Indices Sector SigmaSpikes

2021년 1월 4일

█ OVERVIEW

“The benchmark Dow Jones Industrial Average is off nearly 300 points as of midday today...”
“So what? Is that a lot or a little? Should we care?”
-Adam H Grimes-

This screener aims to provide Bird-Eye view across sector indices, to find which sector is having significant or 'out-of-norm' move in either direction.
The significance of the move is measured based on Sigma Spikes, a method proposed by Adam H. Grimes, where Standard Deviation of returns used as a baseline.

*You can google his blog or read his book, got some gold in there, especially on how he use indicators for trading

█ Understanding Sigma Spikes

As described by Grimes, moves in markets are only meaningful when we consider what “normal” is for that market.
Without that baseline, the daily change number, and even the percent change on the day doesn’t really mean much.

To overcome that problem, Sigma Spikes, as a measure of volatility, attempt to put todays change in price (aka return) in context of the standard deviation of 20 days daily's return.

Refer chart below:


1. The blue bars refer to each days return
2. The orange line is 1 time standard deviation of past 20days daily's return (today not included)
3. The red line is 2 time standard deviation of past 20days daily's return (today not included)

Using the ratio of today's return over the Std Deviation, determining your threshold (1,2,3,etc) will be the key that tells if today's move is significant or not.
*Threshold referring to [x] times standard deviation, and different market may require different threshold.
*20 Days period are based on the Lookback Period, adjustable from user input window.

█ Features

- Scan up to 13 symbols at a time (Bursa (MYX) indices are defaulted, but you may change to any symbols/index from the user input setting)

█ Limitation

- Due to multiple use of security() function required to call other symbols, expect the screener to be slow at certain times
- Custom Timeframe currently accept only Daily and Weekly. I'll try to include lower timeframe in the next update

█ Disclaimer

Past performance is not an indicator of future results.
My opinions and research are my own and do not constitute financial advice in any way whatsoever.
Nothing published by me constitutes an investment recommendation, nor should any data or Content published by me be relied upon for any investment/trading activities.
I strongly recommends that you perform your own independent research and/or speak with a qualified investment professional before making any financial decisions.

Any ideas to further improve this indicator are welcome :)

2021년 6월 29일

릴리즈 노트

Updated with max_bars_back to solve referencing issue encountered by some people