In order to reduce the average cost per share for a security, traders sometimes apply a technique called Averaging Down (scale trading).
The strategy consists of buying additional shares of a stock at lower prices than the first entry price. For example, a trader buys 1000 shares of Google at...
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Money Manag.
Medium
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This list of rules was created by applying a mask or a time-series transformation to some popular indicators. The mask can be found here: 153
Here is how it works: First of all, an indicator is selected, then a simple moving average is applied to this indicator (smoothing process), finally we...
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Rules
Medium
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V1.4:
-Added 5 day smoother to ROC calculation to avoid date picking
-Cleaned up and simplified coding a bit
-Top2/3 approach does not add value, decreases performance drastically
-Changed everything to daily period, basically same performance as monthly period ...
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Trading System
Medium
Private
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This item downloads numbers available in U.S. companies' balance sheet. The data is retrieved for all U.S. stocks and it includes the following figures:
Receivables: This field includes the money owed to the company by its customers and other entities (receivable) (in millions of dollars) minus provisions for bad debt
Inventory: The...
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Downloader
Medium
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The flat market indicator is a technical analysis indicator that can help you identify possible congestions in your asset's prices.
Congestion is a situation where no significant change in asset's price happens. It also sometimes indicates areas where heavy trading volume occurred in the past. Congestion periods are sometimes followed by...
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Indicator
Medium
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Standard & Poor's, S&P, is well known for several stock market indexes. It releases the S&P 500 for the US market (391), the S&P/MIB for the Italian market, the S&P CNX Nifty for the Indian market (386), the S&P/ASX 200 for the Australian market and the S&P/TSX for the Canadian...
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Downloader
Medium
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The current algorithm calculates the mathematical combination element given the lexicographical index. The function gets several string values separated by a semi-colon, a value to test, the number of values per combination and the combination index (or what is called lexicographical index).
To understand the usefulness of this function, here is...
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Indicator
Medium
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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
Medium
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The Sharpe Ratio is the first measure I look at when analyzing and assessing a backtest results. It is a simple and quick way to measure the performance of a trading strategy.
While this ratio is often used to measure the excess return per unit of risk of an investment or...
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Trading System
Medium
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The trend deviation indicator or TD is the ratio of the close price to its N-Bar simple moving average.
An increasing absolute value signals a divergence or an increase in the difference between the close price and its moving average, while a decreasing absolute value indicates that the close price is...
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Indicator
Medium
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Using the pivot table tool of QuantShare, I have created a table that shows the average daily return of a security per month and per year. The table displays years as rows and months as columns and calculates the average daily return for every cell (year/month). The daily return is...
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Pivot Table
Medium
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The Earnings per share or EPS estimates is another object that gets fundamental data/ratios for US stocks (US listed companies).
It gets 15 items for several quarters and fiscal years. The data is stored in the "EPS_Estimates" database and it contains the following fields:
Q0 Consensus Estimate: Based on several analysts that...
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Downloader
Medium
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This downloader gets 10 years of annual fundamentals from Morningstar's free fundamental ratios.
New features:
* It now works with non-USD financial statements.
* Balance sheet items such as Cash & Equivalents are converted from % of total assets to a dollar (or other currency) figure. ...
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Downloader
Advanced
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In statistics, the coefficient of determination represents the strength of the relationship or the portion of common variation in two time-series or variables. It is a statistical measure of how well the regression line approximates the real values.
The coefficient of determination or R² is mainly used to analyze how well...
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Indicator
Medium
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Among linear filters commonly used in trading, the simple and exponential moving averages are probably the most popular ones. According to John Ehlers, linear filters are optimal when used with stationary data, which is not the case with security quotes. The Ehler Filter invented by John is a nonlinear FIR...
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Indicator
Medium
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This item downloads daily open interest statistics from the Options Clearing Corporation website. The data is available for the last 5 years and it contains the open interest numbers of puts and calls for equity, index and futures.
Open interest or open contracts, is the number of derivative contracts, such as...
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Downloader
Medium
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This list of symbols contains 419 Danish ETF%u2019s from the Copenhagen stock exchange. The list was created April 2012.
The list contains ticker names in the field Name, Yahoo ticker names in field Name1 and Netfonds ticker names in field Name2. Field Name3 holds the preferred data supplier and can be...
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Symbols
Medium
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The VIX Fix is a technical indicator developed by Larry Williams, a trader and author of several books. Larry Williams also wrote for the Active Trader Magazine where he introduced the VIX Fix, a synthetic VIX calculation that can be applied to a single stock, ETF, futures or any security.
This...
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Indicator
Medium
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The put minus call options volume is the daily difference between the total put volume generated by optionable stocks and the total call volume.
For each trading day, the composite calculates the difference between put and call volume of each optionable U.S. stock, and then sums these differences. The market indicator...
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Composite
Medium
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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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The simulator tool analyzes hundred of stocks for buy signals and then picks few of them (A portfolio is limited by the maximum number of positions it can contains).
After a simulation is completed, you can display the trades that were generated by selecting the "Trades" tab of the Trading System...
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Money Manag.
Medium
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This Script MM is constructed for rebalancing your portfolio. When you buy in one day all of your assets MM this script works:
Allocations are based on the observed volatility of
each asset over the recent past for a portfolio of stocks and bonds. This concept can easily be extended to...
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Money Manag.
Medium
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This item downloads one year of historical EOD data for Australian stocks (Stocks listed on the Australian Securities Exchange, ASX). It requires a list of symbols of ASX stocks, which can be downloaded here 108.
The website that provides the quotes downloaded by 127 is no longer updated. The last update...
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Downloader
Medium
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The Chi-Squared is a widely used statistical hypothesis test to determine whether observed results are significantly different from expected results or not.
In trading, we can use the Chi-Squared test to determine how meaningful or statistically significant the performance that follows a specific pattern is.
Let us for example say that...
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Indicator
Advanced
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This item downloads a measure for U.S. stocks that tells you how likely a company is to achieve its financial goals.
Quantitative research based on public companies financial statements is conducted in order to grade each stock on its ability to achieve the most important goal, which is to maximize returns...
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Downloader
Medium
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With this simple script you can control your trading via Moving Average. If is instrument above its Moving Average trading is enabled , if is instrument below its Moving Average trading is disabled.
Fields:
MA Period: Moving Average period ...
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Money Manag.
Medium
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This function parses a symbol custom database and returns a value of one on bars where the database field data contain a specific word.
This function accepts three parameters. The first one is the database name (Example: ' yahoo_news ' if you are using the yahoo news downloader - 88),...
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Indicator
Advanced
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This item downloads several trading volume numbers released daily by the New York Stock Exchange. A total of 10 numbers are downloaded from the exchange website and are associated with different ticker symbols. These NYSE Statistics are updated and released daily.
NYSE volume can divided into several groups or categories. For...
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Downloader
Medium
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Australian Securities Exchange participants are required to report their daily gross short sales to the ASX exchange. This short selling activity is made available in the Australian Securities Exchange website. The AFR (afr.com) website provides also this short selling report.
Short sellers sell shares they do not own. They are expecting...
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Downloader
Medium
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The Ratio of open-close to high-low range is a simple technical analysis indicator that uses the four basic elements of a bar candle (Close, open, high and low).
The open-close range is computed by taking the absolute value of the difference between the open price and close price, while the...
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Indicator
Medium
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The 'calcA' function is used by the standard error bands function to calculate the alpha linear regression coefficient. It is multiplied by the sum of the close price over the calculation period and then subtracted from the sum of the square of the close price over the same period. CalcA...
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Indicator
Medium
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The Economic Cycle Research Institute, ECRI, is an independent institute specialized in economic cycle research. It maintains over 100 proprietary indexes for several economies including the Country Long Leading Index, the Country Coincident Index, the Long Leading Index, European Coincident Index, Austrian Long Leading Index, French Short Leading Index and...
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Downloader
Medium
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This function tells you whether a stock is optionable or not. That is, if a stock has options trading on a market exchange.
Due to exchange requirements such as minimum outstanding shares, minimum share price and other rules, not all stocks has options listed.
This function, whose name is "IsOptionable", requires that...
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Indicator
Medium
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The Swing Trading Indicator (STI) is designed to calculate the last swing point that occurred on or before each bar.
A swingpoint is defined as a local high or low for a certain minimum number of bars. You can define this minimum number through parameter, standard is set to 5 bars.
Note...
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Indicator
Medium
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Hong Kong ETFs or exchange-traded funds are open-ended and passively managed funds that are traded on the securities market of the HKEx (Hong Kong Exchanges and Clearing Limited).
ETFs are assets created to track the performance of an index, commodity or a basket of other assets. The advantages of trading ETFs...
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Symbols
Medium
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This item downloads EOD data for stocks from Tiingo website. The service covers more than 40,000 tickers including US stocks (+10,000), Chinese stocks, Mutual funds and ETFs.
What you need to do:
- Download the item and install it into QuantShare
- Select it in "Download -> Download Manager"
...
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Downloader
Medium
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This item downloads daily volatility data for several currency pairs including the majors and popular crosses.
The volatility in measured in pips and it corresponds to the daily movement of a $100.000 Forex pair contract. It is calculated by taking the average of the high and low prices of the...
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Downloader
Medium
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This downloader is based on the QuantShare blog post: Getting Accurate Backtesting Results: Survivorship bias-free S&P 500
It allows you to create a survivorship bias-free database of several indices. It downloads historical composition of an ETF that tracks an index then creates a custom database by assigning the value "1"...
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Downloader
Medium
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This MM scrip adds many system statistics and per trade metrics to help compare trading systems. Most of the calculations are done in terms of R (defiend as initial risk).
Trade Statistics:
Total R - P/L in terms of R
Expectancy (R)
...
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Money Manag.
Advanced
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