Screener for Reversion Strategy

franciscojbritop · 2019-10-08T01:34:23+00:00

Hi Nicolas, I require your support to see if a screener can be build with the following parameters: Stocks in Russell 1000 Index. Stocks must be above 200-day Simple Moving Average. Close is greater than moving average (“data” = CLOSE, “Length”=200). 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. Stocks makes the lowest close over the last 10 days. Close is less than or equal to lowest (“data” = CLOSE, “Length”=10). 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

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

Legend
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

Legend

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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