We have added several new indicators and snippets to the sharing server in recent months. In today’s blog post, we’ll briefly go through each of them.

Z – Score

Zスコアは、選択されたデータ系列の現在分析されている値を平均値と比較して測定します。つまり、平均値から標準偏差のいくつ分離れているかを示します。このようにして、Zスコアは簡単に解釈することができます：

If the Z-Score is 0, it means that the value of the data point is equal to the mean. If the Z-Score is 1.0, it means that the value is one standard deviation above the mean. If the Z-Score is -1.0, it means that the value is one standard deviation below the mean.

インジケーターには1本の線があります：

1. Zスコア

Zスコア  2つの設定可能なパラメータがあります：

• 適用価格 インジケーターの計算に使用される価格の種類

• ピリオド – 修正移動平均線の算出に使用される期間の数を指します。.

 インジケーターは以下のプラットフォームに対応しています：MT4/MT5/Tradestation/ Multicharts。.

インジケーターと条件をダウンロードできます ここ.

カウフマン移動平均線 OHLC (KAMA OHLC)

This modification of the KAMA indicator allows you to select the type of prices from which the indicator is calculated. Kaufman Moving Average ( KAMA ) is a type of moving average which accounts not only for price trend but also for market volatility. It closely follows price when noise is low and smooths out the noise when the price fluctuates. Like all moving averages, the KAMA can be used to visualize the trend. If price crosses KAMA it indicates a directional change. Price can also bounce off the KAMA, which can act as dynamic support and resistance. 

KAMA OHLC calculation is a bit complicated and but you can find more information  Here

KAMA OHLC  has four configurable parameters:

• 適用価格 インジケーターの計算に使用される価格の種類
• ER period – Number of bars used for calculation of Efficiency Ratio
• Short Period – Number of bars used for calculation of fast EMA  (FC)
• Long period –  Number of bars used for calculation of slow EMA (SC)

インジケーターの対応プラットフォーム：MT4 / MT5 / TradeStation / MultiCharts

インジケーターをダウンロードできます ここ.

Slope Direction Line – SDL

The Slope Direction Line indicator is a technical analysis tool that helps traders identify the direction and strength of a trend in a financial market. It is a simple indicator that plots a line on a chart based on the slope of a weighted moving average. The slope of the line can be used to determine whether a market is trending up, down, or sideways, and the strength of the trend can be determined by the angle of the line. The Slope Direction Line indicator can be used in conjunction with other technical indicators, such as oscillators and volume, to confirm trend direction and strength and make more informed trading decisions.

The indicator has four parameters:

• ピリオド – 修正移動平均線の算出に使用される期間の数を指します。.

• MA method – refers to the type of modified moving average line used.

• Computed From – refers to the source of the price data on each bar

インジケーターには1本の線があります：

1. SDL

インジケーターをダウンロードできます ここ.

Donchian Channels – DCH

その ドンチャン・チャネル マーケットトレードで使用される指標で、開発されたのは リチャード・ドンチャン. 直近の最高値と最安値を取ることで形成されます。 n 期間。高値と安値の間にある領域が、選択された期間のチャネルとなります。.

ドンチャン・チャネルは、 ボラティリティ 市場価格の。価格が安定している場合、ドンチャン・チャネルは比較的狭くなります。価格が大きく変動する場合、ドンチャン・チャネルは広くなります。しかし、その主な用途は、シグナルを提供することです。 長い そして 短い ポジション。ある証券がその最高値を超えて取引されている場合 n 期間が高値となり、その後ロングポジションが構築される。最安値を下回って推移した場合 n ピリオドが安値をつけ、その後ショートが構築される。.

https://ja.wikipedia.org/wiki/

インジケーターには2つのパラメータがあります：

1. 計算済み From – 各バーの価格データのソースを指します
2. ピリオド – インジケーターの計算に使用される期間の数を表します 

インジケーターには3つのラインがあります：

1. アッパーバンド
2. ミドルバンド
3. 下限バンド

インジケーターの対応プラットフォーム：MT4 / MT5 / TradeStation / MultiCharts

インジケーターをダウンロードできます ここ.

ティモシー・マスターズ 内部 Proフィット・ファクター

When evaluating the success of a trading strategy, a strategy developer can use a large number of strategy metrics. One of them is the profit factor. Profit Factor may be defined as:

The profit factor is defined as the gross profit divided by the gross loss (including commissions) for the entire trading period. This performance metric refers to the amount of profit per unit of risk, with values greater than one indicating a profitable system.2 For example, the strategy performance report shown in Figure 1 indicates that the trading system tested has a profit factor of 1.98.

This is calculated by dividing the gross profit by the gross loss:

$149,020 ÷ $75,215 = 1.98

ソース https://www.investopedia.com

It is a simple, robust, and standardized metric. In the book Statistical Sound Indicators For Financial Market Prediction, author Timothy Masters has developed a new method for calculating the profit factor. Let me quote directly from his book

Suppose that a position is taken and maintained for five bars. And the following sequence of individual bar return is obtained : +1 +3 -2 -2 +1 . Then we have string of returns Then we have one more sting of returns from a position  taken and maintained later: +2,-,,+1. Recall that the profit factor is feined  as the sum of winds divided by the sum of losses.  With my method we have (+1,+3,+1,+2,1)/(2+2,+3) = 8/7 = 1,14 This is worthlessly  small profit factor ,  which is not at all surprising since the net gain +1. But if you were  the to pool each of those two contiguous positions, there would be two trades with a profit factor of 1/0 or infinite and  seriously unstable overestimate of  true probability of the system.

 Master s Profit factor is calculated as the log of open price of the current bar minus of  the log open price of the previous bar.

This snippet can be calculated thanks to the newly added ability to work with historical data in the upcoming version 136.  When calculating the strategy metrics, we work with the orderlist class which stores the values of the given trades. Until now we didn’t have access to time series data before/during the  trades, but thanks to the History Class loader we have.

You can find more information about this method in our blog post ここ

 This method does not work for protected data ( futures and stocks ) from Barchart. It is important to note that working with data snippets is slower because the HistoryClass loading class is not so fast.

You can download the databank snippet ここ.

Databank columns – Additional Markets Strategy Metrics Average Values 

83 Strategy metrics that calculate the average value of a given metric for all additional markets tested in the additional markets cross-check. Thanks to these snippets it is possible to better evaluate the performance of a strategy in different markets and can therefore be used to evaluate the robustness of a strategy. 

More about Crosschecks in StrategyQuantX you can find ここ.

You can download databank columns snippets here

What If : Only Short Trades /What If : Only Short Trades

This what-if snippet allows you to simulate trading a strategy only with only Long or Only Short trades. More about What if simulations you can find ここ.

You can download What If – Only Short  snippet here

You can download What If – Only Long  snippet here

We will add new conditions based on new indicators when StrategyQuantX 137 will be released around the end of January.

You can easily do your conditions for new indicator in Custom blocks. More information you can find here:

• https://strategyquant.com/doc/strategyquant/custom-blocks/
• https://strategyquant.com/doc-category/strategy-templates-custom-blocks/
• https://www.youtube.com/watch?v=CGkn5kh_etc

SQXにカスタムインジケーターをインポートする方法： 

• https://strategyquant.com/doc/programming-for-sq/import-export-custom-indicators-and-other-snippets/