Composite pair spread time series
My strategy is trading a spread of two leg instruments.
I have two instruments' historical data series (A and B) and need to combine the two to form a composite spread (A-B) data series, i.e. buy A sell B. It looks at the Closes differentials (ie. Close(A)-Close(B)) and analyze some indicators (MAvg) on it.
What's the correct way to do this in Ninja?
eg. is there way to generate a 3rd data series based on the two added using Add() method?
Thanks.
I have two instruments' historical data series (A and B) and need to combine the two to form a composite spread (A-B) data series, i.e. buy A sell B. It looks at the Closes differentials (ie. Close(A)-Close(B)) and analyze some indicators (MAvg) on it.
What's the correct way to do this in Ninja?
eg. is there way to generate a 3rd data series based on the two added using Add() method?
Thanks.
