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Kaufman's Efficiency Ratio (Fractal Efficiency)
by saratur, uploaded several months ago

Kaufman's Efficiency Ratio (Fractal Efficiency)

The Efficiency Ratio (ER) was initially described by Perry Kaufman in his book Smarter Trading. This same indicator also became known as Fractal Efficiency.
This ratio measure the efficiency of a trend by dividing the net price movement over a certain time period by the...

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 Indicator 
Medium
Analyst Days Since Last Rating
by Stefan Kroscen, uploaded several months ago

This function utilizes the historical analyst buy/sell recommendations, downloadable from yahoo by 641, to determine how long it has been since an analyst rating has been provided for a stock. This function can be useful in trading algorithms in determining a confidence value for the rating (the longer its...
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 Indicator 
Medium
Estimation of the Hurst Exponent - Trading Indicator
by Brian Brown, uploaded several months ago

Based on the Chaos Theory, the Fractal Market Hypothesis is an alternative to the Efficient Market Hypothesis. It assumes that each trader may interpret trading information in different ways and at different times (The Efficient Market Hypothesis assumes that all information is reflected in prices), that investors are not rational...
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 Indicator 
Medium
Treasury Yield Curve Spreads Indicator
by QuantShare, uploaded several months ago

The next chart display different treasury yield curves for different maturities:



...

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 Indicator 
Advanced
MSCI China Markets Indices
by Tom Huggens, uploaded several months ago

MSCI Barra is a provider of investment tools. MSCI calculates and releases several international and equity indices; overall MSCI Barra calculates over 12000 indices daily. The company's most known indices are MSCI World and MSCI EAFE.

This item downloads historical data of indices related to China Markets. Data for nine indices...

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 Downloader 
Medium
TSI - Trend Strength Index
by clonex, uploaded several months ago

The TSI is an intermediate-term absolute (versus relative ) measure of the tendency of a stock to trend or mean revert. The premise underlying the theory is that stocks with a high degree of momentum in relation to volatility are much less likely to mean-revert than those that have...
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 Indicator 
Medium
Ocean Tomo Patent Indexes EOD data
by bug man, uploaded several months ago

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 
Medium
Covered Put Screener
by bug man, uploaded several months ago

In the last trading object I have shared (241), covered call potential candidates were retrieved from a Covered Call Screener (The data is retrieved from avasaram.com). In this item, it is time for Covered Put strategies data to be retrieved for US stocks. The data is saved into a database...
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 Downloader 
Advanced
IMF Commodity Symbols
by QuantShare, uploaded several months ago

This is a list of symbols of all IMF commodity series. The list includes 63 symbols and it was retrieved from the IMF, International Monetary Fund website (www.imf.org). The commodity indices and series belong to one of the following categories: Food, Beverages, Agricultural raw materials, Metals and Energy.

The following object...

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 Symbols 
Medium
Economic Confidence Index
by bug man, uploaded several months ago

The Economic Confidence Index is a combination of the Economic Outlook and Economic Conditions measures created by Gallup. The U.S. Economic conditions results from a rate given by Americans regarding today's economic conditions in the country, while the U.S. Economic outlook results from Americans opinion on whether economic conditions in...
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 Downloader 
Medium
Pivot Point Breakout Scanner
by The trader, uploaded several months ago

This scanner analyzes your securities looking for the set up that will allow you to trade the pivot point breakout system explained below.

Criteria:
- Security closed below the pivot point level of tomorrow
- Range between S1 and S2 is higher than 2% ...

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 Screen 
Medium
Fixed Bucket Calculation
by swalk10, uploaded several months ago

Fixed Bucket Calculation

In financial modeling, "normalizing" data is critical to evaluating a time series in a smooth and consistent manner. What constitutes a high versus what is a low value? Properly characterizing values is important to determine valid "signals". It rarely a good idea to...

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 Indicator 
Medium
Simulation/Backtest Trading Indicator
by bug man, uploaded several months ago

This is a variation of the 120. The indicator contains an additional parameter that lets you define a minimum number of trades threshold.

The Buy Indicator performs for each bar a simulation or backtest and returns the average return/performance of the strategy defined in the rule and N-Bar stop parameters. For...

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 Indicator 
Medium
Sharpe Ratio of Two Assets
by QuantShare, uploaded several months ago

To Sharpe ratio was created by William Sharpe in 1966. It is a very popular measures used to calculate the risk/return of an investment.

You can calculate the Sharpe ratio of any security in QuantShare using the "Sharpe" function. However, calculating the Sharpe ratio of a portfolio consisting of two assets...

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 Indicator 
Medium
Technical indicators time series
by The trader, uploaded several months ago

This isn't really a list of trading rules; instead it is a list of technical indicators time-series. It can be used with the 'Mass rules' feature of QuantShare to create easily several trading rules.
Example: Adding a mass rules mask, for example: mask > sma(mask, 50) will result in the creation...

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 Rules 
Medium
Average Bid/Ask Spread
by QuantShare, uploaded several months ago

The "AvgBidAskSpread" is a parameterless function that calculates the average ask price for the current bar minus the average bid price for that same bar.

The indicator uses the newly introduced CSharp-based "cFunctions.GetBidAskData" function to capture last bid/ask updates and performing the necessary calculations.

You can plot this indicator to a chart...

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 Indicator 
Basic
Sector Rotation Model - SRM
by bug man, uploaded several months ago

The sector rotation model or SRM is a trading indicator described by Giorgos Siligardos in an article in the traders' magazine.

The sector rotation model is based on several sectors represented by the following exchange traded funds:
XLY: Consumer Discret Select Sector SPDR
XLF: Financial Select Sector SPDR ...

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 Indicator 
Medium
Stocks at All Time Highs/Lows
by QuantShare, uploaded several months ago

This trading indicator detects whether a stock is trading at an all-time high or low. In this case, it returns 1, otherwise it returns 0. The function can also be used to detect all-time highs/lows of other time-series, technical analysis or fundamental indicator.

Screen for stock making new all-time highs:

- Select...

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 Indicator 
Medium
Historical economic calendar data by currency symbol
by QuantShare, uploaded several months ago

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 
Medium
Basic Portfolio Measures
by QuantShare, uploaded several months ago

This example will show you some of the power and the flexibility of the Grid tool.
Download, install this item then display it using "Tools -> Grid -> Open Grid".

This item doesn't use real time data. I have created it to show you how you can access, manipulate and display QuantShare...

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Advanced
Moving Average Relative Strength Index (RSI)
by QuantShare, uploaded several months ago

The MARSI Indicator (Also called Moving Average RSI) returns the RSI or relative strength index of a moving average and thus generates a nice smooth RSI line. This line can be used to identify trends as well as to detect good entries.

The interpretation of the MARSI indicator is the same...

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 Indicator 
Medium
Insider Data History
by Tom Huggens, uploaded several months ago

The Insider Data History downloads several years' worth of insider data for U.S. stocks.
The following fields are downloaded and stored in a custom database called "insiderdata":

Date: The announcement date of the insider transaction
Insider: The name of the insider
...

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 Downloader 
Medium
Technical Analysis Continuation Pattern: Ascending Triangle Indicator
by bug man, uploaded several months ago

A well known bullish formation and continuation pattern called the ascending triangle occurs during an uptrend and is constituted of two trend lines where the first one is a resistance line (horizontal line) and the second one connects two or more troughs.

In technical analysis, the ascending triangle formation is visually...

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 Indicator 
Medium
Denmark - Copenhagen stock exchange
by The trader, uploaded several months ago

The Copenhagen Stock Exchange is the Denmark's official market for securities.
Shares, bonds, treasury bills and notes, future and options are traded in the CSE (Copenhagen Stock Exchange).
The CSE main index, C20 Index lists 20 Danish blue chips.

This symbol list contains information about 189 companies from Denmark. ...

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 Symbols 
Medium
Market Cap Historical Data for the US Stock Market
by Brian Brown, uploaded several months ago

It is the product of the number of shares outstanding and the stock share price and it vary on a daily-basis (as do the stock price), the market capitalization is a measure of how big or small a company is. It represents the current market value of a company or...
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 Downloader 
Medium
Hong Kong Stock Exchange - historical data
by The trader, uploaded several months ago

This item downloads historical end-of-day quotes for companies listed in the Hong Kong Stock Exchange (HKEX). The HKEX is a stock exchange based in Hong Kong, China. It is owned by the Hong Kong Exchanges and Clearing Ltd after the merger of the Hong Kong Futures Exchange and the Hong...
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 Downloader 
Medium
Breakaway Gaps
by Patrick Fonce, uploaded several months ago

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
UK Economic Data - Average Earnings Index
by bug man, uploaded several months ago

Here is a UK economic data item that downloads economic time series from the Office for National Statistics website.
It can be used to download almost any economic indicator for the United Kingdom economy.

Currently it is set to download the Average Earnings Index for the whole UK economy. The Average Earnings...

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 Downloader 
Medium
Individual Stocks Put and Call Volume
by Patrick Fonce, uploaded several months ago

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
Minimum Number of Days Between Two Events
by QuantShare, uploaded several months ago

The "MinDaysEvents" calculates the number of minimum days between two events/data entries in a custom database.

Example:
Say you have a custom database that stores fundamental data. The field "EPS" stores the earnings per share field.
If for any reason you want to know the minimum number of days between two EPS entries...

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 Indicator 
Advanced
Short Selling historical data
by Patrick Fonce, uploaded several months ago

A short sale, in trading, is the sale of a stock that you do not own. Here is how it works, when you short sell a stock, your broker will borrow that stock and sell it for you. To close your short position, you will need to buy back that...
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 Downloader 
Medium
Capital Allocation based on Moving Average position on Instrument
by clonex, uploaded several months ago

This simple script allows you to control the Percentage of Invested Capital that your strategy uses. It is done via the position a defined Instrument with its Moving Average. If the Instrument is above its Moving Average, Percentage of Invested Capital is scaled in to 100%.
If the instrument is below...

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 Money Manag. 
Medium
Adaptive BuyInd MR_Mom Strategy
by clonex, uploaded several months ago

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 
Inventory to Sales Ratio - I/S Ratio
by The trader, uploaded several months ago

Inventory to Sales Ratio or I/S ratio is the ratio of companies' inventory to companies' sales. It measures the percentage of inventory companies, operating in the United States, have on hand to support their current amount of sales. This economic indicator is released in the Monthly Wholesale Trade Report, which...
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 Downloader 
Medium
Best Performing VS Worst Performing Stocks
by The trader, uploaded several months ago

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
Crossover/Convergence of Several Trading indicators
by QuantShare, uploaded several months ago

The crossover/convergence trading indicator allows you to generate signals when two, three or four indicators are almost equal. Given a sensitivity parameter the crossover/convergence indicator calculates the different differences between each provided technical indicator and then generates a signal if the lowest difference is lower than the specified sensitivity threshold.

In...

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 Indicator 
Medium
CBOE Russell 2000 BuyWrite Index
by Tom Huggens, uploaded several months ago

The CBOE Russell 2000 BuyWrite Index is a benchmark index, created by the Chicago Board Options Exchange, which shows the performance of a hypothetical portfolio that uses an at-the-money buy-write strategy on the Russell 2000 Index. The Russell 2000, which ticker symbol is ^RUT (on most systems), is a small-cap...
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 Downloader 
Medium
Short Term Trading System with RSI Ratios
by Brian Brown, uploaded several months ago

This trading system is based on the ratio of two short-term relative strength indicators.
The ratio is created by dividing the 7-bar RSI with the 2-bar RSI.
That ratio is then ranked for all stocks in NASDAQ 100 index and the top 5 stocks are bought at the open of the next...

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 Trading System 
Advanced
Weighted Linear Regression
by Christian Rendel, uploaded several months ago

The Weighted Linear Regression Is an extension of the standard Linear Regression, where a weight is added to each of the points.

It can be used to calculate the linear regression of the closing prices by considering the volume traded on each day, This indicator compared to the standard Linear Regression...

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 Indicator 
Medium
Swing Indicator
by Jason Robbins, uploaded several months ago

The following is a swing indicator that allows one to plot swings and various swing statistics within a chart. Note that this cannot be used for backtesting, a seperate version called swingsim (1555) may be used for that purpose.

The second parameter defines the swing threshold in points....

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 Indicator 
Medium
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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.