Calculating Short-Window Moving Averages in Custom Equity Factors
Summary
The document is a user’s question about calculating three-day and five-day moving averages within a custom feature factor on a quantitative trading platform. It asks how to use lagged close-price fields such as the current-day close, how rolling mean functions relate to those fields, and whether a TA-Lib moving-average function behaves differently. It also asks how to obtain a three-day average when a precomputed technical feature appears to provide a five-day simple moving average.
The material offers no answers, worked examples, or calculation results; it only identifies implementation and data-alignment questions. In particular, it does not establish whether the current-day field is appropriate for a given factor timestamp or clarify the difference between available mean functions and technical-analysis functions. It is useful as a set of issues to resolve when building moving-average features, but not as a documented method.
Key ideas
- The document raises how to calculate short rolling averages from lagged close-price fields in custom factors.
- It asks whether a current-day close field can serve as input to a multi-day moving average.
- It distinguishes questions about general mean functions, a TA-Lib moving average, and precomputed simple-average features.
- No solutions, examples, or evidence are provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.