This Generic Trading System Template can be used as a starting point for your own trading system developments. It includes all the simulator settings that can be parameterized as well as examples for ranking, optimization, stop-setting, entry/exit rules and limits.
The template is grouped into settings that are likely to get...
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Trading System
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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
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The Bollinger strategy uses the Bollinger Bands indicator to initiate buy and sell orders. Bollinger Bands is a technical analysis indicator that was invented in the 1980s by John Bollinger. It consists of three lines:
- Upper Band: Used as a resistance line
- Lower Band: It is a moving average
- Middle Band: Uses as...
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Trading System
Basic
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Use this item to download historical quotes data for the Ocean Tomo Patent Indexes. The data spans from 2007 to present.
The Ocean Tomo Patent Index was developed by Ocean Tomo, LLC. It provides a market benchmark for the U.S. economy. This economy has seen an increase in intangible assets relatively...
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Downloader
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Wikinancial is a website designed to help traders and investors get more information about their favorite stocks. By letting its members share their stock picks, Wikinancial can analyze and measure the sentiment of each stock (whether the stock is bullish or bearish) by calculating the number of long and short...
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Downloader
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A triangle is a chart pattern formed when two trendlines are converging. When the resistance line is increasing and the support line is horizontal, we call this chart pattern an ascending triangle. When the support line is decreasing and the resistance line is horizontal, we call it a descending triangle....
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Screen
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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
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The Keltner Channel Breakout is a trading strategy that creates short signals when the close price breaks above the high band/line of the Keltner channel.
This trading system is short only. It enters short orders when the close price of a security crosses above the high band of the 40-Bar...
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Trading System
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First introduced in a December 1997 'Stock and Commodities Magazine' article by Stephen I. Klinger, the Klinger Volume Oscillator is a volume-based indicator developed with the intention to be both short-term sensitive and long-term accurate. In fact, KVO measures the sum of in (accumulation) and out (distribution) volumes for a...
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Indicator
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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
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Trade-Ideas allows you to perform intraday scans using several criteria; these criteria include volatility, Average True Range, 15 minute range, 30 minute range, gap up, gap down, 15 minute RSI, range contraction, up from the close, up previous day, standard deviation, below high, above low, position in range, consolidation,...
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Downloader
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The National Stock Exchange of India allows traders and investors to download bhavcopy equities data (294), as well as bhavcopy derivatives data. The Derivatives data contains futures and options non-continuous contracts historical data.
The current downloader gets these quotes data from the NSE website, decompresses the ZIP archive file, parses the...
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Downloader
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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
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This download item gets historical intraday data for free for U.S. Stocks. The trading object downloads 1 minute bars for several days and it gets the close, open, high, low and volume fields. Once the data is downloaded you can display intraday charts using any timeframe equal or higher...
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Downloader
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This item downloads economic calendar events for different currencies. It downloads the event name, the event's date, the event's description, the currency involved in the event, the importance of the event, the actual release number, the forecasted release number, and the previous release number.
It is pretty the same downloader as...
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Downloader
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The beta is a common metric used in evaluating stocks.
From money-zine:
"Perhaps the single most important measure of stock risk or volatility is a stock's beta. It's one of those at-a-glance measures that can provide serious stock analysts with insights into the movements of a particular stock relative...
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Indicator
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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 is another economic calendar downloader item for Forex traders. The benefit of using this one over (202) is that the current item is much faster in downloading the data. The data is stored into a custom database 'economic_cal ' with the following fields: the event date, the event or...
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Downloader
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Swedish STIBOR - Historical Data, 1987-01-02 - today.
STIBOR stands for Stockholm Interbank Offered Rate, the interest rate banks pay when borrowing money from one another. STIBOR Fixing is the average (with the exception of the highest and lowest quotes) of the interest rates listed at 11:05 a.m. The 3M STIBOR...
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Downloader
Basic
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The Margin Trading data for the National Stock Exchange (India) is downloaded from the NSE website (http://www.nseindia.com/archives/archives.htm). It includes the quantity and the amount financed by members/dealers of the NSE under the Margin Trading Facility for all securities listed in the exchange.
Members of the exchange report this data to the...
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Downloader
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Download realtime tweets for the US stock market.
This downloader downloads tweets for each symbol and insert the parsed data into a custom database 'stocktwits'.
This database can be used for screening or backtesting purpose.
Example: A trading system that buys a stock if it has at least two tweets, in the same...
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Downloader
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Here is an interesting screen that scans your stocks universe looking for the ones that are bouncing off their previous resistance line (Breakout followed by a bounce). The resistance line is calculated based on the "AutoSR" function and it uses 150 bars as period and 10 bars as lag value....
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Screen
Advanced
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Here is an indicator I am using to detect potential turning points in the S&P 500 Index. The technical indicator is the addition of the percent rank of the AAII Bullish Index and the percent rank of the S&P 500. The lower the indicator value is the more likely there...
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Indicator
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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
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This list of symbols contains stocks listed on U.S. OTC Markets (Over-the-counter). Trading in OTC markets is done directly between two traders/investors without any kind of supervision from the exchange. The trading is done electronically.
It contains more than 18000 stocks from different security types (Common Stock, Ordinary Shares, Fund, American...
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Symbols
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The 2 percent rule is a simple risk management strategy that controls the maximum amount you can lose for each invested asset.
The rule here is very simple: Never risk more than two percent of your total capital on any single stock. If you end up having 10 consecutive losses, that...
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Money Manag.
Basic
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The NASDAQ OMX Tallinn, Riga and Vilnius are three stock exchanges and are part of the Baltic Market. They are owned by the NASDAQ OMX Group, Inc. one of the world's largest exchange company.
The OMX Baltic Exchange - Tallinn is a stock exchange based in Estonia. It is a leading...
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Symbols
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Detect 'excessive' recent up gap. A 'true' indication is returned when the close is above the previous high by a specified amount over the specifed recent number of bars.
The detection gap and the lookback period are parameters. In addition, the code can be treated as a 'stepping-off point' for making...
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Indicator
Basic
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The portfolio versus stock return item is a money management script you can include in any trading system.
Here is how it works:
For each incoming new position, it calculates the N-bar return of that stock and compares it with the N-bar return of the portfolio (equity).
The new position is taken only...
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Money Manag.
Advanced
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Index investment activity on the commodity markets is compiled then released by the Commodity Futures Trading Commission. Certain Swap dealers and index traders must file monthly reports with the CFTC just after the end of each month. For more information please visit the below link.
The index investment data contains the...
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Downloader
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This function accepts a list of rules and an index as parameters and returns a rule for the specified index.
The Market trading rules function can be very useful when applied in an optimization or backtesting process. Imagine you have a trading system and you would like to test different exit...
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Indicator
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This is an Implementation of the Congestion Index Indicator presented in the book "Intermarket Trading Strategies" by Markos Katsanos.
It can be used to identify trading ranges and the direction and normalized strength of an trend. Values above 30 indicate an uptrend and values below -30 can be considered as downtrend.
Markos...
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Indicator
Medium
Private
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VolDex (symbol: VOLI) is a new index that measures the real-time implied volatility of the SPY (SPDR 500 ETF) by using only at-the-money SPY options (unlike the VIX, developed by CBOE, who uses all SPY options in its calculation).
The index calculates the implied volatility of at-the-money SPY put options of...
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Downloader
Basic
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This strategy is based on earnings surprise data and it consists of the following trading rules:
Buy Rules:
- Today's Earnings surprise is higher than 5%, which means the actual EPS is 5% higher than EPS consensus (expected earnings per share by analysts).
- Previous earnings-per-share is positive (previous quarter EPS) ...
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Trading System
Advanced
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The Producer Price Index, PPI, is an economic indicator and a price index that measures the average change in the selling prices received by producers (domestic) for their output. Products and some services prices are included in the PPI (Imports are not included).
The Producer Price Index, previously known as the...
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Downloader
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If - while swing-trading - you want to buy e.g. when a higher swing high occurs after a higher swing low then you could set up your trading system as follows:
buy = sp(10, -1) > 0 && sp(10, 0) > sp(10, 2) && sp(10,1) > sp(10,3);
What does it mean?
...
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Indicator
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This item downloads one year of historical EOD data for Australian stocks (Stocks listed on the Australian Securities Exchange, ASX). It requires a list of symbols of ASX stocks, which can be downloaded here 108.
The website that provides the quotes downloaded by 127 is no longer updated. The last update...
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Downloader
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Here is an example of how to use fast Fourier transform in QuantShare.
This function calculates the amplitude of the different FFT bins and plots each one on a chart using each time a different color.
How it works:
- The function "FFtAmpPlot" gets a time series (For example, the close time series)...
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Indicator
Advanced
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Each U.S. Company belongs to a specific industry. The Standard Industrial Classification, SIC, was created in 1937; it uses SIC codes to categorize business activities. It was replaced by the NAICS, which is the acronym for North American Industry Classification System, a new business classification created by the United States,...
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Downloader
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