Hello, I have a question on creating a factor. I want to create a factor that is based on another factors history.
I created factor A which is the intraday return of the stock 'Close / Open'. I would like to create factor B which is the product of factor A over the last ten days.
For example,
Factor B = Factor A(t) * Factor A(t-1) * Factor A(t-2) .... * Factor A(t-9)
I dont know how I can reference another factor history to create a new factor.
Thanks,
Brian