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Screening with the composite indicators

Updated on 2010-11-09





Composite indicators are very powerful and they can be easily used in the screener tool as trading rules or to display data. The screener basic function is to show you a list of symbols that pass the screen conditions/rules you have specified. If you want to display stocks with an increasing volume then simply adds the appropriate trading rule, for example: volume >= hhv(volume, 10).

The screener uses an initial list of symbols, calculates, for each symbol, the filter rules you have specified then checks the filter value at a specific date or bar. It will check that value for a specific date if you instruct it to do so otherwise it will check for a bar number (Last bar number minus a lag value - could be equal to zero). These settings can be defined in the "Screen" tab of the Screener form.

When using composite/index function in the screener, a lot of QuantShare users do not get the expected results when analyzing the screen using the "Bar" method.
For instance, if they are analyzing 5 stocks and using the "AddColumn" function to display the rank of each stock based on the close price value, they may get results that at first appear to be wrong. But these results are not wrong and there is a good reason why they are usually different from what you can expect.

Composite indicators/functions are calculated by dates, which means that, for each trading date, the composite function gets the appropriate values from the stock quotes and then performs its calculation based on these values (from the specified stocks and for the same date). If a stock does not contain a value for that date, then it will not be used (for that date).
When screening by bar, the values displayed by the screener are those from a specific bar number and therefore they are not necessarily based on the same date (Stock1 may have its last bar ends at 10-10-2010 and stock2 may have its last bar ends at 10-11-2010).
As a result, composite values that are displayed in the screener grid could be based on different dates and our 5 stocks ranking values may not appear as expected.

For more information regarding composites functions, please read the following posts:
How to create market indicators using the composite function - Part 1
How to create market indicators using the composite function - Part 2
How to create market indicators using the composite function - Part 3
Trading Indicators using the Rank and Percentile functions
New Ranking and Percentile Composite Functions











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