Calculating Moving Averages from Synthesized Daily Bars in VeighNa

Summary

A brief VeighNa forum exchange addresses how to calculate daily moving averages, such as a five-day average crossing above a twenty-day average, when a strategy works with intraday data. The suggested approach is to aggregate that data into daily bars and use VeighNa’s ArrayManager to calculate the indicator. The questioner asks whether this still requires creating and storing the bars manually; the thread does not provide a further answer clarifying the implementation details.

The exchange offers a practical direction for indicator calculation, but no code, data examples, or comparison with other methods. It does not explain bar aggregation, persistence, session boundaries, or how to avoid using incomplete daily bars. Those details would need to be resolved in the implementation. The discussion is therefore a small operational note rather than a full strategy or tutorial.

Key ideas

• Daily moving averages can be calculated from daily bars synthesized from intraday data.
• The forum suggests using VeighNa’s ArrayManager to calculate indicators on the aggregated bars.
• The thread does not explain how to aggregate, store, or update those bars.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.