Screener for Reversion Strategy

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  • 10/08/2019 at 2:34 AM #109565 quote
    franciscojbritop
    Participant
    New

    Hi Nicolas, I require your support to see if a screener can be build with the following parameters:

    1. Stocks in Russell 1000 Index.
    2. Stocks must be above 200-day Simple Moving Average. Close is greater than moving average (“data” = CLOSE, “Length”=200).
    3. Stocks must have a 52-week breakout over the last 60 days. High crosses above highest (“data” = HIGH, “length” = 260) from 1 bars ago to 60 bars.
    4. Stocks makes the lowest close over the last 10 days. Close is less than or equal to lowest (“data” = CLOSE, “Length”=10).
    5. Rank stocks using ROC (100 days) indicator, from high to low. ROC: Rate of change indicator over 100 days.

    Do you think this is enough information to build it?

    Many thanks in advance and I really appreciate all your help.

    Francisco Brito

    10/08/2019 at 10:21 AM #109594 quote
    Nicolas
    Keymaster
    Master

    Yes that’s more than enough to code this stock reversion screener, here is the code: (please make  some tests and give feedback here!)

    timeframe(weekly)
//Stocks must have a 52-week breakout over the last 60 days. High crosses above highest ("data" = HIGH, "length" = 260) from 1 bars ago to 60 bars.
c0 = summation[60](high crosses over highest[52](high)[1])>0

timeframe(daily)
//Stocks must be above 200-day Simple Moving Average. Close is greater than moving average ("data" = CLOSE, "Length"=200).
c1 = close>average[200](close)

//Stocks makes the lowest close over the last 10 days. Close is less than or equal to lowest ("data" = CLOSE, "Length"=10).
c2 = close<=lowest[10](close)

//Rank stocks using ROC (100 days) indicator, from high to low. ROC: Rate of change indicator over 100 days.
iroc = roc[100]

screener[c0 and c1 and c2](iroc)
    10/08/2019 at 10:18 PM #109659 quote
    franciscojbritop
    Participant
    New

    Hi Nicolas, the screener worked perfectly, however, one small downside is that I could not find the Index Russell 1000 in the predifined list of the US Market, just Nasdaq and NYSE. Do you know if that can be changed or if a especific index can be added to that list?

    Many thanks for your quick and excellent support!!!! I am very happy with the screener!!

    Regards,

    Francisco Brito

    10/09/2019 at 8:19 AM #109677 quote
    Nicolas
    Keymaster
    Master

    You can’t add instrument into predefined list. But you can build your own by adding stocks, index, etc. one by one.

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Screener for Reversion Strategy


ProScreener: Market Scanners & Detection

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franciscojbritop @franciscojbritop Participant
Summary

This topic contains 3 replies,
has 2 voices, and was last updated by Nicolas
6 years, 5 months ago.

Topic Details
Forum: ProScreener: Market Scanners & Detection
Language: English
Started: 10/08/2019
Status: Active
Attachments: No files
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