RSI3 Box is a long-only mean reversion system that trades large, liquid ETFs. This version has an average hold time of 2 days. I haven't explored the system in detail -- some optimization, but haven't tested a ton for robustness -- but I think it has promise and a ton...
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Trading System
Medium
Private
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The High-Low range technical indicator returns the percentage of maximum increase in a stock or security during the previous N trading days. To measure this, it calculate the percentage increase during the previous N bars from the lowest value to the highest value, that is, the highest value over a...
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Indicator
Medium
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The "GetWeekNumber" function returns the week's number for each month. The value will vary from 1 to 5, where "1" indicates the first week of the month and "4 or 5" the last week of the month (depends on the number of days in the month).
This function can be used...
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Indicator
Medium
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This strategy enters a position in the S&P 500 Index (SPY or ^GSPC) when previous week return is negative (Return is calculated based on Monday open price and Friday close price), the trade is closed at the end of the week on Friday. No stop rules are defined.
The trading system...
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Trading System
Medium
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The Vortex Oscillator is a technical analysis indicator inspired from J. Welles Wilders directional movement indicator. The oscillator can be used to determine if a security is trending, it can be incorporated into a trend following system or can be used directly to generate buy and sell signals.
The Vortex Oscillator...
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Indicator
Medium
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Formerly known as the World Savings COSI and the Wachovia COSI, the Wells Fargo Cost of Savings Index (COSI) is an ARM index, a benchmark interest rate that makes the interest rate of the adjustable-rate mortgage floats up or down.
Here are some popular ARM Indices: National Mortgage Contract Rate...
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Downloader
Medium
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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
Medium
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This item downloads historical EOD data of U.S. industry indexes. It downloads the last two years daily history for 92 industries.
Ticker symbol for these industries are created and inserted in your database during the downloading process. Ticker format is as follows: ^Industry_[Industry name]. The data contains the closing prices and...
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Downloader
Medium
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This Average Year over Year indicator will calculate the average close price (or any other time series) movement over the preceding N-years.
For any particular date, it will take the preceding N-year values and calculate the average one-bar return of these values.
Note that this indicator can work with daily, weekly and...
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Indicator
Advanced
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To measure the profitability of a company, analysts and investors use metrics such as the ROE (Return on equity), ROI (Return on investment) and ROA (Return on assets).
Profitability is very important for the growth of a company. It is also important for company's owners and managers. It is a...
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Downloader
Medium
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If you are a momentum trader then volatility is your friend.The current script analyzes and calculates the volatility of the security you are about to buy/short and update the number of shares according to this volatility. The 60 day standard deviation is used to calculate the volatility.
Example:
You have three instuments...
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Money Manag.
Medium
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best watchlist created ,tested on indian market try it u will get more profts....
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Watch List
Medium
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The 'Buff Averages' is an indicator created by Buff Dormeier. It first appeared in the Traders' Tips section of the Stocks & Commodities magazine in February 2001. The function accepts two inputs: a price time-series and a length period. The indicator volume-weighting calculation is applied to the price time-series. The...
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Indicator
Medium
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------------------------------------------------------------------------
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This item no longer works.
You can use the following downloader instead: 463 ...
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Downloader
Medium
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This rules analyzer metric calculates the average output of each analyzed rule and on a per-symbol basis. The standard average output adds up the outputs generated by all the positions for all securities then divides this value by the number of positions.
The current metric adds up the outputs separately for...
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Rule Metrics
Advanced
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Insider trading data are data reported by company insiders to the Securities and Exchange Commission (SEC). It could be a director who sold some shares in the company stock, or a CEO who bought 1000 shares of the company he works for.
Insider trading data could be downloaded from the SEC...
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Downloader
Medium
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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
Medium
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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
Medium
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The Dynamic Momentum Index or DMI is a technical analysis indicator used to determine overbought and oversold conditions of a particular security. Unlike other overbought/oversold indicators like the Relative Strength Index (RSI), the Dynamic Momentum Index does not use a fixed time period. Instead, the time period, used by this...
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Indicator
Medium
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Rules
1. Bullish Trend
2. Trending Market
3. Oversold Condition
4. Active Volume...
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Screen
Medium
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The True Strength Index (TSI) is a momentum indicator developed by William
Blau, published in "Momentum, Direction and Divergence" (Wiley 1995). It is designed to determine both the trend and overbought-oversold conditions. The TSI is applicable to intraday time frames as well as longer-term horizons.
The TSI uses a one...
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Indicator
Medium
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This screens the quotes which are in continuous up trend .This screen i did on indian quotes which has given me very good results. Soon i am sharing the chart layout of the same which is fexible just you change the parameters as per your need. I HAVE CREATED LOT...
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Screen
Medium
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The Lisbon Stock Exchange is the main stock exchange in Portugal. It is located in Lisbon, the capital of Portugal and since 2007, it is part of the NYSE Euronext group (After the merger of Euronext and NYSE).
In 2002, Euronext acquired the Lisbon stock exchange (Bolsa de Valores de Lisboa...
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Symbols
Medium
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Here is the second custom drawing tool. The first one can be downloaded here 449, it displays the selected security's price above the mouse cursor.
The current object draws a trendline. A trendline is composed of two or more points; it is often used in trading as a support or resistance...
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Drawing Tool
Medium
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This indicator gets a time-series, a day, a month and a year and returns the value of this time-series at the specific date (Date calculated from the provided day, month and year). The indicator name is "ValueOn" and it uses the "ValueWhen" function to return that value.
To specify an unknown...
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Indicator
Medium
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This is a survivorship bias-free S&P 500 database downloader. With this downloader you will be able to test your strategies with more realistic expectations.
I have created this script thanks to this blog post: Getting Accurate Backtesting Results: Survivorship bias-free S&P 500.
Original author is Quantshare Team. Thank You QS!
...
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Downloader
Medium
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The Chande's Range Action Verification Index (RAVI) indicator was developed by Tushar Chande. As the ADX indicator, the RAVI is used to identify whether a market or security is trending. The RAVI indicator is calculated using moving averages of different lengths. The first one is a short moving average with...
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Indicator
Medium
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This is a list of trading rules to be used for example in a stock picking system. The list contains 64 trading rules and use price, volume and some indicators like roc, rsi, sharpe and drawdown.
Example of trading rules include:
Close > open
Roc(30) > 5 ...
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Rules
Medium
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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 Fractal dimension indicator is based on fractal analysis and Chaos theory and it was developed by John Ehlers and Ric Way. This trading indicator was introduced in the article "Fractal Dimension As A Market Mode Sensor" in the Stocks & Commodities magazine and it is a modified version of...
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Indicator
Medium
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I have just uploaded a rules analyzer metric script, which can be found here: 284. This script produces several metrics, one for each trading year.
The current script creates only one metric, which is the average 'output per bar' for all years. The metric is not the same as the default...
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Rule Metrics
Medium
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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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The CBOE Equity options volume of a stock A is the total volume of all options whose underlying security is stock A, that trade in the Chicago Board Options Exchange. The volume can be separated into two categories: Volume of Call options and Volume of Put options.
The Monthly Call options...
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Downloader
Advanced
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This watchlist i have created for swing trade .This will filter the stock for short term entry wher you have to keep track of stock momentum every day.
I have used the following indicator for this one.
''MacdExtSignal( ARRAY fastperiod, ENUM fastmovingaveragetype, ARRAY slowperiod, ENUM slowmovingaveragetype, ARRAY signalperiod, ENUM signalmovingaveragetype)'' ...
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Watch List
Medium
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The chaikin money flow is an indicator that helps traders determine whether a stock is under accumulation (the stock price closes near the session high with an increase in the volume) or distribution (the stock price closes near the session low with an increase in the volume).
The indicator compares the...
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Indicator
Medium
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This function allows you to enter several criteria (segments) and an index. It then calculates the result of the segment referenced by the index.
Let us say that for example, you want to create two segments:
Overbought Stocks
Oversold Stocks
...
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Indicator
Medium
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The SuperStockScreener.com website has created a ranking system that gives a score of one to five to stocks listed on U.S. exchanges, including the NYSE and NASDAQ.
The ranking system assigns a value of one to stocks that are likely to beat the market with less volatility (Strong buy recommendation). A...
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Downloader
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
Medium
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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
Medium
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The New York Stock Exchange releases Round-Lot Share Volume numbers every day. This report includes the following numbers:
Specialist Purchases (Symbol: ^Specialist_Purchases): The Specialist purchases volume. Specialists are members of the NYSE; their role is to facilitate the trading of stocks by holding an inventory of the stocks in which they...
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Downloader
Medium
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