TA-Lib is an open source library of over 150 customizable indicators and mathematical functions that we are incorporating into our screening code. This gives you the ability to test new strategies and fine tune your existing ones.
Today we are happy to be able to roll out customizable functions so that our users can test options that we don’t support in our standard data. We are beginning this roll-out with Simple Moving Average (SMA), Exponential Moving Average (EMA), and the Rate of Change (ROC) indicators with several more on the list to come later. Continue reading
We will soon be introducing the ability to customize the technical indicators used on the site. This means you will be able to define moving averages of any duration or screen on your favorite 8-month total return (which we don’t currently support, but some people prefer). We will also be adding new indicators that we don’t already include.
Following up from the new functionality added to the screener a few weeks ago, today we are releasing the option to define a Supplementary Entry Rule. This rule will only be evaluated when a position is first taken, and will be ignored in subsequent periods where a position is carried over. Several of you that we’ve spoken with have asked about the purpose of this rule, while others have emailed with questions about how to test a strategy where this rule would have helped. Continue reading
It has been a while since we’ve rolled out any significant updates to our system, and we have several ready to go. Today we are adding two backtesting features and announcing a change to our data update schedule.
Taking the last item first, we are pleased to be able to begin updating the backtest data on a daily basis rather than weekly. This has been a request of several users, Continue reading
The revisions presented last week are on track for implementation this weekend, and that means that some screens that utilize volume related fields or the standard deviation field (StDv) will require some changes. We’ve received some positive feedback on the upgrade path, and we are working hard to ensure a smooth transition.
If you view a screen which you have flagged as a ‘Favorite’ you might now see a notice regarding a necessary screen revision. If you click the link, you can review the proposed changes and have the opportunity to inform us of potential problems before implementation this weekend. Obviously, we would suggest you take a look if you rely on the screen. If you do not see any type of notice this means that either the screen utilizes none of the affected fields, or you only recently flagged it as a ‘Favorite’. If the screen uses any of the affected fields, you should see some type of notice.
If you study the revisions you will see come commonality:
1. Comparisons of one volume field to another require no adjustment because the revisions will affect both sides of the equations the same. ex. [Volume] > [Vol-5d].
2. Comparisons to numeric values are converted to use the letter suffixes. ex. [$vol-21] > 2000 becomes [$vol-21] > 2m.
3. Fields used in equations or uv’s are adjusted in a default manner that divides by 1000. This has the effect of converting the number to what it is now before the changes take place. We obviously could have made this default change everywhere, but changes made in this manner are harder to read, therefore we tried to minimize their use. ex. [Volume] > 1.25 * [Vol-5d] becomes ([Volume]/1000) > 1.25 * ([Vol-5d]/1000).
Again, please let us know if you see any issues as we want the transition to be as smooth as possible. At this point we are planning to make this transition on Saturday, Jan 24.
Thanks for your continued support of our ETFScreen.com website.
For the new year we have a number of enhancements planned including several new security types such as CEF’s, REIT’s and more. We hope to begin rolling these out next week but have several tweaks to make to the basic site before adding new pages, screens, and features. Your input on these is important. Continue reading
When our new Risk-Return Chart was introduced a couple of weeks ago someone asked if the distribution was any different for favorite screens that are unpublished. It was an interesting question so we did a little analysis to compare the published screens with the unpublished favorites. The chart to the left shows all published backtests for a 1-month holding period. We limited this to the 1-month screens because that is where most of the backtests are focused. Continue reading