This function analyzes the first N-minutes of a trading session then counts the number of times a specific event occurred. As an example, you can use it to measure the number of times the price crossed above its short-term moving average during the first trading hour.
You can implement this example...
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Indicator
Advanced
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This downloader gets splits announcements for U.S. stocks. It creates a custom database (splitsannounced) with the following fields:
Date: Ex-date or the date that the stock price is scheduled to adjust on the exchange
Ratio: The split ratio. Example: 5-4 or 1-2
Payable: The date the stock split will be paid. Example: Sep02
Announced:...
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Downloader
Medium
Private
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The Traders Dynamic Index uses trend direction, momentum and market volatility to determine market conditions. This indicator uses relative strength index, simple moving average, double exponential moving average and standard deviation to generate five time-series.
The function displays those time-series and returns the TDI or traders dynamic index.
The parameters of...
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Indicator
Medium
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This item contains the ticker symbols list of companies that trade in the Spain Stock Market. The list has 148 symbols and most of the companies are listed in the 'Bolsa de Madrid'.
The Madrid Stock Exchange or (Bolsa de Madrid) was officially founded in 1831.
Spain has four regional stock...
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Symbols
Medium
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For custom databases, data is often associated with a symbol and a date making it easy to build logic around the primary date value. But when the custom database contains more than one date value, accessing and using the date values is more complex. The DaysToNextDate function helps by...
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Indicator
Medium
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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
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The Choppiness Index is an oscillator designed to determine if the market is choppy (trading sideways) or not choppy (trading within a trend in either direction). The Choppiness Index is not directionnal. Higher values equal more choppiness, while lower values indicate directional trending.
- the Choppiness Index measures the linearity...
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Indicator
Basic
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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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This downloader gets intraday data for more than 200 assets from the currency, index and futures market. The data is available for the last seven trading days and it is downloaded in 5-minutes time frame format.
- Forex:
...
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Downloader
Medium
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The Fibonacci trading indicator is a technical analysis tool that calculates different Fibonacci retracement levels and then tells you whether there is a resistance or support line near the stock or security price (slightly above or slightly below the close price depending on the sensitivity parameter).
It is almost the same...
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Indicator
Medium
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This is for Gap up openings and gives th gap up opening and the high of the previous day ...
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Screen
Medium
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This system buys at the new 65 day high and sells at 65 day low. To counter the situation to not get into the stock that drops immediately, it also sells if the stocks goes below the low 10 days before the trade.
It can be updated to optimize the...
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Trading System
Medium
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This item downloads several trading volume numbers released daily by the New York Stock Exchange. A total of 10 numbers are downloaded from the exchange website and are associated with different ticker symbols. These NYSE Statistics are updated and released daily.
NYSE volume can divided into several groups or categories. For...
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Downloader
Medium
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This component gets historical OHLCV data for all stocks and ETFs listed on the LSE (London Stock Exchange).
The downloader accepts ticker symbols with and without a suffix. If a suffix is found (SLVR.L for example) then it will remove it and pass the new ticker symbol (SLVR) to the next...
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Downloader
Medium
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This staggered entry money management strategy lets you enter a certain number of shares when the buy rule is met and the rest of the shares when the position increases by a specific percentage.
For example, we can define the following strategy:
Enter long 60% of shares when the stock crosses its...
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Money Manag.
Advanced
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This is a modified version of the "GetDataString" function which gets a string/text from a custom database field.
The modified version allows you to get the last (non empty) string on any given trading bar.
As an example, let us say that you have a database whose name is "db" and a...
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Indicator
Medium
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This item downloads the margin debt, the free credit cash accounts and the credit balances in margin accounts data from the New York Exchange website.
The NYSE releases these numbers every month and the data spans from 1959 to present.
The NYSE margin debt is the amount of borrowed money to...
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Downloader
Medium
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This item downloads historical EOD (end of day) quotes for companies listed in the ASX or the Australian securities exchange.
The data is downloaded from the following website: float.com.au. A small pre-script is applied to remove lines where the prices are set to zero. This happen sometimes with some tickers and...
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Downloader
Medium
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Tweet Sentiment Analysis is a website (tweetsentiments.com) that analyses tweets for a given keyword. It uses Support Vector Machines algorithm and a natural language processing tool (NLP) to determine whether a tweet's sentiment is positive, negative or neutral. Support Vector Machines is a learning algorithm that is mainly used in...
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Downloader
Medium
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The Yahoo fundamental downloader gets four fundamental items for more than 4000 U.S. Stocks. It retrieves stock's market capitalization, return on equity, return on assets and finally the forward PE.
The market capitalization as you probably already know is the market price of the company and it results from the multiplication...
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Downloader
Medium
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The Mexican Stock Exchange, Bolsa Mexicana de Valores (BMV), is the only stock exchange in the Mexican Stock Market. It is located in Mexico City and is a public company owned by its members. The exchange trades stocks, warrants, mutual funds and debt instruments (Federal Treasury certificates - CETES, Federal...
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Symbols
Medium
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The NORMDIST function is similar to the one available in Excel. Given a set of parameters, this statistical function calculates the normal probability density function or the cumulative normal distribution function.
Here are the different parameters of the NORMDIST function:
X: The function will return the probability of the value "x" occurring.
Mean:...
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Indicator
Medium
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This system seeks to exploit a pattern where if the previous two days didn't have a gap up open from the previous close exceeding 0.2%, then there's an higher chance that the next overnight session will gap up.
The system buys the close and sells at the next open. It works...
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Trading System
Medium
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The Regularized Exponential Moving Average or Regularized EMA is a trading indicator introduced by Chris Satchwell in July 2003 version of Stock & Commodities magazine.
This technical analysis indicator was designed to be smoother and with less lag that the traditional exponential moving average. The indicator gets the EMA period and...
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Indicator
Medium
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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
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Put and Call volume data from options transactions are classified into three categories. This classification is based on the participant and it contains the following categories: Consumer, Firm and Market Maker.
Traditional Put/Call ratio calculation uses the volume of puts and calls from all these categories, while certain ratios uses only...
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Composite
Advanced
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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
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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This downloader gets historical data from Alphavantage website. The data is available for free and the last daily bar is constantly updated with real time data.
The data is adjusted for splits and dividends and it is available for the last 20 years.
In order to be able to download data, you...
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Downloader
Medium
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The current item downloads options volume data, grouped by account type, for U.S stocks from the Options Clearing Corporation, which is an equity derivatives clearing organization, website.
The OCC provides investors with information regarding options volume. The OCC divides all trades into three groups or account types.
Customers: This group represents all...
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Downloader
Medium
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Test of long/short market filter based on cross of two Stochastics running 2x long SP500 (SSO) / 2x short SP500 (SDS).
Initial performance (Cagr +40%, Sharpe >1) seems interesting in some market times, but needs additional filters for stability and reduce high drawdowns. I post here if somebody is interested...
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Trading System
Medium
Private
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This is a swing indicator that may be used during backtesting to reference swing data.
Format is: swingsim(close, threshold, type, ago);
Threshold = movement required in points to constitute a valid swing
Types are the swing metric that is to be returned, valid types include: ...
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Indicator
Medium
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The Accumulation/Distribution or A/D indicator tries to determine whether the current security is controlled by buyers (accumulation) or by sellers (distribution). It acts as a leading indicator and it is calculated by summing over a specific number of bars, a formula that uses the close, high, low and volume prices....
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Indicator
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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Based on the position of the security close price compared to its moving average (MA), this technical analysis indicator returns a value comprised between one and three.
A value of one indicates that the current close price is trading 5% lower than its simple moving average.
A value of three indicates that...
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Indicator
Medium
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The advancing and declining volume or the total volume of stocks that advanced and the total volume of stocks that declined every day can be used to create several market breadth indicators. One of these indicators is called the Up/Down Volume Spread. The indicator formula is simple; it is the...
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Composite
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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Calculates the SQN100 (see work of Dr. Van Tharp) as if the per position "Output" is the trade result. This is different from the other rules analyszer metric named SQN in that the sample standard deviation calculation is used vs. the built-in Standard deviation. The result of...
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Rule Metrics
Basic
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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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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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