Screener Formula

Boolean Expression and Arithmetic Expression are derivatives of Expression. An Arithmetic Expression is an expression/statement that produces a single value within the set of real numbers. An Expression itself is defined as “anything that produces a single value.”

The hierarchy of Expression is as follows:
Expression:
– Boolean Expression (BE)
– Boolean Value: true, false
– Bracket Expression: ( BE )
– Boolean Operation: and, or, not
– Arithmetic Comparison: >=, <=, >, <, ==, !=
– Arithmetic Expression (E)
– Numeric Expression
– Arithmetic Operation: *, /, +, –
– Bracket Expression: ( E )
– Stock Expression

(Note: in this document and in our criteria composer, we use the notation E as an abbreviation for Arithmetic Expression.)

Part that is quite important in screener formula is Stock Expression, which is derivative of Arithmetic Expression.

Structure of Stock Expression is as follow:
E: stock_expression: [candle_selector] [timeframe] [target] <stock_attr>
E: stock_expression: [candle_selector] [timeframe] [target] <stock_function>
E: stock_expression: <stock_fundamental_attr>
E: stock_expression: <bid_offer_variables>

candle_selector: prev_N, ..., prev_3, prev_2, prev, current
default: current

timeframe: yearly, quarterly, monthly, weekly, daily, hourly, 15min, 5min, 1min
default: daily

target: stock, sector, index
default: stock

stock_attr:
open, high, low, close, volume
macd, macd_signal, macd_histogram
rsi, stoch_k, stoch_d, stochrsi, atr, adx, pdx, ndx, cci, uo, roc, william_r, mfi
alligator_jaw, alligator_teeth, alligator_lips, alligator_ao, alligator_ac
bollinger_top, bollinger_bottom, bollinger_mean, bollinger_bandwidth, bollinger_percent_b, bollinger_percent_b_avg
value, top_broker, foreign, top_broker_hist, foreign_hist
dto_stochk, dto_stochd, obv, sar
pivot_s1, pivot_s2, pivot_s3, pivot_r1, pivot_r2, pivot_r3
mid_price, tick


stock_function:
sma(n), sma(subformula,n)
ema(n), ema(subformula,n)
highest(subformula,n), hhv(subformula,n)
lowest(subformula,n), llv(subformula,n)
ranking(subformula,n)
ranking_per_sector(subformula,n)
roc(n)
macd(fast_period,slow_period)
macd_signal(fast_period,slow_period,signal_period)
macd_histogram(fast_period,slow_period,signal_period)
sum(subformula,n)
vwap(n)
cci(n)
atr(n)
adx(n)
pdx(n)
ndx(n)
stoch_k(lookback_period,k_period)
stoch_d(lookback_period,k_period,d_period)
bollinger_top(period, multiplier)
bollinger_bottom(period, multiplier)
bollinger_mean(period, multiplier)
bollinger_bandwidth(period, multiplier)
bollinger_percent_b(period, multiplier)
bollinger_percent_b_avg(period, multiplier)
rsi(n)
stochrsi(period,dtostoch_period,dtostoch_k_period,dtostoch_d_period)
dto_stochk(period,dtostoch_period,dtostoch_k_period,dtostoch_d_period)
dto_stochd(period,dtostoch_period,dtostoch_k_period,dtostoch_d_period)


Parameters that has default values can be omitted. In case of Stock Expression , only stock_attr is mandatory.
Examples:
current daily stock close == close                ==> true
current daily stock close == daily close          ==> true
current daily stock close == stock close          ==> true
current daily stock close == current daily close  ==> true

But when a non-mandatory parameter is specified, the position is important and have to be written according to the above mentioned structure.
Examples:
stock daily close    ==> error
daily current close  ==> error
current daily close  ==> OK


The target parameter can have 3 values, that is: stock, sector, index
stock : define the target valuation of stock_attr is the stock chart itself, this is the default value and can be omitted.
sector : define the target valuation of stock_attr is the stock sector chart.
index : define the target valuation of stock_attr is the stock index chart

 

Below is the translation of the provided definition of stock_attr :
open, high, low, close, volume : Values of open, high, low, close, and volume from the stock candlestick chart.
macd, macd_signal, macd_histogram : Values from the MACD(12,26,9) chart, where `macd_histogram = macd – macd_signal`.
rsi : Value from the RSI(14) chart.
stoch_k, stoch_d : Values from the Stochastic(15,3,3) chart.
stochrsi : Value from the StochRSI(9,6) chart.
atr : Value from the ATR(14) chart.
adx, pdx, ndx : Values from the ADX(14) chart.
cci : Value from the CCI(14) chart.
uo : Value from the UO(7,14,28) chart.
roc : Value from the ROC(12) chart.
william_r : Value from the WilliamsR(14) chart.
mfi : Value from the MFI(14) chart.
alligator_jaw, alligator_teeth, alligator_lips, alligator_ao, alligator_ac : Values from the Alligator(13,8,5) chart.
bollinger_top, bollinger_bottom, bollinger_mean, bollinger_bandwidth, bollinger_percent_b, bollinger_percent_b_avg : Values from the Bollinger(20,2) chart.
value : Total value of stock transactions.
dto_stochk, dto_stochd : Values from the DTOStoch(8,5,3) chart.
obv : Values from the On-Balance Volume chart.
sar : Value from the SAR(0.02,0.2) chart.
pivot_s1, pivot_s2, pivot_s3, pivot_r1, pivot_r2, pivot_r3 : Pivot support and resistance levels.
mid_price : mid_price = (high + low) / 2
vwap : vwap = (high + low + close) / 3

 

stock_function is part of stock_attr, below is the definition of stock_function:

sma("<stock_attr>",N) : simple moving average of stock_attr with N candles
Example:
sma("close", 5) ==> MA5 value of stock daily chart close price
hourly sma("volume", 20) ==> MA20 value of stock hourly chart volume

ema("<stock_attr>",N) : exponential moving average of stock_attr with N candles
Example:
ema("close", 5) ==> EMA5 value of stock daily chart close price
hourly ema("volume", 20) ==> EMA20 value of stock hourly chart volume

highest("<stock_attr>",N) :
hhv("<stock_attr>",N) : highest value of stock_attr with N candles
Example:
daily hhv("high", 5) ==> 5 day highest high daily
hourly hhv("close", 5) ==> 5 hour highest close hourly

lowest("<stock_attr>",N) :
llv("<stock_attr>",N) : lowest value of stock_attr with N candles
Example:
daily llv("low", 5) ==> 5 day lowest low daily
hourly llv("close", 5) ==> 5 hour lowest close hourly

roc(period) : value of Rate of Change (ROC)
Example:
roc(12) ==> value of roc(12)

macd(fast_period,slow_period) :
macd_signal(fast_period,slow_period,signal_period) :
macd_histogram(fast_period,slow_period,signal_period) : value of macd, macd_signal, and macd_histogram
Example:
macd(12, 26) ==> value of macd(12, 26)
macd_signal(12, 26, 9) ==> value of macd signal(12, 26, 9)
macd_histogram(12, 26, 9) ==> value of macd histogram(12, 26, 9)

sum("<stock_attr>",N) : sum of stock_attr with N candles
Example:
sum("volume", 5) ==> sum of volume in 5 candles of daily chart

vwap(N) : value of Volume-Weighted Average Price (VWAP)
Formula:
vwap(N) = sum("volume * (high + low + close) / 3", N) / sum("volume", N)
Example:
vwap(5) value of vwap with 5 candle period

atr(period) : value of Average True Range (ATR)
Example:
atr(14) ==> value of atr(14)

adx(period) : value of Average Directional Index (ADX)
Example:
adx(14) ==> value of adx(14)
pdx(14) ==> value of DI+ in adx(14) indicator
ndx(14) ==> value of DI- in adx(14) indicator

cci(period) : value of Commodity Channel Index (CCI)
Example:
cci(20) ==> value of cci(20)

stoch_k(lookback_period,k_period) :
stoch_d(lookback_period,k_period,d_period) : value of Stochastic Oscillator
Example:
stock_k(15, 3) ==> value of Stochastic %K(15, 3)
stock_d(15, 3, 3) ==> value of Stochastic %D(15, 3, 3)

bollinger_top(period, multiplier) :
bollinger_bottom(period, multiplier) :
bollinger_mean(period, multiplier) :
bollinger_bandwidth(period, multiplier) :
bollinger_percent_b(period, multiplier) :
bollinger_percent_b_avg(period, multiplier) : value of Bollinger Bands
Example:
bollinger_top(20, 2) ==> value of Bollinger Band top line(20, 2)
bollinger_bottom(20, 2) ==> value of Bollinger Band bottom line(20, 2)

rsi(n) : value of Relative Strength Index (RSI)
Example:
rsi(14) ==> value of rsi(14)

stochrsi(period,dtostoch_period,dtostoch_k_period,dtostoch_d_period)
dto_stochk(period,dtostoch_period,dtostoch_k_period,dtostoch_d_period)
dto_stochd(period,dtostoch_period,dtostoch_k_period,dtostoch_d_period) : value of StochRSI
Example:
stochrsi(14, 8, 5, 3) ==> value of stochrsi(14, 8, 5, 3)
dto_stochk(14, 8, 5, 3) ==> value of %K in stochrsi(14, 8, 5, 3)
dto_stochd(14, 8, 5, 3) ==> value of %D in stochrsi(14, 8, 5, 3)

stock_fundamental_attr:
debt_equity, ebitda, ebitda_anl, eps, eps_anl
ev_ebitda, ev_ebitda_anl, market_cap, netprofit, netprofit_anl
pbv, pbv_anl, per, per_anl, revenue, revenue_anl
roa, roa_anl, roe, roe_anl


debt_equity : Debt to Equity Ratio
ebitda : Earnings Before Interest, Taxes, Depreciation and Amortization (latest financial report)
ebitda_anl : Earnings Before Interest, Taxes, Depreciation and Amortization (annualized)
eps : Earning Per Share (latest financial report)
eps_anl : Earning Per Share (annualized)
ev_ebitda : Enterprise Multiple (latest financial report)
ev_ebitda_anl : Enterprise Multiple (annualized)
market_cap : Market Capitalization
netprofit : Net Profit (latest financial report)
netprofit_anl : Net Profit (annualized)
pbv : Price-to-Book Ratio (latest financial report)
pbv_anl : Price-to-Book Ratio (annualized)
per : Price-Earnings Ratio (latest financial report)
per_anl : Price-Earnings Ratio (annualized)
revenue : Revenue (latest financial report)
revenue_anl : Revenue (annualized)
roa : Return on assets (latest financial report)
roa_anl : Return on assets (annualized)
roe : Return on Equity (latest financial report)
roe_anl : Return on Equity (annualized)

Some examples of screener formula:

– higher high higher low :
prev high < high and prev low < low

– inside bar :
prev high > high and prev low < low

– golden cross MA 5-20 (MA5 line cross up MA20) :
prev sma(5) < prev sma(20) and sma(5) > sma(20)

– MACD going up :
prev macd < macd and macd > 0

– three white soldier :
prev_2 close > prev_2 open
and prev close > prev open
and close > open