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Outperform Indicator

by QuantShare, 1006 days ago
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This new "Outperform" indicator calculates the percentage of trading periods where a stock or an ETF outperforms a benchmark.

The indicator first gets the benchmark symbol. It then takes "period" and "count" as parameters. The "period" is the number of trading bars used to compare the currently analyzed security with the benchmark. The "count" is the number of periods to compare.

As an example, let us say that we are looking at the 1st Sep 2016 data of IWM and we have selected "SPY" as benchmark, specified 25 bars (approx. a month) as period and 3 as "count".
First the indicator will compare the August performance of IWM and SPY, then it compares the July performance of IWM and SPY and finally compare the June performance of IWM and SPY (count = 3).
If IWM outperformed SPY in two instances out of three, then the value that will be displayed is 66%

This means that a value of 100% indicates that the analyzed security outperformed the benchmark in every instance, while a value of 0% means that the analyzed security underperformed the benchmark in every instance.

Here is an example of a trading rules you can add in your trading system to purchase a security only if it outperformed the S&P 500 SPY in more than 70% of month-period in the past year.
buy = outperform("spy", 25, 12) > 70;


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Type: Trading Indicator

Object ID: 1700


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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.