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I want to monitor a customized data (say stock_price_a/stock_price_b) and use the moving average of this ratio as an indicator. I noticed that SMA or EMA function requires a single stock symbol as an input. Is there a way to calculate customized ratio moving average? or I have to do it with a queue and redefine a new function?
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Michael Handschuh
EMA_KO = EMA("KO", 14, Resolution.Daily); EMA_PEP = EMA("PEP", 14, Resolution.Daily); // This will create a new indicator that is the ema_ko divided by the ema_pep KO_Over_PEP = EMA_KO.Over(EMA_PEP); // we'll also create a bollinger band of the ratio for plotting BB_Ratio = new BollingerBands("BB_Ratio", 14, 2).Of(KO_Over_PEP);This provides a tremendous amount of flexibility! Let me know what you think!Travis Fu
Michael Handschuh
// the identity indicator 'lifts' values into the indicator system for usage with other // indicators KO_Close = Identity("KO"); PEP_Close = Identity("PEP"); // This will create a new indicator that is the ema_ko divided by the ema_pep KO_Over_PEP = KO_Close.Over(PEP_Close, "Raw Ratio"); // but we want the EMA of our ratio, so make a new EMA and define it as 'of' the ratio EMA_KO_Over_PEP = new ExponentialMovingAverage("EMA_Ratio", 1200).Of(KO_Over_PEP); // we'll also create a bollinger band of the EMA of the ratio for plotting BB_Ratio = new BollingerBands("BB_Ratio", 14, 1200).Of(EMA_KO_Over_PEP);Travis Fu
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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