I have just uploaded a rules analyzer metric script, which can be found here: 284. This script produces several metrics, one for each trading year.
The current script creates only one metric, which is the average 'output per bar' for all years. The metric is not the same as the default...
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Rule Metrics
Medium
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V1.1
- Change to daily timeframe
- Change correlation based cash protection to SPY/TLT
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Trading System
Medium
Private
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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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The value at risk is a risk measure based on the probability distribution of security's prices or portfolio's market value. Unlike other measures such as the volatility, the value at risk measure cares about the direction of the portfolio or security.
The current value at risk function calculates a percentage that...
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Indicator
Advanced
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If you have two trading strategies and would like to measure the performance and profit of a trading system that combine these two strategies then this money management script can help you achieve this.
Each strategy, whether it is applied to stocks, FOREX, futures or options, is given an initial equity...
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Money Manag.
Advanced
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Among the Germany's eight securities exchanges, the Frankfurt Stock Exchange is by far the largest one. It accounts for more than 85% of the trading volume in Germany and 35% of the stocks trading volume in Europe. It is also the third large securities exchange place in the world after...
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Symbols
Medium
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This function returns the number of calendar days between two dates.
For example, if you want to know the number of calendar days (not trading days) between the current bar and the previous bar, just type:
a = daysBetweendates(date(), RefString(date(), 1));
plot(a, "");
...
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Indicator
Basic
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This composite index calculates for each stock, its close price correlation with the close price of an index. It then averages the results and creates the Average Correlation Index, whose symbol name is "Correl_10bars".
For each trading bar and for each stock (only stocks whose close prices are above two are...
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Composite
Advanced
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The current list of rules contains 44 series/indicators based on the sum function. This list can be used when implementing the technique described in the following blog post: How to turn any ordinary trading strategy into a very profitable one
The indicators are transformed by the PercentRank function, then...
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Rules
Medium
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This simple indicator converts a number of seconds (Intraday) to the equivalent number of bars given the analyzed data.
For example, let us say you want to calculate the return of a stock in the last hour.
If you are working on a one-minute chart, you can type:
...
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Indicator
Basic
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The swing index uses the current and past prices to determine the market direction and change in direction. It gives a numerical value that is between +100 and -100. This indicator is primarily used in the commodity and Forex markets, but it can also be applied to stocks.
The formula includes...
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Indicator
Medium
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The American Association of Individual Investors, AAII, is a non-profit organization founded in 1978 and located in Chicago. AAII conducts, every week, a pool to determine the overall stock market sentiment of their members over the next six months. Members should tell what they think the market will be in...
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Downloader
Medium
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This indicator measures the tendency of a security to trend. It does so by calculating a moving average then counting the number of times that moving average crosses the close price in the previous N-bars. The fewer crossovers the more evidence that the stock or security is trending. A high...
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Indicator
Medium
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The ratio of equal-weighted S&P 500 Index to its S&P 500 market capitalization-weighted Index can be constructed using two Exchange traded funds: the SPY (S&P 500 SPDR) and the RSP (Rydex S&P 500 Equal Weight). The S&P 500 equal-weighted indice has the same constituents as the capitalization weighted S&P500, however...
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Indicator
Medium
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The best performing versus worst performing stocks is a composite I have created while trying to find whether the number of stocks with very high increase is higher or not that the number of stocks with very high decrease.
This market indicator calculates the number of stocks whose daily return was...
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Composite
Basic
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This dynamic watchlist lists all shares that are on the current symbol list, that have crossed south the simple moving average during the last 200 days. For long-term trend followers this could be a signal for going short on stocks from this particular list)....
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Watch List
Basic
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The standard error of the estimate is a measure that tells us how close our values are from the regression line. In other words, it measures the accuracy of predictions. The lower the standard error of the estimate the better the predictions are.
When applied to the close series, we can...
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Indicator
Advanced
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This is a Fibonacci Long and Short Trading System based on the Generic Trading System Template I have uploaded a couple of months ago.
It will identify past swing highs and lows and generate a buy or sell signal when a certain Fibonacci retrace level - which can be optimized -...
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Trading System
Medium
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This item downloads historical end-of-day data for Bombay Stock Exchange companies. The historical data goes back to 2000 for some symbols. The item downloads quotes very fast because it does not get data for each symbol separately but instead get compiled data for each month. You can specify the start...
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Downloader
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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The European Central Bank releases several economic indicators for the Euro Area; these indicators include the Inflation Rate, Monetary aggregate M3, Unit labor costs, Labor productivity, Current account balance as a percentage of the GDP, Currency in circulation, Gross outstanding debt, unemployment level and GDP at market prices.
The last economic...
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Downloader
Medium
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I have already uploaded several items to get advance decline issues from several US exchanges. For example, the 159 gets the number of advancing, declining and unchanged issues from the New York Stock Exchange, American Stock Exchange and NASDAQ.
This CBOE Options Advance Decline will get the number of options issues...
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Downloader
Medium
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The Economic Cycle Research Institute, ECRI, is an independent institute specialized in economic cycle research. It maintains over 100 proprietary indexes for several economies including the Country Long Leading Index, the Country Coincident Index, the Long Leading Index, European Coincident Index, Austrian Long Leading Index, French Short Leading Index and...
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Downloader
Medium
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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
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If your portfolio or trading system performance decreases below a specific threshold then this money management script will automatically stop (pause) your strategy (by not taking more positions) for a specified number of trading bars. The stop threshold and the number of trading bars are two money management variables than...
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Money Manag.
Advanced
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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
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This metric is calculated in two steps:
- For each symbol, position returns are transformed then multiplied. The resulting value is the growth rate of the strategy equity for a particular symbol.
- The growth rates (for each symbol) are averaged.
The first step calculates the trading rule real performance for each...
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Rule Metrics
Medium
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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
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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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Indicator
Advanced
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This item loads and saves a list of all European holidays. As with the US holidays object (268), the data is retrieved from the InterContinental Exchange website (theice.com).
The data is downloaded from 2001 to 2012 and is saved into the following custom database: 'holidays_europe'. The symbol '^Holidays_EUROPE', which is associated...
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Downloader
Medium
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This RTS indices item downloads historical EOD quotes for ten indices maintained by the Russian Trading System Exchange.
Indices ticker symbols can be found here 441.
The data is downloaded from the RTS RU (Russian Trading System) website.
List of indices: ...
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Downloader
Medium
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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
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This function creates a chart with different plots usefull for asset allocation / rotation systems as an update to 1005 :
1. Pane: Relative performance of assets indexed dynamically to first visible date on chart, e.g. changes when scrolling chart
2. Pane: Trend indicator of different assets based on custom indicator and...
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Indicator
Medium
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This downloader gets analyst comments from an RSS feed at the streetinsider.com and insert the extracted data into your local database. The 'analyst_comments' database that will be created contains two columns, the date and the title. The title column will contain the analyst comments for a particular stock, and the...
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Downloader
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 strategy consists of buying additional shares of a stock at a lower price than the first entry price.
It is similar to the "Averaging Down" MM Script but it is specifically built to work with the Connors_Alvarez MDD/MDU strategy.
The script goes through your open positions and if any current price...
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Money Manag.
Medium
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The average maximum drawdown is a rules analyzer metric described in the following post: The average maximum drawdown metric . It calculates the maximum drawdown (the maximum an output can lose) of each symbol or security output and then averages the result.
If you are analyzing for example a list...
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Rule Metrics
Medium
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This item downloads economic calendar data for several currencies. It creates the following ticker symbols (EUR, USD, JPY, GBP, CHF, AUD, CAD, CNY and NZD) and associate economic events to each one of them.
It also creates a custom database (economic_cal) with the following fields:
Date: The economic event's date and...
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Downloader
Advanced
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Mean-variance optimization (the implementation of Markowitz's modern portfolio theory) basically allows one to find the optimal weights of assets in a portfolio that maximizes expected return given a level of risk/variance, or equivalently, minimize risk/variance given a level of expected return. The biggest ingredient in mean-variance optimization is the covariance...
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Trading System
Medium
Private
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Here is a trading indicator to calculate the Jensen index or alpha of a particular security. When evaluating the return of a security or a fund, it is important to take into account the risk. The alpha indicator helps you achieve this by measuring risk premiums in terms of beta....
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Indicator
Advanced
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