Screener for Reversion Strategy

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

  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

  

  franciscojbritop

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  10/08/2019 at 10:21 AM #109594
  Nicolas

  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)

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  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)

   

  

  Nicolas

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  10/08/2019 at 10:18 PM #109659
  franciscojbritop

  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

  

  franciscojbritop

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

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

  

  Nicolas

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