This asset allocation strategy is implemented using a money management script that rebalances your portfolio monthly and adjusts the open positions by making sure they are equally weighted.
At the beginning of a new month (Monday), this asset allocation strategy loops through open positions, calculates the ideal size (total equity divided...
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Money Manag.
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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Here an interesting page that allows EOD download by ISIN codes for several exchanges since 2000. All ISIN symbols incl non-public indices, commodities, etc seem to work.
http://charts.dgap.de/clients/dgap/download_share.php?lang=german&isin=BRIBOVINDM18&start_day=10
&start_month=12&start_year=1992&end_day=10&end_month=06&end_year=2014&exchange=XETRA&go=download
...
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Downloader
Medium
Private
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This function accepts a list of rules and an index as parameters and returns a rule for the specified index.
The Market trading rules function can be very useful when applied in an optimization or backtesting process. Imagine you have a trading system and you would like to test different exit...
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Indicator
Medium
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The Bankruptcy Data Project at Harvard provides historical data of the bankruptcy petitions filled by individuals and entities in the Unites States.
This item downloads the number of total Chapter 7 petitions filled by both commercial and noncommercial (the same as individuals and entities) for each month, from January 2006...
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Downloader
Medium
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This object will do a full download of the historical analyst buy and sell recommendations available on yahoo, and store in a local database (yahoo_analyst_ratings). The rating firm, upgrade/downgrade indicator, the past rating and the current rating are all stored. In addition, the downloader contains a function that...
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Downloader
Medium
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This trading system tries to reproduce the 'Sleep Well' Bond Rotation Strategy developed by Frank Grossmann (http://www.logical-invest.com/)
The strategy switches, on a monthly basis, between 5 different ETFs, either on a Top1 or Top2 approach:
. AGG - iShares Core Total US Bond (4-5yr) ...
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Trading System
Medium
Private
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Convert a text/string to a numeric value.
For example, if you have a numeric data stored in a text field such as Name1, Name2... and you want to use this in a QuantShare formula, you can use this function to do so:
a = ToNumeric(Name1());
...
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Indicator
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 item downloads historical quotes data for stocks listed on the Indonesia Stock Exchange (Bursa Efek Indonesia). It gets quotes from the exchange website (idx.co.id) by date and for all listed companies.
The 158 list of symbols contains ticker information about the companies.
The current downloader automatically adds new symbols in your...
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Downloader
Medium
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The Qualitative Quantitative Estimation indicator is calculated based on a combination of the smoothed relative strength index (Moving average of RSI) and the average true range (ATR is used as a volatility based trailing stop) indicators. The QQE or Qualitative Quantitative Estimation indicator is particularly useful for volatile assets (stocks,...
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Indicator
Advanced
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This is a modified version of the "GetDataString" function which gets a string/text from a custom database field.
The modified version allows you to get the last (non empty) string on any given trading bar.
As an example, let us say that you have a database whose name is "db" and a...
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Indicator
Medium
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The percentage of stocks trading above their pivot point is a breadth indicator that measures the overall market sentiment.
It calculates the total number of stocks trading above their tomorrow's pivot point level and divides that value by the number of stocks trading below their tomorrow's pivot point level.
The formula of...
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Composite
Medium
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Here is a modified version of the Triple Momentum Strategy described by Gerald Appel in his "Technical Analysis: Power Tools for Active Investors." book. Gerald Appel is also known for creating several trading indicators including the popular Moving Average Convergence Divergence (MACD).
The triple momentum indicator/level is simply the sum of...
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Trading System
Medium
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Detect 'excessive' recent up gap. A 'true' indication is returned when the close is above the previous high by a specified amount over the specifed recent number of bars.
The detection gap and the lookback period are parameters. In addition, the code can be treated as a 'stepping-off point' for making...
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Indicator
Basic
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From Van K. Tharps book "Trade your way to financial freedom"(chapter 14) with an addition of "number of positions". Total equity volatility is divided by this number to allow simultaneous positions. The script assumes it's dealing with stocks and is long only. Feel free to alter to suit your needs...
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Money Manag.
Medium
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This composite calculates the ratio of stocks trading above their upper Bollinger band to stocks trading below their lower Bollinger band.
The number of stocks trading above/below their upper/lower Bollinger band is computed by comparing the close price to the 20-bar "BbandsUpper"/"BbandsLower" function.
A value of 60 tells us that among stocks...
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Composite
Medium
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The Bursa Malaysia is a stock exchange based on Malaysia. It was formerly known as the Kuala Lumpur Stock Exchange, but in 2004, this exchange becomes a demutualised exchange and it was renamed to Bursa Malaysia. Bursa Malaysia is a fully integrated exchange; it offers trading, clearing, settlement and depository...
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Symbols
Medium
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Download news headlines from the smartmoney.com custom ticker-based news RSS feed.
Smartmoney website provides news for US stock companies from the following sources: PR Newswire, Business Wire, Down Jones Business News...
The news database name is 'news_smartmoney' and it consists of four columns where the first column contains the news date, the...
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Downloader
Medium
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Using historical data for the Long to Short position ratios, this composite item creates an index that calculates the average of the ratio of long positions to short positions of the Majors (Pairs of currencies that involve the U.S. Dollar).
The index is based on data downloaded by the following item:...
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Composite
Medium
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After adding this money management script to your trading system, you will be able to display the benchmark return in the simulation report table and the benchmark time-series in simulation graphs. This allows you to compare your strategy equity or rate of return against a benchmark such as a market...
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Money Manag.
Medium
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The money supply or stock, in economics, is the total amount of money available at a particular point in time. Money includes the currency in circulation as well as demand deposits. The variation or changes in the money supply has multiple effects on the economy, for example the price level...
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Downloader
Medium
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The CBOE DJIA BuyWrite Index and the CBOE NASDAQ-100 BuyWrite Index are benchmark indices that track the performance of an hypothetical buy-write strategy that buys stocks in the Dow Jones Industrial Average (CBOE DJIA BuyWrite Index) or in the NASDAQ 100 (CBOE NASDAQ-100 BuyWrite Index) and sells or writes DJX...
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Downloader
Medium
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Download end of day historical quotes for US Stocks from Quotemedia.
Downloaded quotes are automatically adjusted for splits and dividends.
Just select the start and end date then hit download, you can also let the downloader detect the last available quote data for each symbol and download the last quotes....
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Downloader
Medium
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Trend is friend and making an entry at low risk point in trending share minimizes the risk. Here is a watch list that filter for trending stocks and ensure that weekly trend is also up. I have used following equation to find the trending stock,being ROC is still a effective...
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Watch List
Medium
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This mask transforms one rule into 5 rules. It adds to your rules a volatility constraint.
Let's for example say that your rule is: close > sma(close, 20).
The mask will generate 5 rules from the above rule:
Rule 1: Original rule + security volatility must be lower than 10%. ...
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Rules Mask
Advanced
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The double top, double bottom, multiple top and multiple bottom are four chart patterns. These reversal patterns are generally formed after an uptrend for the double top and multiple top or a downtrend for the double bottom and multiple bottom.
As said previously, a double-top pattern occurs at the peaks after...
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Downloader
Medium
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A stock is outperforming an index over a specific period if its rate of return for this period is higher than the rate of return of the index.
A high percentage of stocks outperforming the S&P 500 index could be considered as a bullish indicator for the market. The higher the...
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Composite
Medium
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The Martin Pring's KST trading system is based on the KST (Know Sure Things) oscillator developed by Martin Pring. The idea of this oscillator is to make rate of change readings easier for traders to analyze.
In this trading system, the crossover of the KST oscillator with its smoothed version...
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Trading System
Medium
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This item allows you to create a Survivorship-bias-free historical database by downloading historical quotes for delisted US companies.
Delisted stocks are companies that are no longer available for trading. A stock can be delisted from an exchange for several reasons: It no longer meets the exchange requirements, it chooses to go...
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Downloader
Advanced
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"GetData" is the main function that allows you to access custom databases data. It lets you retrieve an item value, from an intraday or historical database, that occurred within the current bar.
Let us say we have a custom database that contains fundamental data. One field in this database is called...
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Indicator
Medium
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The ratio of Total Market Cap to US GDP is an economic indicator measure that tells us whether the stock market valuation is overvalued, undervalued or fairly valued. Warren Buffet once said that the percentage of total market cap to US GNP is the "best single measure" for stock market...
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Indicator
Medium
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Fidelity Select Funds
Sector funds typically invest in companies in a particular industry or market sector. Fidelity offers a suite of 40 Select Portfolios, the industry's largest lineup of actively managed sector and sub-sector funds. These funds are used by investors and traders to invest in a specific sector, or implement...
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Symbols
Basic
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This downloader gets splits announcements for U.S. stocks. It creates a custom database (splitsannounced) with the following fields:
Date: Ex-date or the date that the stock price is scheduled to adjust on the exchange
Ratio: The split ratio. Example: 5-4 or 1-2
Payable: The date the stock split will be paid. Example: Sep02
Announced:...
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Downloader
Medium
Private
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The Monthly Retail data, which is released by the U.S. Census Bureau, contains several time series on retail economic activity in the United States. The data is obtained by the Advance Monthly and Monthly Retail Trade Surveys (MARTS and MRTS).
This object downloads two time series from the MARTS, which are...
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Downloader
Medium
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This item downloads stock news data for the Hong Kong Stock Exchange. It gets data by symbol, for all Hong Kong listed stocks, from Yahoo news RSS feed and saves it in "yahoo_news" database.
News data can be plotted on charts and used to create trading rules and strategies.
To display...
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Downloader
Medium
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The Directional Trend Index, DTI, is a trading indicator that uses the high/low momentum to calculate the increasing momentum of the highs in an up market and the decreasing momentum of the lows in a down market.
The DTI slope tells you about the direction of the market or security price....
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Trading System
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 trading system implements the ConnorsRSI pullback system as described in the ConnorsRSI Pullbacks Guidebook.
A description of ConnorsRSI and the system description are available here:
http://info.tradingmarkets.com/ConnorsRSI_ConnorsRSI.html
...
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Trading System
Medium
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This is a small but IMHO helpful modification to the built in BarsSince indicator. The enhancement is the addition of a parameter, N, which allows you to choose which prior occurrence of a nonzero value in the Series that you are interested in. You may also provide a...
No notes
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Indicator
Medium
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