This script allows backtesting of stock portfolios in different currencies and/or conversion of backtesting results to a different reporting currency. It works - but as it is quite complex, I would like to have it tested by the community under different environments before releasing it finally. This is why I...
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Money Manag.
Medium
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This item has been updated on June 5 2014 to compute correlation of daily returns.
Example: a=AvgCorrelation("SPY,TLT,GLD",100) ;
b=AvgCorrelation("SPY,IWM.QQQ",100);
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Indicator
Medium
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This is the Maximum Intraday System Drawdown money management script.
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Money Manag.
Medium
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Here is a super simple indicator with dozens of applications. Similar to AggM, the AggZ is a composite trend and mean-reversion indicator rolled into one. The concept of both is to anchor a long term trending measure to a short-term mean-reverting measure so that you can have an indicator that...
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Indicator
Medium
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An exchange-traded fund or ETF is a financial instrument that trades like a stock. An ETF represents a basket of assets like stocks, future, currencies...
This item contains the list of ETFs listed on the US stock exchanges.
The list contains 1383 symbols and contains the full name of the exchange-traded...
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Symbols
Medium
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Fixed dollar amount, or fixed cash amount, position sizing is a money management technique that lets you allocate exactly the same amount of money for each trade you enter. Regardless of the stock, its price or its volatility, the number of shares for each new trade is calculated based on...
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Money Manag.
Medium
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The cash rate is the interest rate at which banks lend money to each other. This overnight money market interest rate should follow the cash rate target decided by a central bank and this can be achieved using different operations in order to influence the supply of money of the...
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Downloader
Medium
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The following indicator doesn't create a time-series but instead displays some statistics on your chart.
The data will be displayed on the left-bottom corner and will contain the following values:
Drawdown: Maximum drawdown corresponding to the selected bar
...
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Indicator
Basic
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The OCC, which stands for Options Clearing Corporation, is the world largest equity derivatives clearing organization. The OCC was founded in 1973 and it is under the jurisdiction of the CFTC, Commodity Futures Trading Commission and the SEC, Securities and Exchange Commission.
One of the OCC role is to clear transactions...
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Downloader
Advanced
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Downloads Market yields on Treasury inflation protected securities, or TIPS, adjusted to constant maturities. The data comes from the U.S Federal Reserve website and is updated on a daily-basis.
The item adds and fills 4 symbols: TIPS yields at 5-year constant maturity, TIPS yields at 7-year constant maturity, TIPS yields at...
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Downloader
Medium
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This list of symbols contains 186 Danish stocks from the Copenhagen stock exchange. The list was created April 2012.
The Danish stocks are indexed into the following groups: OMXC20, Large Cap, Mid Cap and Small Cap. The Index field in the list uses the following names:
OMXC20, OMX LARGE-CAP, OMX MID-CAP and...
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Symbols
Medium
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This downloader is based on the QuantShare blog post: <a href="http://www.quantshare.com/sa-435-getting-accurate-backtesting-results-survivorship-bias-free-s-p-500">Getting Accurate Backtesting Results: Survivorship bias-free S&P 500</a>
It allows you to create a survivorship bias-free database of several indices. It downloads historical composition of an ETF that tracks an index then creates a custom database by assigning the value "1"...
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Downloader
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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Indicator
Medium
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This earnings calendar item gets data for current and upcoming earnings for US Stocks. The item downloads the date, time, EPS and Previous Year EPS of each US Stock (Starting from 2010) and stores the data in a custom historical database "earnings_cal". You can access the data later and create...
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Downloader
Medium
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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
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This function tells you whether a stock is optionable or not. That is, if a stock has options trading on a market exchange.
Due to exchange requirements such as minimum outstanding shares, minimum share price and other rules, not all stocks has options listed.
This function, whose name is "IsOptionable", requires that...
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Indicator
Medium
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The Casablanca stock exchange, bourse de Casablanca, is the unique stock exchange of Morocco and the third largest exchange in Africa after the South Africa's Johannesburg Stock Exchange and Nigerian Stock Exchange which is based in Lagos.
The Casablanca stock exchange (CSE) is based in Casablanca and it has two main...
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Symbols
Medium
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Here is an interesting market breadth indicator that measures market strength by comparing the stocks that are outperforming their industry with stocks that are underperforming it.
The composite is calculated as follows:
- It counts the number of stocks whose 25-bar rate of return is higher than the 25-bar rate of return...
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Composite
Advanced
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Get dividends information for US companies. The data is parsed from an RSS feed and is inserted into a database whose name is 'dividends_rss'. This database has a date and a title column. The title generally contains useful information about the dividend being paid by the company. It also usually...
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Downloader
Medium
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This downloader gets EOD quotes data from Yahoo for all options listed in US exchanges. Only the last quote is downloaded and so in order to create an historical quotes database, this item should be run on a daily basis. For screening purpose, you will only need the last quotes...
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Downloader
Advanced
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This indicator measures the volatility by subtracting the highest high over a specific period by the lowest low over the same period. In other words, the volatility here represents the distance between the highest and lowest value over a specific lookback period. You can of course modify the function and...
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Indicator
Medium
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Here is a very simple money management script that shows you how to buy a fixed number of shares instead of a number of shares determined by the available cash (default money management sizing method).
In order to use this script, simply add it to your trading system. Later, when selecting...
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Money Manag.
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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Indicator
Medium
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The Kuwait Stock Exchange is one of the largest stock exchanges in the Persian Gulf region. In fact, it is the second biggest stock exchange in the Middle East of Asia, just after the Saudi Stock Exchange. The exchange is located in the State of Kuwait, and it was created...
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Symbols
Medium
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The Williams' VIX Fix (WVF) is an indicator meant to roughly approximate the VIX. It can be useful in situations where there is no implied volatility index for the instrument we want to trade. The WVF is simply a measure of the distance between today's close and the 22-day highest...
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Indicator
Basic
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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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Indicator
Medium
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Adaptive trading strategies usually rely on one or several specific metrics to dynamically update some settings such as the percentage of capital invested. This money management script can transform any simple or complex trading system to an adaptive or auto-adjusted strategy.
When applying this money management script to a trading system,...
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Money Manag.
Medium
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A stock buybacks occurs when a company decides to repurchase its own shares. Before any buyback, the company must comply with the strict rules for stock repurchase plans under the U.S. Securities and Exchange Commission (SEC). Companies may decide to repurchase their stock for several reasons:
1 - This buybacks will...
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Downloader
Medium
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This function calculates the maximum number of consecutive bars that a condition was true in the past N-bars. The function name is "MaxConsecutiveBars" and it has two parameters: Condition and period.
As an example, if we use this function with "close > sma(30)" condition and 100 as a lookback period, the...
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Indicator
Medium
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Yahoo finance website offers traders historical quotes data for more than 50 stock exchanges. This includes the main stock exchanges in the United States and several European and Asiatic stock exchanges.
This trading object lets you download historical quotes for all companies listed on these exchanges. It is almost the same...
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Downloader
Medium
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The Federal Open Market Committee or FOMC consists of twelve voting members and is responsible for setting the monetary policy of the USA. The monetary principal goals are the economic growth, stable prices and full employment.
The monetary policy is set by specifying the short-term objective for open market operations.
There...
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Indicator
Medium
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Unlike most EOD data downloaders for the U.S. Market, which get data by ticker symbol, this trading object gets historical data by date. It downloads end of day data for all U.S. Stocks (More than 7000 stocks from the New York Stock Exchange, American Stock Exchange and NASDAQ) and for...
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Downloader
Medium
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The following pivot table would allow you to easily display the year-to-date performance of your assets or ETFs and track their excess return with a benchmark or index.
By default, the following ETFs are compared to the SPY (S&P 500 ETF)
DIA: SPDR Dow Jones Industrial Average ETF
IEF: iShares Barclays 7-10 Year...
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Pivot Table
Basic
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Download the most recent financial fundamental data from finviz.com for stocks listed in US stock exchanges. 12 items for more than 6000 ticker symbols are downloaded by this item.
This downloader should be run every week in order to build an historical fundamental database. The data is stored in a...
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Downloader
Medium
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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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Indicator
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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Indicator
Medium
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This item downloads historical insider data for US Stocks. The data goes back to January 2007 and it is updated monthly. It downloads all the transactions filled and reported to the SEC by insiders.
Individuals, such as officers, key employees, directors, and large shareholders, who may have access to non-public...
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Downloader
Advanced
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Download news headlines from the smartmoney.com custom ticker-based news RSS feed.
Smartmoney website provides news for US stock companies from the following sources: PR Newswire, Business Wire, Down Jones Business News...
The news database name is 'news_smartmoney' and it consists of four columns where the first column contains the news date, the...
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Downloader
Medium
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The Irish stock exchange is the primary stock exchange in Ireland. It is based in Dublin and is owned by stock-broking firms. This ticker symbols list contains companies that are listed in the Irish stock exchange. A total of 64 symbols are available.
The list also contains the following companies' data:...
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Symbols
Medium
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V1.1:
- Added optimization items (heatmaps for parameter stability on google drive tbd)
- Risk free rate to 3%, comissions to $0.05 per trade
- extend backtest from Jan 03 to May 2014
- included synthetic synSSO and synEDV ticker (as per Marc Cohn to extend with MDY, TLT respectively), need to import from...
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Trading System
Medium
Private
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