Moving Average

Moving Average Convergence Divergence

Definition: A customized momentum indicator that measures the convergence/divergence of a short length trend line and long length trend line.

Syntax: macd(shortLength, longLength)

Arguments

• shortLength: The number of previous values in calculating for short trend.

• longLength: The number of previous values in calculating the long trend.

Return: Time series measuring convergence/divergence

Description: The Moving Average Convergence Divergence (MACD) is a popular technical indicator that measures the relationship between two moving averages of an asset's price. It is calculated by subtracting the 26-period exponential moving average (EMA) from the 12-period EMA. The MACD line can be used to identify trend changes, momentum, and potential buy and sell signals.

Example

macdValue = SPY.close -> macd(15, 30)

Simple Moving Average

Syntax: sma(length)

Arguments: length = the number of previous values used in the calculation

Return: A time series of smoothed values

Description: Simple moving average (SMA) is a widely used technical indicator that calculates the average price of an asset over a specific time period. It is a lagging indicator, meaning it responds slowly to changes in price. Traders use SMAs to identify trends and potential buy and sell signals, with longer periods (e.g., 50-day SMA) used for long-term trends and shorter periods (e.g., 10-day SMA) used for short-term trends.

Example:

avgSimpleValue = SPY.close -> sma(30)

Combine List

Definition: Combines values from a list of input time series. The values from all inputs at each point in time are combined using a specified calculation.

Syntax: combine_lists(combine, weights)

Arguments:

• combine - what calculation to use when combining values

• weights - optional, is used to adjust the weighed average.

Return: Single time series of combined values from each point in time

Description: Supported combination methods are:

• avg, mean - value is the average of values from inputs

• max - value is the maximum of values from inputs

• min - value is the minimum of values from inputs

• sum - value is the sum of values from inputs

The default value is combine=”avg”.

How does Weight get calculated:

We multiply each number by its corresponding weight, sum up the weighted values, and then divide them by total weight.

Weighted Average = (Number1 * Weight1 + Number2 * Weight2) / (Weight1 + Weight2)

Example:

combined_values = [SPY, ORCL].close -> combine_lists(combine=”max”, weights="7,9")