Hi,
This is my first post on Quantopian! As recommended, I started with Research, trying to create CustomFactors. I would need help, please. Below a quick description of what I would like to do:
- Calculate for each day the ratio between the latest price of all US equities and SPY. I am OK on this part (see notebook attached, factor ratio_SPY)
- Identify the highest level of the ratio over the last 252 days. I was able to do it with absolute prices '(see factor High52W) but I don't know how to use the ratio created with ratio_SPY as "price" input in customFactor High52W.
Any comment would be much appreciated and I hope will also help other members.
Thanks