Is it possible to use ETF universes in aggregate series? FOr example, I would like to sum the total value traded for SPY, QQQ, IWM etc. for a given day.
I don't think that's possible.
Is it possible to make it?
How do you plan to use the total value traded for SPY, QQQ, and IWM? For example, would this be for reporting purposes, or would you want to use the sum as a condition in a Strategy Buy or Sell rule?
It would just be to track. I saw an interesting macro indicator: total value traded on ETFs. Gives an idea of whether macro themes or micro themes are dominating?
Do you have a link to the macro indicator?
no, its just the sum of value traded on ETFs
I was working on something similar. I copied Kurtis Factor Regime Dashboard (which is an AQR Capital Management factor regime indicator), I added volume trend to it, but more as trigger indicator than an actual trend indicator. Hard to work with volume, so much noise...
You can get the total price*vol for the 3 ETFs using this formula:
Vol(0,GetSeries("SPY:USA")) * Close(0,GetSeries("SPY:USA")) + Vol(0,GetSeries("QQQ:USA")) * Close(0,GetSeries("QQQ:USA")) + Vol(0,GetSeries("IWM:USA")) * Close(0,GetSeries("IWM:USA"))
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Great idea, thanks Dan
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