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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I have attempted to translate a trading system that is available on the web for free. I was not able to get a system togather that allows me to trade both long term and short term trading systems. Any help would be helpful. I am adding my...
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Trading System
Medium
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This screen looks for stocks that have the highest increase in price and volume over a period of 10 bars. It uses the composite function to calculate the percentile value of the close price increase (using the rate of change trading indicator) and the percentile value of the volume increase...
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Screen
Medium
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I had the QuantShare development team build this advanced money management (AMM) script to allow testing of several advanced rebalancing options triggered when a new buy signal is received but insufficient margin is available to take the new position.
When a new buy signal is received and insufficient margin is...
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Money Manag.
Advanced
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This function utilizes the historical analyst buy/sell recommendations, downloadable from yahoo by 641, to provide the previous numeric rating for a stock. Ratings provided by various firms to a standard numeric score between 5 and 1, where 5 is a strong buy and 1 is a strong sell. 0 is...
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Indicator
Medium
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With this trading system template, you will be able to test your strategy with different position sizing techniques quickly and effectively. By using this template to build your trading system then by clicking on the optimize button, QuantShare will backtest your strategy five times, each time using a different position...
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Trading System
Medium
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This item downloads historical EOD (end of day) quotes for companies listed in the ASX or the Australian securities exchange.
The data is downloaded from the following website: float.com.au. A small pre-script is applied to remove lines where the prices are set to zero. This happen sometimes with some tickers and...
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Downloader
Medium
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Investing in ETFs incurs some costs for the investors who besides commissions, spreads and other market related costs must also pay for the fund expenses which include portfolio management, administration and other various costs.
Depending on the exchange traded funds you are investing in, funds costs can greatly vary. Note that...
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Downloader
Medium
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This item downloads economic calendar data for several currencies. It creates the following ticker symbols (EUR, USD, JPY, GBP, CHF, AUD, CAD, CNY and NZD) and associate economic events to each one of them.
It also creates a custom database (economic_cal) with the following fields:
Date: The economic event's date and...
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Downloader
Advanced
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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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I have previously created and uploaded a downloader and a list of symbols for the London Stock Exchange.
As with the downloader that used Google to retrieve historical end-of-day data, this item uses Google to download news data feed for companies listed in the LSE (London Stock Exchange).
Downloader: 217
List of...
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Downloader
Medium
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NYSE Euronext website (www.euronext.com) provides investors with historical end-of-day data of stocks listed on the Euronext Amsterdam exchange. Euronext Amsterdam, previously known as the Amsterdam Stock Exchange - AEX, is said to be the oldest stock exchange in the world. The exchange is part of Euronext group which contains also...
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Downloader
Medium
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Historical EDO quotes for stocks listed on Euronext Lisbon, formerly known as the Lisbon Stock Exchange, are provided by Euronext. The data is available for download in the NYSE Euronext website. The download item requires a list of ticker symbols for Lisbon Stocks that contains the Euronext Code in the...
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Downloader
Medium
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Specifically developed to trade commodities, the CSI, Commodity Selection Index, is a technical analysis/momentum indicator developed by the popular trader Welles Wilder in his 1978's book "New Concepts in Technical Trading Systems". The indicator is intended to select futures contracts that will likely have the biggest moves for each dollar...
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Indicator
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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This system seeks to exploit a pattern where if the previous two days didn't have a gap up open from the previous close exceeding 0.2%, then there's an higher chance that the next overnight session will gap up.
The system buys the close and sells at the next open. It works...
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Trading System
Medium
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VIX is the ticker symbol for the Chicago Board Options Exchange Market Volatility Index, a popular measure of the implied volatility of S&P 500 index options. Often referred to as the fear index or the fear gauge, it represents one measure of the market's expectation of stock market volatility...
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Trading System
Medium
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This Forex indicator is almost the same as 554. It calculates the percentage of economic releases that are better than expected for a country. The difference is that this trading indicator doesn't take into account economic releases that have no forecast value.
Using the example provided here 554. This indicator will...
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Indicator
Medium
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The list contains stocks that are traded in Paris Stock Exchange.
Besides the symbols, are included in this list: industries, stocks' full name and some other details.
This list contains 765 symbols....
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Symbols
Medium
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The Price/Earnings to Growth ratio, also known as the PEG ratio, is a measure of valuation of a company. The PEG ratio was made popular by Peter Lynch and it provides an easy to way to find whether a company is fairly valued, overvalued or undervalued. A stock with a...
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Screen
Medium
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Insiders are individuals that have access to non-public information about a company; they are usually directors, key employees, large shareholders... Their activity (Buy and sell transactions), which is made available to the SEC within few days, is watched and followed by individuals and institutional investors.
A high selling volume made...
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Downloader
Medium
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The SIX Swiss Exchange offers the access to historical quotes data for Swiss companies on their website. The data are grouped by date and by type. It is available in CSV or ZIP format.
This item downloads the data that are stored under the Swiss Blue Chip Shares, Mid & Small...
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Downloader
Medium
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The Keltner Channel, KC, was developed by Chester W. Keltner and is a technical indicator that looks like the Simple Moving Average Envelopes or Bollinger Bands. It is constituted of two lines that adapt to changes in the security's volatility by using the ATR or average true range indicator.
There are...
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Indicator
Medium
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This is a bullish trading system using momentum and trend. The Rate of Change indicator is used for momentum. Exponential and Simple moving averages are used for trend. This system is still in development. However, for AAPL it works well....
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Trading System
Medium
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This List contains the 10 Industrials Indices of the French stock market (euronext) classified according the ICB classification.
They will be added in your database.
CAC OIL & GAS
CAC BASIC MATER.
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Symbols
Basic
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Unlike the 683, which gets daily picks only from all-Star Motley fool users, the number of outperform and underperform picks for U.S. Stocks downloaded by this item are obtained from all Motley fool users.
The number of daily picks is saved in a historical database called "ascaps".
The number of bullish...
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Downloader
Medium
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The 'BarsUpVolume' function calculates the number of successive increases in the volume (bars).
For example, if the bar n: 100, has a value of 2, this means that the volume were increasing for the last 2 bars. Volume of yesterday is higher than the Volume of the day before yesterday, and...
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Indicator
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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This downloader gets EOD data for several Forex pairs.
The data is downloaded for several years (+20 years).
Here is the list of Forex pairs that you can get with this item: ...
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Downloader
Medium
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The CBOE Options Issues Traded data contains the number of options issues traded on the Chicago Board of Exchange. This includes put and call options for all US equities. From January 2009 to present, the CBOE Options Issues Traded time series had a maximum value of 47,464, which occurred May...
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Downloader
Medium
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Unlike the majority of stock market risk and volatility measures (such as the Standard deviation), the Ulcer Index was designed, by Peter Martin in 1987, to calculate the volatility in the downward direction only. This technical analysis indicator (Ulcer Index) was first introduced in a 1989's book called "The Investors...
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Indicator
Medium
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Returns a sub- string from a larger string that contains comma separated string values, at the nth comma position (starting at 0)
ex1:
tickerList="IBM,AAPL,SPY,TLT";
strCommaExtract(tickerList,3) returns "TLT"
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Indicator
Basic
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Insiders' Blog stories are comments and analysis on various stocks and news.
Streetinsider.com is a financial website and a news analysis service. It gives an inside look at Wall Street by providing and distributing information once only available to the Wall Street elite.
This item downloads Insiders' Blog stories for US companies....
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Downloader
Medium
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V1.1
- Change to daily timeframe
- Change correlation based cash protection to SPY/TLT
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Trading System
Medium
Private
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This list contains the ticker symbols of stocks that trade in the Brazilian stock market, more precisely in the Sao Paulo stock exchange.
Sao Paulo stock exchange is the largest stock exchange in Brazil and the fourth in the American continent in terms of market capitalization.
According to Wikipedia there...
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Symbols
Medium
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This trading system analyzes the crossover of two exponential moving averages (period of 5 and 12) to generate buy and sell signals.
The strategy opens a buy position (market order at open of tomorrow) when the 12-bar moving average crosses above the 5-bar moving average and only if the same crossover...
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Trading System
Medium
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Unlike most EOD data downloaders for the U.S. Market, which get data by ticker symbol, this trading object gets historical data by date. It downloads end of day data for all U.S. Stocks (More than 7000 stocks from the New York Stock Exchange, American Stock Exchange and NASDAQ) and for...
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Downloader
Medium
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This function automatically draws lines for non-closed gaps; - both gap down and gap up. It takes one parameter named "LookingBack" that indicates the numbers of bars to backward scan, e.g. 100 means that the function scans 100 bars backward from last bar. If the parameters is set to zero,...
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Indicator
Medium
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VolDex (symbol: VOLI) is a new index that measures the real-time implied volatility of the SPY (SPDR 500 ETF) by using only at-the-money SPY options (unlike the VIX, developed by CBOE, who uses all SPY options in its calculation).
The index calculates the implied volatility of at-the-money SPY put options of...
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Downloader
Basic
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