Calculating TRIN (arms index) for nyse

Hi Wesley,

We can use Universe Selection to get those securities. 

Refer to the following snippet:

filtered_fine = [x for x in fine if x.CompanyReference.PrimaryExchangeID == "NYS"]

We would need to input the list of all the Symbol objects as the first parameter to get the above.

Best,

Varad Kabade

Hi Varad, thank you for your reply.

I understand that I can add that filter to the universe selector, but I'm unclear how I connect that to the trin parameters. Would you mind providing a code example where the symbols are pull out from the universe and plugged into Trin? Thank you very much.

Hi Wesley,

After using the fine filter mentioned above, all the valid securities will be available inside the OnSecuritiesChanged:

def OnSecuritiesChanged(self,changes):
        self.symbols = []
        
        for x in changes.AddedSecurities:
            self.symbols.append(x.Symbol)
        self.trin = self.TRIN(self.symbols, Resolution.Minute)

Refer to the attached backtest.

Best,

Varad Kabade

Varad Kabade

Unable to plot NYS TRIN (arms index) from your code above.