Indicator based on another symbol in another timeframe

Indicator based on another symbol in another timeframe

Dave Walton
2013-07-10 03:03:01

I'm trying to calculate the 30 month T-score of an external symbol (^GSPC) to use as a filter within a system operating on a daily timeframe. Nothing I try seems to work. Is this doable and if so, how? If I use the TimeFrameGetSeries1 function and then do calculations on it, I don't get the results I expect.

QuantShare
2013-07-10 03:09:51

You can get close series of an external symbol by typing:
a = TimeFrameGetSeries1("^GSPC", 1, close, LastData);

After that you can apply any indicator. Example:
b = sma(a, 25*30); // 30-Month moving average

Dave Walton
2013-07-11 02:18:07

An easy way to do it that I've since found is to create a custom function that calls GetSeries() and does the calculations. Then within the trading strategy the TimeFrameApply() and TimeFrameDecompress() functions can be used on the custom function. Very simple.

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