|
For use in the Data section to tag a data item as a cross-sectional function. Normally, a data formula is calculated by going back in time from the current bar for the given symbol. Cross-sectional items are instead calculated by going across all symbols on the given date. One use of cross-sectional data is to calculate ranking for a rotational strategy. Another is to generate market-breadth indicators.
#Avg - cross-sectional average value
#ByCII - groups values by corresponding industry index (?CII) for any cross-sectional function
#ByEcon - groups values by economic sector (?EconSect) for any cross-sectional function
#ByGroup - groups values by industry group (?IndGroup) for any cross-sectional function
#ByIndu - groups values by industry (?Industry) for any cross-sectional function
#ByListNum - groups values by Import IncludeList number
#ByMkt - groups values by futures market (ES, CL, etc.) for any cross-sectional function
#BySect - groups values by business sector (?Sector) for any cross-sectional function
#Count - cross-sectional count of values
#DenseRank - cross-sectional numeric rank of unique values
#Highest - cross-sectional highest value
#Lowest - cross-sectional lowest value
#Median - cross-sectional median value
#OnePerDate - calculate and store only one value per date (same value for all symbols)
#OnePerSym - calculate and store only one value per symbol (same value for all dates)
#PercentRank - cross-sectional percent rank
#Rank - cross-sectional numeric rank
#StdDev - cross-sectional standard deviation
#Sum - cross-sectional sum of values
|
