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marco

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Enhancements to TA functions Reply to this Post  Reply with Quote 

The following series can now be accessed in selected TA functions in the buy/sell/screening rules:

#TNX - 10Y Treasury Note
#SPRP - SP500 Risk Premium
#SPEPSCY - SP500 EPS CurrentY
#SPYield - SP500 Yield
#Bench - The benchmark

The #TNX and #Bench series are daily, the rest weekly

They are available in the following TA functions (they operate on the close of the stock, unless the new optional parameter is specified):

Close(offset,series) - stock and all series
Hi(offset,series) - stock, #Bench and #TNX
Lo(offset,series) - stock , #Bench and #TNX
Open(offset,series) - stock , #Bench and #TNX

RSI(bars [,offset,series]) - stock and all series
SMA(bars [,offset,series]) - stock and all series
EMA(bars [,offset,series]) - stock and all series
WMA(bars [,offset,series]) - stock and all series
VMA(bars [,offset]) - stock series only

Usage example

To check that the RiskPremium is above it's 5 bar average (weekly values in this case) , enter:

Close(0,#SPRP) > SMA(5,0,#SPRP)
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Edit 2 times, last edit by marco at Dec 16, 2007 12:04:16 PM
Dec 16, 2007 11:59:46 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
martinfierro
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Re: Enhancements to TA functions Reply to this Post  Reply with Quote 

How is Risk Premium defined ?

Martin
Dec 16, 2007 3:52:01 PM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
olikea
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Re: Enhancements to TA functions Reply to this Post  Reply with Quote 

How is Risk Premium defined ?


http://www.portfolio123.com/doc/fedmodel.html
Dec 16, 2007 4:03:17 PM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
gmealey
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Re: Enhancements to TA functions Reply to this Post  Reply with Quote 

Could someone give me a definition of offset and series as it is used here?
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gmealey
Dec 19, 2007 11:16:40 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
dwpeters
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Re: Enhancements to TA functions Reply to this Post  Reply with Quote 

Hi,
Series =
#TNX - 10Y Treasury Note
#SPRP - SP500 Risk Premium
#SPEPSCY - SP500 EPS CurrentY
#SPYield - SP500 Yield
#Bench - The benchmark

The functions with the series parameter operate on the close of the stock, unless the new optional series parameter is specified.

Offset is the start date, 0 being the current day being evaluated, 1 being the prior day, etc.

So SMA(10,5,#bench) is the 10 day simple moving average of the benchmark index 5 days ago.

Don
Dec 19, 2007 11:59:45 AM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
gmealey
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Re: Enhancements to TA functions Reply to this Post  Reply with Quote 

Thanks for the explanation.
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gmealey
Dec 19, 2007 5:00:42 PM Show Printable Version of Post     Link   Report threatening or abusive post: please login first   Go to top 
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