The percentage of stocks that trade above their moving average is a popular measure of market sentiment. When a higher number of stocks trade below their moving average, the indicator value decrease and traders consider this as a bullish sign and expect a rally to occur in the coming days.
The...
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Composite
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This is another historical end-of-day data downloader for the US Stock Market. It works with all companies listed in one of the following exchanges: NYSE, NASDAQ, AMEX, OTCBB, and Pink Sheets.
The item gets the data from the NASDAQ website. You must select a period and a list of ticker symbols...
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Downloader
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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
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Sentiment indicator from Dennis McNicholl's 2002 Book "Taming Complexity in Trading; Beating the Dow 3 to 1"
It uses statistical techniques to make the stock series stationary and then works on looking at the confidence intervals of the moving standard deviation of the smoothed transformed series.
It is best as a very...
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Indicator
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This is an index published monthly by the Federal Reserve Bank of Philadelphia and is used to predict future movements of the economy.
This composite is based on several economic indicators. They are all leading indicators which mean that their changes are likely to precede changes in the economy. These economic...
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Downloader
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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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DV Bounded (DVB) - The DV Bounded is also known otherwise as the "DV2" and was created by David Varadi to capture the normalized relative close. The "DV2" version of the DV Bounded represents the 2-period average of the relative close to the high-to-low range. The "bounded" portion represents the...
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Indicator
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Like the MACD, Relative Strength Index (RSI) and Stochastic, the ADX, Average Directional Movement, is a very popular trading indicator used by stock, FOREX and commodity traders in technical analysis. The ADX is considered to be the best technical indicator by many traders and investors.
It is a momentum indicator, such...
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Rules
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This Downloader downloads fundamental data from Morningstar's free service. 82 different elements are captured into a "morningstar_fundaments" database. Typically 10 years of data are available. The data points provided are:
Financials
Revenue USD Mil
...
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Downloader
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The CNX 100 index consists of 100 diversified stocks. The index represents more than 70% of the free float market capitalization and it covers 35 sectors of the economy.
The index base date is Jan 1, 2003; the base value is 1000 points.
CNX 100 used to be calculated using a market...
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Downloader
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This is a list of trading rules or metrics to be used in a stock/ETF rotational system. The list contains 15 metrics or measures.
Example of metrics:
Sharpe(close, 30) // Sharpe measure of the individual stock or ETF
Hhv(high, 30) / high // Ratio of 30-day highest high to current high ...
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Rules
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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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Strategy uses 120 function to simulate simlple mean reversion strategy: RSI(3)55;
Annual return is nothing excellent 9,18% with 5% DD in last 14 years. Goal was...
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Trading System
Medium
Private
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This item scans the market looking for stocks that are advancing while the majority of other stocks in the same industry are declining.
It calculates the number of advancing stocks and subtracts it to the number of declining stocks for each industry. It then takes stocks that belong to industries that...
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Screen
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The 'insideperiod' function is a custom function that deals with dates.
It returns a value of '1' on bars where the bar's date is superior or equal to the start date and inferior the end date.
It returns a value of '0' on bars where the bar's date is inferior...
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Indicator
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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
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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
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This item will allow you to download any U.S economic series from the FRED (Federal reserve bank of St. Louis) website.
The downloader is quite easy to use. Once it is downloaded and installed in QuantShare, open it then select the "Ids" tab on the right. There you need to enter...
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Downloader
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ETF Switching Strategy (Weekly)
This is a momentum based ETF switching strategy. You can use it as a starting point for developing your own system.
The concept of momentum based sector rotation or switch between asset classes has been around for a long time. Typically such a...
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Trading System
Medium
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This is a small modification to 1601 by QuantShare to add support for filtering and column labels.
>>> Instructions below mostly copied from the original post >>>
...
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Downloader
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There are several ways to measure and compare the strength of different industries. A unique way to do this is to calculate the number All-Star Trader picks for each one of these industries and compare the different values.
All-Star Trader Picks refers to the number of picks an U.S. Stock is...
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Screen
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This is a modified version of NSE Nifty - S&P CNX Nifty
This modified version can download index of CNX NIFTY
Don't forget to add CNX NIFTY as a new symbol
...
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Downloader
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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
Medium
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BSE Sensex is the main index of the Bombay Stock Exchange. It is composed of the 30 largest companies listed on the BSE. Companies that are part of the BSE Sensex Index include HDFC Bank, Hero Honda Motors Ltd., ITC Limited, Larsen & Toubro, Tata Power, Tata Motors...
BSE Sensex, which...
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Downloader
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NYSE Euronext website (www.euronext.com) provides investors with historical end-of-day data of stocks listed on the Euronext Amsterdam exchange. Euronext Amsterdam, previously known as the Amsterdam Stock Exchange - AEX, is said to be the oldest stock exchange in the world. The exchange is part of Euronext group which contains also...
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Downloader
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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 seasonally adjusted Consumer Price Index (CPI) historical data from the U.S. Department of Labor: Bureau of Labor Statistics. The data starts from 1947 to present and is updated monthly. The downloaded series is the Consumer Price Index for All Urban Consumers. It includes all items: Apparel, Education and Communication,...
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Downloader
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Swiss Army Knife Indicator - SWAK
Example:
swak((high + low) / 2, "BS", 14, 0.01);...
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Indicator
Medium
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I have already uploaded a trading object to get optionable information for US Stocks. The item is located here 487. It gets also exchange, market, sector and the indices the stock belongs to.
This trading object gets data from another website; it marks stocks that are optionable by settings their corresponding...
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Downloader
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This MM script uses three variables to control the amount to invest per trade and the portfolio risk:
1. Stop loss %: the stop loss in % for a single trade
2. Risk per trade: how many % of your trading capital you want to risk in a single trade.
3. Max. risk:...
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Money Manag.
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Developed by P.N. Haurlan, the Haurlan Index is a market breadth indicator with three components. The first one, the short-term component, calculates the 3-bar exponential moving average of the number of advancing stocks on the New York Stock Exchange minus the number of declining stocks on the same exchange.
The intermediate...
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Indicator
Medium
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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
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This item is used to retrieve a list of all holidays in Canada. The data is stored in the following database (holidays_canada) and is associated with the following symbol: (^Holidays_CANADA).
You can for example use the data to create some holiday-related indicators (see this link for more information: 270).
Here is an...
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Downloader
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Introduced by John Andersen in a September 1996 article appearing in the 'Stock and Commodities' magazine, Standard Error Bands is an envelope whose bands are obtained by the calculation of the beta and alpha coefficients of linear regression. Standard Error Bands are used to measure the strength of a trend,...
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Indicator
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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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The Bloomberg U.S. Financial Conditions Index is a measure of the number of standard deviations (z-score) the current financial conditions are above or below the average index value for the period of June-1994 to 2008. The index is calculated using yield spreads and indices from the Equity, Bond and Money...
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Downloader
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The Chart Pattern Indicator is a market tool developed by Thomas Bulkowski and updated on its website thepatternsite.com.
The Chart Pattern Indicator calculates the ratio of the total number of bullish patterns to the total number of bullish and bearish patterns for approximately 500 U.S. stocks. The result is expressed as...
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Downloader
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The "IndustryIndex" function should be used with the following downloader (452), to return the industry index given the stock's industry.
Industry names that are used by QuantShare and by the above downloader are different and this function helps us correspond or associate the different industry names.
...
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Indicator
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The Williams' Accumulation/Distribution or Williams AD is a technical analysis indicator developed by Larry Richard Williams, who also developed several other trading indicators including the famous Williams %R and the Ultimate Oscillator.
The Williams' Accumulation/Distribution trading indicator was implemented in order to define whether a market is controlled by buyers (known...
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Indicator
Medium
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