Dear All's, as the name itself says addtocomposite is a very useful tool to build indicator which can be obtained by summing over all the elements of a given set a given function of its values.
For example using a quite obvious mathematical notations : average=1/N Sum(x_i,i=1,i=N) or in general with addtocomposite would be obatined by addtocomposite(x)/N run in scan mode of the set. (forget about the afl sysntax here..) i index here stands for element i.e. stock for example, not for bar index, which is implicitly the same for all elements in this notatios What twhen I want to create a different indicator which has a more general form like product(x_1,i=1,i=N) or sum(x_i^2+x_(i-1)^3,i..) That is required for example to calculate the geometric mean, which has some importance in maximizing expectancy in ( kelly criterion ..) The only way I see would be to loop through the elements and build the indicator (also looping through the bars if necessary), but how would I then the assign the result to the value of a symbol ? I could scan the formula over 1 dummy symbol calculating my indicator and then use addtocomposite(which since I scan only over one symbol will simply assign the result) but I wonder if there is a better way. For Example creating ProductToComposite to afl .. Also an out of scope question, when the option to use addtocomposite in backtesting mode is activated, is the ~symbol constructed first and then the backtester is using it(juest after) ?In this case two full loops over all symbols would be required but I noticed that there seems to be just one loop no matter what setting is used. Thank Ly
