Hassler
by Piotr, uploaded several months ago

Trend Strength Indicator by Frank Hassler ot engineering-returns.com

I found the TrendStrengthIndicatior trading object on this site. However, I compared it to the results produced by original AmiBroker code published by Frank Hassler and found, that results are quite different. So I rewritten the AmiBroker code to C#. This one generates...

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 Indicator 
Medium
Historical Earnings Calendar for Major Stock Exchanges
by Patrick Fonce, uploaded several months ago

Download historical earnings release date and approximate time for all markets supported by Yahoo, beginning with current quarter and going back several years. This should be useful when backtesting equity strategies which either focus on entering positions during earnings (buy the rumor, sell the news, etc), or those that want...
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 Downloader 
Medium
Positive trend breakout list (SMA200-based)
by Jan, uploaded several months ago

This dynamic watchlist lists all shares that are on the current symbol list, that have crossed the simple moving average during the last 200 days. For long-term trend followers this could be a signal for buying stocks from this particular list)...
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 Watch List 
Basic
Denmark - Copenhagen stock exchange
by The trader, uploaded several months ago

The Copenhagen Stock Exchange is the Denmark's official market for securities.
Shares, bonds, treasury bills and notes, future and options are traded in the CSE (Copenhagen Stock Exchange).
The CSE main index, C20 Index lists 20 Danish blue chips.

This symbol list contains information about 189 companies from Denmark. ...

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 Symbols 
Medium
Volatility Ratio - Technical Indicator
by Brian Brown, uploaded several months ago

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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 Indicator 
Medium
Daily Stock Quotes for more than 50 Stock Exchanges
by QuantShare, uploaded several months ago

This Daily Stock Quotes trading object gets the latest stock quotes, including the close, open, high, low and volume fields, for the US Stock Market and more than 50 International Stock Markets. International Stock Markets include BOVESPA - Sao Paolo Stock Exchange, Paris Stock Exchange, Frankfurt Stock Exchange, Toronto Stock...
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 Downloader 
Medium
Percent Oversold to Overbought Stocks - Market Breadh Indicator
by Brian Brown, uploaded several months ago

A stock is said to be overbought if it moved up too far and oversold if it moved down too far.

When the stock or market is overbought, the technical analyst and trader will likely sell its position(s) and if the stock or market is oversold, he/she will likely buy...

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 Composite 
Medium
Elliott Wave Oscillator
by Caleb, uploaded several months ago

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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 Indicator 
Medium
Euronext Paris - Realtime Share Prices Data
by Patrick Fonce, uploaded several months ago

This downloader gets last quote prices (realtime shares data) for stocks listed on the Euronext Paris Stock Exchange (Bourse de Paris).
It downloads a list that contains the date, open, share price, today's high and today's low for more than 700 stock symbols (including CAC 40 stocks). The data...

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 Downloader 
Medium
Annual Return of a Security
by bug man, uploaded several months ago

The Annual Return function calculates the trailing annual return of a security. This means that for each bar, the function returns the annual return based on its previous data.
The calculation starts after the first 50 bars. This is because for first bars, annual return time-series would be very volatile.

To...

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 Indicator 
Basic
Johannesburg Stock Exchange - JSE
by bug man, uploaded several months ago

It is the largest stock exchange in Africa and one of the top exchanges in the world, the Johannesburg Stock Exchange is an exchange located in Johannesburg, South Africa. It is owned by JSE Limited.

The Johannesburg Stock Exchange has shares listed on two separate markets (Mainboard and AltX). It is...

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 Symbols 
Medium
Days Since Inception Filter
by Caleb, uploaded several months ago

This item calculates the number of days since the inception of the security (first available bar date) and then accepts or rejects a new order depending on whether that value is higher or lower than a specified threshold.

If for example your want to ignore stocks that are less than 365...

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 Money Manag. 
Basic
Profile Count Per Month
by QuantShare, uploaded several months ago

This function is an example that shows you how to use the "plotprofile" function of QuantShare.

Each month, it splits the stock's high/low range into ten buckets then counts the number of times the analyzed stock has closed within that bucket. The higher the bucket value, the more the stock closed...

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 Indicator 
Advanced
Analyst Days Since Last Rating
by Stefan Kroscen, uploaded several months ago

This function utilizes the historical analyst buy/sell recommendations, downloadable from yahoo by 641, to determine how long it has been since an analyst rating has been provided for a stock. This function can be useful in trading algorithms in determining a confidence value for the rating (the longer its...
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 Indicator 
Medium
VIX Contango-Backwardation Data
by Brian Brown, uploaded several months ago

Definition:

VIX futures are often priced differently depending on the expiration date. VIX term structure is a plot of the futures values for different expiration dates.
When the near-term VIX futures contract is priced lower than later VIX futures, we say that the VIX futures curve is in contango. The opposite, backwardation,...

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 Downloader 
Advanced
Ignore Orders for Recently Purshased Securities based on Return
by QuantShare, uploaded several months ago

By adding this money management to your trading system, you can prevent the backtester from purchasing any security that was previously bought in the past N days if its most recent return is lower than the specified threshold.

As an example, let us say that your trading system bought GOOG and...

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 Money Manag. 
Medium
Market Rule based on the Crossover Between Stock Close prices and their Moving Average
by Tom Huggens, uploaded several months ago

This composite is calculated based on a trading rule involving the popular technical indicator: the simple moving average.

Here is how this composite is calculated: (This item requires an indicator that can be downloaded here 120)
- Create a simple trading rule that returns a signal if the stock close price crosses...

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 Composite 
Medium
InSync Index - Consensus Trading Indicator
by Caleb, uploaded several months ago

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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 Indicator 
Medium
Chande TrendScore By Symbol
by Stefan Kroscen, uploaded several months ago

This function is an enhancement to the chande_trendscore function added by "The Trader". You can read more about the origin, purpose and behaviour of the function here: 317

This version adds 3 enhancements to the original function.
1) It accepts a symbol as a parameter. This is desirable in conditions...

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 Indicator 
Medium
Forecast Oscillator
by Brian Brown, uploaded several months ago

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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 Indicator 
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.