Aggregate Series- Keep Daily history inside weekly -rebalance

Feature Requests
1

Let aggregate series keep their daily history inside weekly-rebalanced sims.

  • The problem: in my weekly sim, GetSeries("NET_ADV_NYSE") is read as weekly bars, so EMA(39) means 39 weeks. EMA_D fails with “no weekday series exist”. Any indicator built on a daily aggregate series quietly changes meaning, with no warning.
  • The ask: GetSeries() on an aggregate series should return daily bars whatever the rebalance frequency is, or EMA_D and other day-based functions should work on aggregate series.
  • Why it matters: standard breadth indicators like the McClellan Oscillator, the Summation Index and breadth thrusts are defined on daily data. Without this fix, they can’t be built correctly in a weekly sim, and most sims are weekly.
2

The likely cause is the Aggregrate Series cadence, not the sim. Close, SMA and EMA count bars in the series, not days. If NET_ADV_NYSE was saved weekly, each bar is a week, so EMA(39) covers 39 weeks.

To switch it to daily bars:

  1. Open NET_ADV_NYSE under Research → Aggregate Series.
  2. Leave the rules and universe as they are.
  3. On the Chart tab, set the frequency to Daily. Keep your transform, such as Cumulative Sum.
  4. Run the series, then save it.
  5. Check the chart. Bars should be one trading day apart.

Your formulas then read daily bars without changes:

EMA(19,0,GetSeries("NET_ADV_NYSE")) - EMA(39,0,GetSeries("NET_ADV_NYSE"))

Let us know what you find.