How to create a composite benchmark index ?
Author: abegy
Creation Date: 4/16/2018 8:00 AM
profile picture


Hi Eugene,

I tried without success to find in the documentation an example of how to create our benchmark composite index. Can you help me ?

I would like to create a dedicated symbol and use it after as my benchmark index with the following caracteristics :
- 10% for ^AEX
- 50% for ^FTSE
- 10% for ^IBEX
- 30% for ^FCHI

Thanks in advance for your help.
profile picture


Hi Alexandre,

1. An easy way is to build this custom index on-the-fly in your Strategy code. Once created it can be cached in program's global memory and retrieved by other Strategies during an active Wealth-Lab session. Please see post #10 for a code example:

Custom index on-the-fly

Taking the idea even further, you can serialize the new Bars object to a disk file with Bars.SaveToFile and Bars.LoadFromFile. IMHO, this all should be pretty effortless.

2. Or you can create it once and forever by developing a custom IndexDefinition as suggested here:

How to create indicator sector/industry averages?

IndexDefinition development can be recommended for power users as it can get a little bit tricky when you need to configure the percentages and symbols of your index through a GUI and serialize these settings. Solution #1 implies that you reconfigure the composite benchmark in the WealthScript code.
profile picture


Thank you Eugene.
profile picture


Any time.
This website uses cookies to improve your experience. We'll assume you're ok with that, but you can opt-out if you wish (Read more).