How do you calculate the SCTR and the Money Wave?

Hi André!

Please check these two links for SCTR
http://stockcharts.com/freecharts/sctr.html
http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:sctr

The money wave is a simple Slow Stochastics (5,1). The most difficult thing is here is to code the SCTR indicator. This tools is very good to use in many strategies. So if someone like to code it, the community could reuse usit many times in rebalancing strategies.

its already a function in talib.

Hello @Stian Andreassen,
Here do find it in the list?
https://github.com/mrjbq7/ta-lib/blob/master/README.md

Looks a bit involved, but doable, if you have the inclination.

"It takes two steps to calculate the StockCharts Technical Rank (SCTR). First, each stock is “scored” based on six different technical indicators. These six indicators can be subdivided into three groups: long-term, medium-term and short-term. The box below details these indicators, the relevant timeframe and the weightings."

"After this first calculation round, StockCharts.com then ranks these stocks by their indicator score."

Long-Term Indicators (weighting)

  * Percent above/below 200-day EMA (30%)  
  * 125-Day Rate-of-Change (30%)

Medium-Term Indicators (weighting)

  * Percent above/below 50-day EMA (15%)  
  * 20-day Rate-of-Change (15%)

Short-Term Indicators (weighting)

  * 3-day slope of PPO-Histogram (5%)  
  * 14-day RSI (5%)  

Percentage Price Oscillator (PPO): {(12-day EMA - 26-day EMA)/26-day EMA} x 100

Signal Line: 9-day EMA of PPO

PPO Histogram: PPO - Signal Line  

@Isak Engdahl, sorry I really thought I'd seen it somewhere in talib, apperently I was mistaken.

@Market Tech,
Do you have a clue if this can be coded within Quantopian framework?
"3-day slope of PPO-Histogram"

My Python programming skills are to poor. Or maybe this can not be programmed in Quantopian?

Are you interested in taking a stab on it?

@Isak E., Too many tasks on my ticket, totally tapped... But,

The PPO looks to be the MACD (26,12,9 sound familiar?) and the TALib.MACD will give you the third value which would be the histogram. Three of those will give you a delta. Have to turn that into a range between 0 : 100 (see next sentence) which doesn't make much sense, but whatever.

The four price percent deltas (whether price / old price or price / EMA) have a problem as they have to be normalized into 0 : 100, meaning, they need to be turned into percents and then adjusted ( Add 100, divide by 2) to get them into the 0 : 100 range (out of the -100 : +100 range).

Not a problem but (I think) that's the way to do it.

The STO comes with TALib.

Once loaded, and ranked by this fabricated % change technical composite then seeking out the dips using the STO and trading the top N of the ranked sounds like a proper swing strategy. Again, my time is not my own right now. But if nobody takes it on in the next few days I may hack a version from the "pluggable framework" published here on this forum.

Ah, what the hell... Here's a start for you. Don't know how to exit the positions (PeriodExit included) And don't know how to select the base universe (default added).

And, you know, because I have no idea how StockCharts thinks it can normalize all those numbers into a 0 - 100 range... I thought I'd make a version that uses the min/max of the metric of the running set of securities and uses those as a normalization boundary. I'd already done this in another strat so it was easy to add. You can turn it off with the switch at the top.

Hello, I just now joined after looking for some help coding the SCTR in Ninjatrader.

Market Tech, thank you for sharing your work.

If you have time, can you add something to this algo?

Only enter new positions when VIX/VXV < .92

Optionally, exit all positions when VIX/VXV >1.0

I think you are missing a step here. You calculate on day X the SCTR value for each stock say in the S&P 500.
Then for that day you RANK from the highest to the lowest the 500 SCTR for day X. Then you plot the resuslt.
So you need to have all the S&P 500 universe available. Then you plot the RANK for that stock.
Hope this helps.

RR