Matrix Trace Utility

Category: momentum

Calculates the trace of a square or rectangular matrix (sum of diagonal elements) based on price data.

Formula

\text{tr}(A) = \sum_{i=1}^{\min(n, m)} A_{ii} \text{ where } A \text{ is an } n \times m \text{ matrix}

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.