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Algotrading

Z-Score Strategy Backtest The author of this indicator is Veronique Valcu. The z-score (z) for a data item x measures the distance (in standard deviations StdDev) and direction of the item from its mean (U): z = (x-StdDev) / U A value of zero indicates that the data item x is equal to the mean U, while positive or negative values show that the data item is above (x>U) or below (x Values of +2 and -2 show that the data item is two standard deviations above or below the chosen mean, respectively, and over 95.5% of all data items are contained within these two horizontal references (see Figure 1). We substitute x with the closing price C, the mean U with simple moving average (SMA) of n periods (n), and StdDev with the standard deviation of closing prices for n periods, the above formula becomes: Z_score = (C - SMA(n)) / StdDev(C,n) The z-score indicator is not new, but its use can be seen as a supplement to Bollinger bands. It offers a simple way to assess the position of the price vis-a-vis its resistance and support levels expressed by the Bollinger Bands. In addition, crossings of z-score averages may signal the start or the end of a tradable trend. Traders may take a step further and look for stronger signals by identifying common crossing points of z-score, its average, and average of average. You can change long to short in the Input Settings Please, use it only for learning or paper trading. Do not for real trading.
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Strategy Stochastic Crossover Backtest This back testing strategy generates a long trade at the Open of the following bar when the %K line crosses below the %D line and both are above the Overbought level. It generates a short trade at the Open of the following bar when the %K line crosses above the %D line and both values are below the Oversold level. You can change long to short in the Input Settings Please, use it only for learning or paper trading. Do not for real trading.
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4
Strategy RSI Backtest The RSI is a very popular indicator that follows price activity. It calculates an average of the positive net changes, and an average of the negative net changes in the most recent bars, and it determines the ratio between these averages. The result is expressed as a number between 0 and 100. Commonly it is said that if the RSI has a low value, for example 30 or under, the symbol is oversold. And if the RSI has a high value, 70 for example, the symbol is overbought. You can change long to short in the Input Settings Please, use it only for learning or paper trading. Do not for real trading.
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Bill Williams. Awesome Oscillator (AO) Backtest This indicator is based on Bill Williams` recommendations from his book "New Trading Dimensions". We recommend this book to you as most useful reading. The wisdom, technical expertise, and skillful teaching style of Williams make it a truly revolutionary-level source. A must-have new book for stock and commodity traders. The 1st 2 chapters are somewhat of ramble where the author describes the "metaphysics" of trading. Still some good ideas are offered. The book references chaos theory, and leaves it up to the reader to believe whether "supercomputers" were used in formulating the various trading methods (the author wants to come across as an applied mathemetician, but he sure looks like a stock trader). There isn't any obvious connection with Chaos Theory - despite of the weak link between the title and content, the trading methodologies do work. Most readers think the author's systems to be a perfect filter and trigger for a short term trading system. He states a goal of 10%/month, but when these filters & axioms are correctly combined with a good momentum system, much more is a probable result. There's better written & more informative books out there for less money, but this author does have the "Holy Grail" of stock trading. A set of filters, axioms, and methods which are the "missing link" for any trading system which is based upon conventional indicators. This indicator plots the oscillator as a histogram where periods fit for buying are marked as blue, and periods fit for selling as red. If the current value of AC (Awesome Oscillator) is over the previous, the period is deemed fit for buying and the indicator is marked blue. If the AC values is not over the previous, the period is deemed fir for selling and the indicator is marked red. You can change long to short in the Input Settings Please, use it only for learning or paper trading. Do not for real trading.
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Bill Williams. Awesome Oscillator (AC) Backtest This indicator plots the oscillator as a histogram where blue denotes periods suited for buying and red . for selling. If the current value of AO (Awesome Oscillator) is above previous, the period is considered suited for buying and the period is marked blue. If the AO value is not above previous, the period is considered suited for selling and the indicator marks it as red. You can change long to short in the Input Settings Please, use it only for learning or paper trading. Do not for real trading.
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Historical Volatility Strategy Backtest Strategy buy when HVol above BuyBand and close position when HVol below CloseBand. Markets oscillate from periods of low volatility to high volatility and back. The author`s research indicates that after periods of extremely low volatility, volatility tends to increase and price may move sharply. This increase in volatility tends to correlate with the beginning of short- to intermediate-term moves in price. They have found that we can identify which markets are about to make such a move by measuring the historical volatility and the application of pattern recognition. The indicator is calculating as the standard deviation of day-to-day logarithmic closing price changes expressed as an annualized percentage. Please, use it only for learning or paper trading. Do not for real trading.
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2
Fisher Transform Indicator by Ehlers Backtest v 2.0 Market prices do not have a Gaussian probability density function as many traders think. Their probability curve is not bell-shaped. But trader can create a nearly Gaussian PDF for prices by normalizing them or creating a normalized indicator such as the relative strength index and applying the Fisher transform. Such a transformed output creates the peak swings as relatively rare events. Fisher transform formula is: y = 0.5 * ln ((1+x)/(1-x)) The sharp turning points of these peak swings clearly and unambiguously identify price reversals in a timely manner. For signal used zero. You can change long to short in the Input Settings Please, use it only for learning or paper trading. Do not for real trading.
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4
Fisher Transform Indicator by Ehlers Backtest Market prices do not have a Gaussian probability density function as many traders think. Their probability curve is not bell-shaped. But trader can create a nearly Gaussian PDF for prices by normalizing them or creating a normalized indicator such as the relative strength index and applying the Fisher transform. Such a transformed output creates the peak swings as relatively rare events. Fisher transform formula is: y = 0.5 * ln ((1+x)/(1-x)) The sharp turning points of these peak swings clearly and unambiguously identify price reversals in a timely manner. You can change long to short in the Input Settings Please, use it only for learning or paper trading. Do not for real trading.
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Ergotic TSI Strategy Backtest r - Length of first EMA smoothing of 1 day momentum 4 s - Length of second EMA smoothing of 1 day smoothing 8 u- Length of third EMA smoothing of 1 day momentum 6 Length of EMA signal line 3 Source of Ergotic TSI Close This is one of the techniques described by William Blau in his book "Momentum, Direction and Divergence" (1995). If you like to learn more, we advise you to read this book. His book focuses on three key aspects of trading: momentum, direction and divergence. Blau, who was an electrical engineer before becoming a trader, thoroughly examines the relationship between price and momentum in step-by-step examples. From this grounding, he then looks at the deficiencies in other oscillators and introduces some innovative techniques, including a fresh twist on Stochastics. On directional issues, he analyzes the intricacies of ADX and offers a unique approach to help define trending and non-trending periods. You can use in the xPrice any series: Open, High, Low, Close, HL2, HLC3, OHLC4 and ect... You can change long to short in the Input Settings Please, use it only for learning or paper trading. Do not for real trading.
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Ergotic MDI (Mean Deviation Indicator) Bactest This is one of the techniques described by William Blau in his book "Momentum, Direction and Divergence" (1995). If you like to learn more, we advise you to read this book. His book focuses on three key aspects of trading: momentum, direction and divergence. Blau, who was an electrical engineer before becoming a trader, thoroughly examines the relationship between price and momentum in step-by-step examples. From this grounding, he then looks at the deficiencies in other oscillators and introduces some innovative techniques, including a fresh twist on Stochastics. On directional issues, he analyzes the intricacies of ADX and offers a unique approach to help define trending and non-trending periods. You can change long to short in the Input Settings Please, use it only for learning or paper trading. Do not for real trading.
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Ergotic MACD Strategy Backtest This is one of the techniques described by William Blau in his book "Momentum, Direction and Divergence" (1995). If you like to learn more, we advise you to read this book. His book focuses on three key aspects of trading: momentum, direction and divergence. Blau, who was an electrical engineer before becoming a trader, thoroughly examines the relationship between price and momentum in step-by-step examples. From this grounding, he then looks at the deficiencies in other oscillators and introduces some innovative techniques, including a fresh twist on Stochastics. On directional issues, he analyzes the intricacies of ADX and offers a unique approach to help define trending and non-trending periods. Blau`s indicator is like usual MACD, but it plots opposite of meaningof stndard MACD indicator. You can change long to short in the Input Settings Please, use it only for learning or paper trading. Do not for real trading.
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Elder Ray (Bull Power) Strategy Backtest Developed by Dr Alexander Elder, the Elder-ray indicator measures buying and selling pressure in the market. The Elder-ray is often used as part of the Triple Screen trading system but may also be used on its own. Dr Elder uses a 13-day exponential moving average (EMA) to indicate the market consensus of value. Bull Power measures the ability of buyers to drive prices above the consensus of value. Bear Power reflects the ability of sellers to drive prices below the average consensus of value. Bull Power is calculated by subtracting the 13-day EMA from the day's High. Bear power subtracts the 13-day EMA from the day's Low. You can use in the xPrice any series: Open, High, Low, Close, HL2, HLC3, OHLC4 and ect... You can change long to short in the Input Settings Please, use it only for learning or paper trading. Do not for real trading.
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Elder Ray (Bear Power) Strategy Backtest Developed by Dr Alexander Elder, the Elder-ray indicator measures buying and selling pressure in the market. The Elder-ray is often used as part of the Triple Screen trading system but may also be used on its own. Dr Elder uses a 13-day exponential moving average (EMA) to indicate the market consensus of value. Bear Power measures the ability of sellers to drive prices below the consensus of value. Bear Power reflects the ability of sellers to drive prices below the average consensus of value. Bull Power is calculated by subtracting the 13-day EMA from the day's High. Bear power subtracts the 13-day EMA from the day's Low. You can use in the xPrice any series: Open, High, Low, Close, HL2, HLC3, OHLC4 and ect... You can change long to short in the Input Settings Please, use it only for learning or paper trading. Do not for real trading.
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