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Registered User
Joined: 3/10/2005
Posts: 13
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In Van Tharp's review of the overall market he uses his "System Quality Number" SQN to measure market performance for various issues.
I'd like to create the SQN plot for stocks but I am not a programmer.
The SQN basically consists of the following formula:
N= the lookback period
SquareRoot N * [Average (daily % change over N periods) / (Std Dev daily % change over N periods) ]
The daily % change would be the close to the previous close.
Can someone create an indicator that I can drop on a price chart and change the lookback period.
Thanks
Greg
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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I'm guessing at the order of operations to some extent, but since taking the square root of the entire thing would result in an error if the Average of the Percent Changes are negative, I'm assuming the order is correct.
'|******************************************************************
'|*** StockFinder RealCode Indicator - Version 5.0 www.worden.com
'|*** Copy and paste this header and code into StockFinder *********
'|*** Indicator:System Quality Number
'|******************************************************************
'# Period = UserInput.Integer = 10
Static Sum(1) As Single
Static Factor As Single
If isFirstBar Then
Sum(0) = 0
Sum(1) = 0
Factor = Period ^ .5
Else If CurrentIndex > Period Then
Sum(0) += Price.PercentChange - Price.PercentChange(1, Period)
Sum(1) += Price.PercentChange ^ 2 - Price.PercentChange(1, Period) ^ 2
Else
Sum(0) += Price.PercentChange
Sum(1) += Price.PercentChange ^ 2
End If
If CurrentIndex >= Period Then
Plot = Factor * Sum(0) / Period / (((Sum(1) - Sum(0) ^ 2 / Period) / Period) ^ .5)
Else
Plot = Single.NaN
End If
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 7/18/2011
Posts: 16
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Is there a similar solution for TC 2000 users? I would like to calculate SQN using a lookback period of 100 days. SQN=
SQN = SquareRoot(100) * (Average of daily % change for 100 days / StdDev of daily % change for 100 days). Thanks.
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Maybe something like the following?
10 * ((C / C1 + C1 / C2 + C2 / C3 + C3 / C4 + C4 / C5 + C5 / C6 + C6 / C7 + C7 / C8 + C8 / C9 + C9 / C10 + C10 / C11 + C11 / C12 + C12 / C13 + C13 / C14 + C14 / C15 + C15 / C16 + C16 / C17 + C17 / C18 + C18 / C19 + C19 / C20 + C20 / C21 + C21 / C22 + C22 / C23 + C23 / C24 + C24 / C25 + C25 / C26 + C26 / C27 + C27 / C28 + C28 / C29 + C29 / C30 + C30 / C31 + C31 / C32 + C32 / C33 + C33 / C34 + C34 / C35 + C35 / C36 + C36 / C37 + C37 / C38 + C38 / C39 + C39 / C40 + C40 / C41 + C41 / C42 + C42 / C43 + C43 / C44 + C44 / C45 + C45 / C46 + C46 / C47 + C47 / C48 + C48 / C49 + C49 / C50 + C50 / C51 + C51 / C52 + C52 / C53 + C53 / C54 + C54 / C55 + C55 / C56 + C56 / C57 + C57 / C58 + C58 / C59 + C59 / C60 + C60 / C61 + C61 / C62 + C62 / C63 + C63 / C64 + C64 / C65 + C65 / C66 + C66 / C67 + C67 / C68 + C68 / C69 + C69 / C70 + C70 / C71 + C71 / C72 + C72 / C73 + C73 / C74 + C74 / C75 + C75 / C76 + C76 / C77 + C77 / C78 + C78 / C79 + C79 / C80 + C80 / C81 + C81 / C82 + C82 / C83 + C83 / C84 + C84 / C85 + C85 / C86 + C86 / C87 + C87 / C88 + C88 / C89 + C89 / C90 + C90 / C91 + C91 / C92 + C92 / C93 + C93 / C94 + C94 / C95 + C95 / C96 + C96 / C97 + C97 / C98 + C98 / C99 + C99 / C100) / 100 - 1) / SQR(ABS((C / C1) ^ 2 + (C1 / C2) ^ 2 + (C2 / C3) ^ 2 + (C3 / C4) ^ 2 + (C4 / C5) ^ 2 + (C5 / C6) ^ 2 + (C6 / C7) ^ 2 + (C7 / C8) ^ 2 + (C8 / C9) ^ 2 + (C9 / C10) ^ 2 + (C10 / C11) ^ 2 + (C11 / C12) ^ 2 + (C12 / C13) ^ 2 + (C13 / C14) ^ 2 + (C14 / C15) ^ 2 + (C15 / C16) ^ 2 + (C16 / C17) ^ 2 + (C17 / C18) ^ 2 + (C18 / C19) ^ 2 + (C19 / C20) ^ 2 + (C20 / C21) ^ 2 + (C21 / C22) ^ 2 + (C22 / C23) ^ 2 + (C23 / C24) ^ 2 + (C24 / C25) ^ 2 + (C25 / C26) ^ 2 + (C26 / C27) ^ 2 + (C27 / C28) ^ 2 + (C28 / C29) ^ 2 + (C29 / C30) ^ 2 + (C30 / C31) ^ 2 + (C31 / C32) ^ 2 + (C32 / C33) ^ 2 + (C33 / C34) ^ 2 + (C34 / C35) ^ 2 + (C35 / C36) ^ 2 + (C36 / C37) ^ 2 + (C37 / C38) ^ 2 + (C38 / C39) ^ 2 + (C39 / C40) ^ 2 + (C40 / C41) ^ 2 + (C41 / C42) ^ 2 + (C42 / C43) ^ 2 + (C43 / C44) ^ 2 + (C44 / C45) ^ 2 + (C45 / C46) ^ 2 + (C46 / C47) ^ 2 + (C47 / C48) ^ 2 + (C48 / C49) ^ 2 + (C49 / C50) ^ 2 + (C50 / C51) ^ 2 + (C51 / C52) ^ 2 + (C52 / C53) ^ 2 + (C53 / C54) ^ 2 + (C54 / C55) ^ 2 + (C55 / C56) ^ 2 + (C56 / C57) ^ 2 + (C57 / C58) ^ 2 + (C58 / C59) ^ 2 + (C59 / C60) ^ 2 + (C60 / C61) ^ 2 + (C61 / C62) ^ 2 + (C62 / C63) ^ 2 + (C63 / C64) ^ 2 + (C64 / C65) ^ 2 + (C65 / C66) ^ 2 + (C66 / C67) ^ 2 + (C67 / C68) ^ 2 + (C68 / C69) ^ 2 + (C69 / C70) ^ 2 + (C70 / C71) ^ 2 + (C71 / C72) ^ 2 + (C72 / C73) ^ 2 + (C73 / C74) ^ 2 + (C74 / C75) ^ 2 + (C75 / C76) ^ 2 + (C76 / C77) ^ 2 + (C77 / C78) ^ 2 + (C78 / C79) ^ 2 + (C79 / C80) ^ 2 + (C80 / C81) ^ 2 + (C81 / C82) ^ 2 + (C82 / C83) ^ 2 + (C83 / C84) ^ 2 + (C84 / C85) ^ 2 + (C85 / C86) ^ 2 + (C86 / C87) ^ 2 + (C87 / C88) ^ 2 + (C88 / C89) ^ 2 + (C89 / C90) ^ 2 + (C90 / C91) ^ 2 + (C91 / C92) ^ 2 + (C92 / C93) ^ 2 + (C93 / C94) ^ 2 + (C94 / C95) ^ 2 + (C95 / C96) ^ 2 + (C96 / C97) ^ 2 + (C97 / C98) ^ 2 + (C98 / C99) ^ 2 + (C99 / C100) ^ 2 - (C / C1 + C1 / C2 + C2 / C3 + C3 / C4 + C4 / C5 + C5 / C6 + C6 / C7 + C7 / C8 + C8 / C9 + C9 / C10 + C10 / C11 + C11 / C12 + C12 / C13 + C13 / C14 + C14 / C15 + C15 / C16 + C16 / C17 + C17 / C18 + C18 / C19 + C19 / C20 + C20 / C21 + C21 / C22 + C22 / C23 + C23 / C24 + C24 / C25 + C25 / C26 + C26 / C27 + C27 / C28 + C28 / C29 + C29 / C30 + C30 / C31 + C31 / C32 + C32 / C33 + C33 / C34 + C34 / C35 + C35 / C36 + C36 / C37 + C37 / C38 + C38 / C39 + C39 / C40 + C40 / C41 + C41 / C42 + C42 / C43 + C43 / C44 + C44 / C45 + C45 / C46 + C46 / C47 + C47 / C48 + C48 / C49 + C49 / C50 + C50 / C51 + C51 / C52 + C52 / C53 + C53 / C54 + C54 / C55 + C55 / C56 + C56 / C57 + C57 / C58 + C58 / C59 + C59 / C60 + C60 / C61 + C61 / C62 + C62 / C63 + C63 / C64 + C64 / C65 + C65 / C66 + C66 / C67 + C67 / C68 + C68 / C69 + C69 / C70 + C70 / C71 + C71 / C72 + C72 / C73 + C73 / C74 + C74 / C75 + C75 / C76 + C76 / C77 + C77 / C78 + C78 / C79 + C79 / C80 + C80 / C81 + C81 / C82 + C82 / C83 + C83 / C84 + C84 / C85 + C85 / C86 + C86 / C87 + C87 / C88 + C88 / C89 + C89 / C90 + C90 / C91 + C91 / C92 + C92 / C93 + C93 / C94 + C94 / C95 + C95 / C96 + C96 / C97 + C97 / C98 + C98 / C99 + C99 / C100) ^ 2 / 100) / 100)
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 7/18/2011
Posts: 16
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Thank you very much. It works.
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Registered User
Joined: 1/28/2005
Posts: 6,049
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QUOTE (Bruce_L)
Maybe something like the following?
10 * ((C / C1 + C1 / C2 + C2 / C3 + C3 / C4 + C4 / C5 + C5 / C6 + C6 / C7 + C7 / C8 + C8 / C9 + C9 / C10 + C10 / C11 + C11 / C12 + C12 / C13 + C13 / C14 + C14 / C15 + C15 / C16 + C16 / C17 + C17 / C18 + C18 / C19 + C19 / C20 + C20 / C21 + C21 / C22 + C22 / C23 + C23 / C24 + C24 / C25 + C25 / C26 + C26 / C27 + C27 / C28 + C28 / C29 + C29 / C30 + C30 / C31 + C31 / C32 + C32 / C33 + C33 / C34 + C34 / C35 + C35 / C36 + C36 / C37 + C37 / C38 + C38 / C39 + C39 / C40 + C40 / C41 + C41 / C42 + C42 / C43 + C43 / C44 + C44 / C45 + C45 / C46 + C46 / C47 + C47 / C48 + C48 / C49 + C49 / C50 + C50 / C51 + C51 / C52 + C52 / C53 + C53 / C54 + C54 / C55 + C55 / C56 + C56 / C57 + C57 / C58 + C58 / C59 + C59 / C60 + C60 / C61 + C61 / C62 + C62 / C63 + C63 / C64 + C64 / C65 + C65 / C66 + C66 / C67 + C67 / C68 + C68 / C69 + C69 / C70 + C70 / C71 + C71 / C72 + C72 / C73 + C73 / C74 + C74 / C75 + C75 / C76 + C76 / C77 + C77 / C78 + C78 / C79 + C79 / C80 + C80 / C81 + C81 / C82 + C82 / C83 + C83 / C84 + C84 / C85 + C85 / C86 + C86 / C87 + C87 / C88 + C88 / C89 + C89 / C90 + C90 / C91 + C91 / C92 + C92 / C93 + C93 / C94 + C94 / C95 + C95 / C96 + C96 / C97 + C97 / C98 + C98 / C99 + C99 / C100) / 100 - 1) / SQR(ABS((C / C1) ^ 2 + (C1 / C2) ^ 2 + (C2 / C3) ^ 2 + (C3 / C4) ^ 2 + (C4 / C5) ^ 2 + (C5 / C6) ^ 2 + (C6 / C7) ^ 2 + (C7 / C8) ^ 2 + (C8 / C9) ^ 2 + (C9 / C10) ^ 2 + (C10 / C11) ^ 2 + (C11 / C12) ^ 2 + (C12 / C13) ^ 2 + (C13 / C14) ^ 2 + (C14 / C15) ^ 2 + (C15 / C16) ^ 2 + (C16 / C17) ^ 2 + (C17 / C18) ^ 2 + (C18 / C19) ^ 2 + (C19 / C20) ^ 2 + (C20 / C21) ^ 2 + (C21 / C22) ^ 2 + (C22 / C23) ^ 2 + (C23 / C24) ^ 2 + (C24 / C25) ^ 2 + (C25 / C26) ^ 2 + (C26 / C27) ^ 2 + (C27 / C28) ^ 2 + (C28 / C29) ^ 2 + (C29 / C30) ^ 2 + (C30 / C31) ^ 2 + (C31 / C32) ^ 2 + (C32 / C33) ^ 2 + (C33 / C34) ^ 2 + (C34 / C35) ^ 2 + (C35 / C36) ^ 2 + (C36 / C37) ^ 2 + (C37 / C38) ^ 2 + (C38 / C39) ^ 2 + (C39 / C40) ^ 2 + (C40 / C41) ^ 2 + (C41 / C42) ^ 2 + (C42 / C43) ^ 2 + (C43 / C44) ^ 2 + (C44 / C45) ^ 2 + (C45 / C46) ^ 2 + (C46 / C47) ^ 2 + (C47 / C48) ^ 2 + (C48 / C49) ^ 2 + (C49 / C50) ^ 2 + (C50 / C51) ^ 2 + (C51 / C52) ^ 2 + (C52 / C53) ^ 2 + (C53 / C54) ^ 2 + (C54 / C55) ^ 2 + (C55 / C56) ^ 2 + (C56 / C57) ^ 2 + (C57 / C58) ^ 2 + (C58 / C59) ^ 2 + (C59 / C60) ^ 2 + (C60 / C61) ^ 2 + (C61 / C62) ^ 2 + (C62 / C63) ^ 2 + (C63 / C64) ^ 2 + (C64 / C65) ^ 2 + (C65 / C66) ^ 2 + (C66 / C67) ^ 2 + (C67 / C68) ^ 2 + (C68 / C69) ^ 2 + (C69 / C70) ^ 2 + (C70 / C71) ^ 2 + (C71 / C72) ^ 2 + (C72 / C73) ^ 2 + (C73 / C74) ^ 2 + (C74 / C75) ^ 2 + (C75 / C76) ^ 2 + (C76 / C77) ^ 2 + (C77 / C78) ^ 2 + (C78 / C79) ^ 2 + (C79 / C80) ^ 2 + (C80 / C81) ^ 2 + (C81 / C82) ^ 2 + (C82 / C83) ^ 2 + (C83 / C84) ^ 2 + (C84 / C85) ^ 2 + (C85 / C86) ^ 2 + (C86 / C87) ^ 2 + (C87 / C88) ^ 2 + (C88 / C89) ^ 2 + (C89 / C90) ^ 2 + (C90 / C91) ^ 2 + (C91 / C92) ^ 2 + (C92 / C93) ^ 2 + (C93 / C94) ^ 2 + (C94 / C95) ^ 2 + (C95 / C96) ^ 2 + (C96 / C97) ^ 2 + (C97 / C98) ^ 2 + (C98 / C99) ^ 2 + (C99 / C100) ^ 2 - (C / C1 + C1 / C2 + C2 / C3 + C3 / C4 + C4 / C5 + C5 / C6 + C6 / C7 + C7 / C8 + C8 / C9 + C9 / C10 + C10 / C11 + C11 / C12 + C12 / C13 + C13 / C14 + C14 / C15 + C15 / C16 + C16 / C17 + C17 / C18 + C18 / C19 + C19 / C20 + C20 / C21 + C21 / C22 + C22 / C23 + C23 / C24 + C24 / C25 + C25 / C26 + C26 / C27 + C27 / C28 + C28 / C29 + C29 / C30 + C30 / C31 + C31 / C32 + C32 / C33 + C33 / C34 + C34 / C35 + C35 / C36 + C36 / C37 + C37 / C38 + C38 / C39 + C39 / C40 + C40 / C41 + C41 / C42 + C42 / C43 + C43 / C44 + C44 / C45 + C45 / C46 + C46 / C47 + C47 / C48 + C48 / C49 + C49 / C50 + C50 / C51 + C51 / C52 + C52 / C53 + C53 / C54 + C54 / C55 + C55 / C56 + C56 / C57 + C57 / C58 + C58 / C59 + C59 / C60 + C60 / C61 + C61 / C62 + C62 / C63 + C63 / C64 + C64 / C65 + C65 / C66 + C66 / C67 + C67 / C68 + C68 / C69 + C69 / C70 + C70 / C71 + C71 / C72 + C72 / C73 + C73 / C74 + C74 / C75 + C75 / C76 + C76 / C77 + C77 / C78 + C78 / C79 + C79 / C80 + C80 / C81 + C81 / C82 + C82 / C83 + C83 / C84 + C84 / C85 + C85 / C86 + C86 / C87 + C87 / C88 + C88 / C89 + C89 / C90 + C90 / C91 + C91 / C92 + C92 / C93 + C93 / C94 + C94 / C95 + C95 / C96 + C96 / C97 + C97 / C98 + C98 / C99 + C99 / C100) ^ 2 / 100) / 100)
Can you provide a 30 period version.
Thanks
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Please try the following Indicator Formula.
SQR(30) * ((C / C1 + C1 / C2 + C2 / C3 + C3 / C4 + C4 / C5 + C5 / C6 + C6 / C7 + C7 / C8 + C8 / C9 + C9 / C10 + C10 / C11 + C11 / C12 + C12 / C13 + C13 / C14 + C14 / C15 + C15 / C16 + C16 / C17 + C17 / C18 + C18 / C19 + C19 / C20 + C20 / C21 + C21 / C22 + C22 / C23 + C23 / C24 + C24 / C25 + C25 / C26 + C26 / C27 + C27 / C28 + C28 / C29 + C29 / C30) / 30 - 1) / SQR(ABS((C / C1) ^ 2 + (C1 / C2) ^ 2 + (C2 / C3) ^ 2 + (C3 / C4) ^ 2 + (C4 / C5) ^ 2 + (C5 / C6) ^ 2 + (C6 / C7) ^ 2 + (C7 / C8) ^ 2 + (C8 / C9) ^ 2 + (C9 / C10) ^ 2 + (C10 / C11) ^ 2 + (C11 / C12) ^ 2 + (C12 / C13) ^ 2 + (C13 / C14) ^ 2 + (C14 / C15) ^ 2 + (C15 / C16) ^ 2 + (C16 / C17) ^ 2 + (C17 / C18) ^ 2 + (C18 / C19) ^ 2 + (C19 / C20) ^ 2 + (C20 / C21) ^ 2 + (C21 / C22) ^ 2 + (C22 / C23) ^ 2 + (C23 / C24) ^ 2 + (C24 / C25) ^ 2 + (C25 / C26) ^ 2 + (C26 / C27) ^ 2 + (C27 / C28) ^ 2 + (C28 / C29) ^ 2 + (C29 / C30) ^ 2 - (C / C1 + C1 / C2 + C2 / C3 + C3 / C4 + C4 / C5 + C5 / C6 + C6 / C7 + C7 / C8 + C8 / C9 + C9 / C10 + C10 / C11 + C11 / C12 + C12 / C13 + C13 / C14 + C14 / C15 + C15 / C16 + C16 / C17 + C17 / C18 + C18 / C19 + C19 / C20 + C20 / C21 + C21 / C22 + C22 / C23 + C23 / C24 + C24 / C25 + C25 / C26 + C26 / C27 + C27 / C28 + C28 / C29 + C29 / C30) ^ 2 / 30) / 30)
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 1/28/2005
Posts: 6,049
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This is actually defined as:
Expectancy = (probability of win * average win) - (probability of loss * average loss)
You have a system that wins 30% of the time. When it wins it nets you 5R while losing trades lose 1R:
(0.3 * 5) - (0.7 * 1) = 1.5 - 0.7 = 0.8
SQN - system quality number - which was developed by Van Tharp and is used to evaluate the overall quality of a trading system.
The formula is as follows:
SQN = root(n) * expectancy / stdev(R)
root(n) - the square root of the number of all trades
expectancy - as shown above and measured in R multiples
stdev(R) - the standard deviation of your profit/loss R multiples
Usually a SQN score of between 1.6 - 1.9 is considered poor but tradable. 2.0 - 2.5 is average. 2.5 - 2.9 is good and anything above 3.0 is deemed excellent.
Thanks
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