Things You Need to Know About VWAP

In finance terms, volume-weighted average price (VWAP) is defined as the ratio of the value traded to total volume traded over a particular time horizon (usually one day). It is a measure of the average price at which a stock is traded over the trading horizon.

Rotation Factor – Amibroker AFL Code

Rotation Factor is a sentimental indicator used in Market Profile to Indicate who is control (Buyers/Sellers) in the market for the day. If the rotational factor prints positive values every day then it mean buyers are in control in the market. Negative Values indicates sellers are in control. Same principle can be applied to investing as well.

How to Compute Cointegration using Amibroker and Python

Cointegration is used in Statistical Arbitrage to find best Pair of Stocks (Pair Trading) to go long in one stock and short(Competitive peers) another to generate returns. Statistical Arbitrage(StatArb) is all about mean reversion, looking for deviation in the spreads and expecting mean reversion from the spread.

Code Snippet – Normalized Volume

Studying the Volume behaviour in a stock and index futures plays a critical role in studying the supply and demand behavior. What if we want to rate the volume with relative to last 50-bars. In such a scenario Normalized Volume Comes into picture. Normalized volume is a volume divided by its average.

Equity Returns after Extreme VIX and William VIX FIX Readings

Was just going thro QUSMA blog on Equity Returns Following Extreme VIX and William VIX FIX Movements. And couple of peoples are throwing ideas on implementing the strategy with percentile rank function. The same discussion also happening in Quantopian Community which inspired me to code the strategy for Nifty Futures

Autocorrelation and Stochastic Mean Reversion Trading

Here is a simple mean reversion trading strategy using Autocorrelation and Stochastic osciallator crossover. In the last article we seen about autocorrelation that negative correlation attracts mean reversion trading and positive correlation attracts trend trading. so the whole idea of the trading system is not to take all the stochastic crossover signals. But only the long only positive crossover signals when the autocorrelation is negative.

Codesnippet : Autocorrelation Amibroker AFL and Pinescript Code

“Autocorrelation, also known as serial correlation, is the cross-correlation of a signal with itself. Informally, it is the similarity between observations as a function of the time lag between them” – Wikipedia. Autocorrelation value ranges between +1 to -1. Where autocorrelation above zero indicates positive correlation and negative value indicates negative correlation.

How to do Portfolio Backtesting in Amibroker

Portfolio Trading (Trading with Multiple Stocks/Instruments) is the next big step in a traders life once he understand that he want to reduce the volatility in his trading strategy. And Amibroker comes handly when comes to portfolio back-testing. And this tutorial explains how to do portfolio back-testing step by step.

N Bar High-Low Dots – Amibroker AFL code

Here is a simple strategy that alerts by plotting dots over the candle whenever a new N bar high-low is made. The below chart shows Nifty future EOD charts and the Yellow dots in this example represents new 20 day high’s are made and the orange dots represents new 20 day lows are made. It provides a better visualization in your charts to identify the new high-low and the ongoing sentiment in the market.

William VIX FIX Indicator – Amibroker AFL Code

We know that VIX most of the time reflects the investor/traders sentiment. When VIX is higher it means lot of fear in the market and lower VIX indicates lack of fear in the market. The problem is the sentiment can be measured only Indices like Nifty as the Volatility Index VIX is derived from implied volatility of Options. In such a case VIX FIX comes handy to replicate the VIX behaviour in other instruments like Commodities, Forex, Stocks.