</> Codebase

Relative Vigor Index - RVI

Rate Of Change - ROC

Snippets designed for better evaluation of WFO process. Idea behind this you can find in this series: Algorithmic Backtesting & Optimization for Alphas     I will add blog post

Databank snippets described here: https://strategyquant.com/blog/how-to-categorize-your-strategies-by-entry-type-quickly-and-efficiently/       How to import custom indicators to SQX: https://strategyquant.com/doc/programming-for-sq/import-export-custom-indicators-and-other-snippets/  

AnnualPercReturnAvgDDPerRatio AvgWinPerc AvgWinPercAvgDDPerRatio NetProfitAvgDDRatio PercARAvgDDRatio

Both snippets are described in this blog post: https://strategyquant.com/blog/evaluating-the-trading-performance-of-strategies/      

Here is a Multiple Orders at Market snippets. It will send multiple orders at once with a different magic number.

The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative portfolio returns—downside deviation—instead of the total standard deviation of portfolio returns. The Sortino ratio takes an asset or portfolio's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino. Source: https://www.investopedia.com/ CREDIT: Acerbi

Double Smoothed Stochastics – DSS Bressert is an oscillator introduced by William Blau and Walter Bressert shortly after each other in two slightly different versions. The calculation of DSS Bressert values is similar to the stochastic indicator. The difference is the use of double exponential smoothing. The advantages over the classic stochastic oscillators are the fast response to price changes in a still very smooth pattern. In addition, the extreme zones at the other end of the scale are reached quite frequently, even in strong trends, resulting in many trend conforming signals. Double Smoothed Stochastics – DSS The Bressert values are the same as the stochastics – values above 80 indicate an overbought condition of the market, values below 20 indicate an oversold condition of the market.

Together with our worldwide community of traders, there is a growing group of programmers who are extending StrategyQuant with custom snippets and indicators. We would like to support your effort,