An ETF is an investment fund and it is traded like stocks on stock exchanges. An ETF is an investment tool that allows traders to easily profit from market exposure and diversification. In fact, the ETF provides the diversification many traders and investors need but cannot afford (usually because of...
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Downloader
Medium
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The TFS MBO indicator is the last component of Bryan Strain's Tend Following System. Similarly to the MACD oscillator, it calculates the difference between two averages - fast and slow. TFS MBO is consequently an oscillator based on the close price whose variation is used to confirm the market tendency.
This...
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Indicator
Medium
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The Volume Accumulation Oscillator (VAO) is a trading indicator developed by Marc Chaikin, who has also developed the 162 and 175 technical indicators.
The Volume Accumulation Oscillator, which is also called Chaikin Volume Accumulation and sometimes Accumulation/Distribution Indicator, is used in technical analysis to identify strengths and weaknesses in a market....
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Indicator
Medium
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Index investment activity on the commodity markets is compiled then released by the Commodity Futures Trading Commission. Certain Swap dealers and index traders must file monthly reports with the CFTC just after the end of each month. For more information please visit the below link.
The index investment data contains the...
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Downloader
Medium
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The trading system is composed of two trading rules. The first one is triggered when a stock share price closes below its 20-Bar Bollinger Lower Band. The second one is a market-timing rule that prevents the trading system from entering new orders when the market is declining. A market decline...
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Trading System
Medium
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Using this money management script, you can simulate the effect of withdrawing a fixed amount of money, every month, from your portfolio.
The script allows you to enter the fixed amount to withdraw and to determine whether to withdraw money on each month or only on months that show positive returns...
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Money Manag.
Medium
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Swedish 3-Month Treasury Bill - Historical data (1983-01-03 - today).
A Treasury Bill is a short-term debt instrument issued by the Swedish National Debt Office. The duration is usually up to one year. Treasury Bills are used to finance the government's short-term borrowing requirement. The 3M T-bill can be used together...
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Downloader
Basic
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AMM model for Butler Adaptive Asset Allocation paper:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2328254
"The paper addresses flaws in the traditional application of Modern Portfolio Theory related to Strategic Asset Allocation. Estimates of parameters for portfolio optimization based on long-term observed average values are shown to be inferior to alternative estimates based on observations over much shorter...
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Trading System
Medium
Private
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This Generic Trading System Template can be used as a starting point for your own trading system developments. It includes all the simulator settings that can be parameterized as well as examples for ranking, optimization, stop-setting, entry/exit rules and limits.
The template is grouped into settings that are likely to get...
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Trading System
Medium
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The next chart display different treasury yield curves for different maturities:
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Indicator
Advanced
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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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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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Inventory to Sales Ratio or I/S ratio is the ratio of companies' inventory to companies' sales. It measures the percentage of inventory companies, operating in the United States, have on hand to support their current amount of sales. This economic indicator is released in the Monthly Wholesale Trade Report, which...
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Downloader
Medium
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Unlike the futures historical downloader that I have shared some weeks ago (226), this item downloads non-continuous daily futures series, which means that it downloads each future contract separately. A continuous contract, the Crude oil for example which has 'CL' as symbol, will have a unique time-series. This time-series is...
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Downloader
Advanced
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Investopedia defines oversold as
1. A condition in which the price of an underlying asset has fallen sharply, and to a level below which its true value resides. This condition is usually a result of market overreaction or panic selling.
2. A situation in technical analysis where the price of an asset...
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Watch List
Medium
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List of all inactive stocks, those who were delisted from US exchanges.
This list includes stocks that gone bankrupt or were delisted for any other reason.
4777 symbols are listed.
This list can be very useful to build a database that doesn't contain a survivorship bias. ...
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Symbols
Medium
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The least squares regression line is a line in the form of "y = a + b * x" that best fits a data set (time series).
The least squares regression is the most used modeling technique. It is mainly used to predict the future value of the analyzed time series.
Example: ...
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Indicator
Advanced
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The 'calcB' function is used by the standard error bands function to calculate the beta linear regression coefficient. It is multiplied by the sum of the close price over the calculation period multiplied by the current bar and then subtracted from the sum of the square of the close price...
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Indicator
Medium
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Implicit volatility is a measure of the expected volatility of a security.
Unlike the historical volatility that is directly calculated from previous bars (the standard deviation measure is generally used); the implicit volatility doesn't look into past bars and is calculated using the Black-Scholes option pricing model.
The VIX index is...
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Rules
Medium
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The Trading Indicator Rank function calculates the rank of a given trading indicator or time series compared to its previous values. The number of previous values is determined by the lookback period parameter of the function.
Trading Indicator Rank values vary between 1 and the provided period, where a number of...
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Indicator
Medium
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This RTS indices item downloads historical EOD quotes for ten indices maintained by the Russian Trading System Exchange.
Indices ticker symbols can be found here 441.
The data is downloaded from the RTS RU (Russian Trading System) website.
List of indices: ...
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Downloader
Medium
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This is certainly a unique indicator/composite index. It combines the data of two popular and commonly used technical analysis patterns to create an index that tells whether the bullish pattern or the bearish pattern is dominating the market.
These technical analysis patterns are the Head and Shoulders and the Head and...
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Composite
Medium
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Applying the linear regression to the 2-Bar Relative strength index series creates an oscillator whose values vary between 0 and 100. The oscillator reaches low values after a decline in the underlying stock and reaches high values after a fast increase.
Linear regression analysis is used to analyze the relationship between...
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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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A.K.A. Very Long Term (VLT) Momentum indicator (using monthly timeframes)
Named for Edwin Sedgewick Coppock - this indicator was developed as a way to find the upturns from major stock market bottoms.
He based his settings on how long it takes a person to grieve, and to get over the...
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Indicator
Basic
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The Laguerre RSI Indicator is a modification of the well-known relative strength indicator or RSI.
John F. Ehlers, the famous trader who created the Laguerre RSI, tried to avoid whipsaws (noise) and lag produced by smoothing technical indicators by applying a filter and some changes to the original relative strength indicator.
The...
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Indicator
Medium
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The sales, growth and estimates object downloads financial data for all stocks trading on US exchanges - NYSE, NASDAQ, AMEX, and OTCBB.
The object gets four fundamental items:
Sales Growth F0/F-1: This is the percentage growth in annual sales. It is computed by taking the difference between sales of the last...
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Downloader
Medium
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This function calculates the number of days until a contract expires. It works with all symbols that have a date in the 'Expiration Date' field. I am using it with these US options symbols (306, 307).
The function takes no arguments and it just uses the date it finds in the...
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Indicator
Medium
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List of symbols of stocks that trade in the "Bourse de Buenos Aires".
This list contains 74 symbols. Stock descriptions are also included.
The end of fiscal year month specified in the Expiration Date field.
Name1 contains the yahoo compatible symbol....
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Symbols
Medium
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The Wilder Volatility Index Trading System is a strategy introduced and developed by J. Welles Wilder in the "New Concepts in Technical Trading Systems" book.
The trading strategy is a long/short system that buys a stock or a security when a bull/long signal is generated, then exits and shorts the security...
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Trading System
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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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 Stock News item gets articles that are about US stocks from the Stockblotter website. It downloads and parses an RSS feed for each ticker symbol and then updates and inserts the data in a new database whose name is "stockblotter_news". The database contains the following fields:
Title: The article title....
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Downloader
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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As with the 463 item, this downloader gets historical end-of-day data for several markets from Yahoo finance website.
In addition to that, it will also create a custom database "adjust" and store in that database, the adjustment ratio as well as the unadjusted close.
The adjustment ratio will be stored under the...
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Downloader
Medium
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This item downloads the Industrial Production Index historical data from the Board of Governors of the Federal Reserve System. The Industrial Production Index or IPI is an economic indicator. It is available in the G.17 Industrial Production and Capacity Utilization Release. It measures the production output in the U.S. industrial...
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Downloader
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 thicken candlestick bars based on a specific rule.
Let us say for example, you want to thicken candlesticks when the price is above the 30-bar moving average. For this, you just have to type the following line in your chart formula:
a = Thicken(close > sma(30),...
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Indicator
Medium
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If you have two trading strategies and would like to measure the performance and profit of a trading system that combine these two strategies then this money management script can help you achieve this.
Each strategy, whether it is applied to stocks, FOREX, futures or options, is given an initial equity...
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Money Manag.
Advanced
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