I'm interested in minute frequency data, and calculating the simple transforms based on this frequency. for instance mavg(5)...i would like to use the past 5 one minute bars...rather than 390 minutes * 4 days + today's trailing prices.
Is there a way to do this?
Thanks!
Perhaps I can use the history function? Such as history(2, "1m", "price")...but i would then like to calculate transforms on this history. is this possible if I save this function to a variable and calculate some transforms off of it..such as mavg or st deviation?
You can try searching the community for the code snippet (in particular check out the second hit): https://www.quantopian.com/posts/search?q=minute%20moving%20average
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