Implementing CROSS and Rolling High Functions in BigQuant

Summary

The document explains how to translate two Tongdaxin indicator functions into BigQuant operations. A crossover, described as one series moving above another, can be expressed with a conditional filter and shifted values. The example applies this to a bullish crossover between the 5-day and 20-day moving averages using precomputed factors.

For a highest value over time, it recommends a time-series maximum function rather than a generic maximum operation, which may compare values differently. The example calculates the rolling maximum of the closing price over five days. The document points to an implementation example but does not include its code or specify the exact crossover condition, data alignment, or edge-case handling. It offers a concise platform translation rather than a tested trading strategy or evidence of performance.

Key ideas

• A crossover can be implemented by comparing current and shifted series with a conditional filter.
• The example applies crossover logic to 5-day and 20-day moving averages.
• A time-series maximum function is suggested for calculating a rolling high.
• The example uses a five-day window for closing-price highs.
• The document provides no performance results or detailed implementation code.

Tags

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