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I went ahead and started a new thread because this seems to be a theme that comes up often, and the specific answer is elusive, both in documentation and community posts.
The working algo attached below is adapted from this backtest, It works great with SMA, which has only one datapoint.
However, with MACD (or any other multi-point indicator) the question arises: how is the indicator data stored in the rolling window bar? How can it be accessed? With MACD, are all three data points (fast, signal, slow) being stored in the rolling window? If not, how should each be stored when multiple equities are involved?
I've been successful creating a MACD rolling window with only one equity at a time, but running into this snag when trading a larger universe. All help and/or feedback is appreciated!
Grateful Trading
SOLVED!
See updated backtest (working) for complete solution. Hope this helps someone out!
Grateful Trading
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