Non-Equal weighted Index - Trading Software

Non-Equal weighted Index

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Rakla03
2016-01-12 11:17:42

Hi,
how do I create a Non-Equal-Weighted Index for a basket of assets?

e.g.

Asset A 60%
Asset B 15%
Asset C 25%

QuantShare
2016-01-13 01:50:15

The composite tool allows you to create composites (Tools -> Composite).
For a market cap weighted index you would need access to market capitalization historical data.
In the composite formula, you just need to multiply the close price by a specific value (volume, market cap...).

Example:
composite = close * getdata("mktcap", "mktcap");

Rakla03
2016-01-13 03:08:40

No, thatï¿½s not what I mean.I donï¿½t want to use any market cap data.

I just want to calculate a composite based on the weights above.

I downloaded an example for an equal weighted index, now I search for an example for a non equal weighted.

QuantShare
2016-01-14 03:32:00

Use something like this:
a = getseries("asset A", close) * 0.6 + getseries("asset B", close) * 0.15 + getseries("asset C", close) * 0.25;

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