Hi All,
I am relatively very new to this algo trading platform. I am working on a strategy and I want to subtract returns[ on 252nd day earlier] from today's returns But I am unable to find a way.
I imported Returns function from Pipeline Factors.
Today's returns = Returns(window_length =2)
Returns on last 252nd day = Returns(window_length = 252)? Does this compute the returns average (for the last 252 days) like SMA or will it populate the returns of the security 252 days earlier?
Any help on this is very Appreciated.
Many Thanks,
Akash.