Daily Beta Intraday - Trading Software

Daily Beta Intraday

Jason
2017-01-03 12:52:15

Hi,

Trying to be able to view the daily beta value but within an intraday chart/watchlist. With daily data it is:

Stock_Beta = beta(close, GetSeries('SPY', Close), 100);

But I cannot use GetSeries within TimeframeDecompress and TimeframeApply and instead I'm using TimeframeGetSeries1 to get the SPY time series. But I'm struggling with how to use TimeFrameApply and TimeFrameDecompress to get the 100 day beta while using TimeframeGetSeries1 . Can you please provide an example?

Thanks much.

QuantShare
2017-01-04 04:56:49

Please try this:

spy = timeframecompress(TimeframeGetSeries1("SPY",1,close,LastData,1));
current = timeframecompress(TimeframeGetSeries1(name(),1,close,LastData,1));
bet = beta(current, spy, 100);
bet = timeframedecompress(bet);
plot(bet, "");

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