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Then you would need to draw a * Horizontal-axis Parabola with its Vertex at
the left *,
connecting these top and bottom values....( as shown in the attached image )
.....
I had asked for help with this over a year ago...specifically I asked
Dimitri....because he is great with
producing graphical output and the mathematics behind the output...as
evidenced by his many post.
( thank you Dimitri ) .....
Probability Calculator
http://www.amibroker.com/library/formula.php?id=114
Anthony
-------Original Message-------
From: amibroker@xxxxxxxxxxxxxxx
Date: Tuesday, April 29, 2003 10:11:12 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: Re: [amibroker] CONES
Hi UM,
I just came back home after 3 days.
This is code from trade station
{Input definitions:
VolatilityLength in the modified code is the ratio of look-a-head days
divided by trading days(252) in a year
or all days(365) in a year. For example use VolatilityLength(30/252) for a
30 day lookahead using
trading days.
SD(#)= number of standard deviations for top and bottom of the ProbMapND.
SD(1) captures prices 68% of the time.
SD(2) captures prices 95% of the time.
SD(3) captures prices 99.7 of the time.
VIX(c of data2) is to provide an implied volatility input from your datafeed
or from a manual input
when doing "what if" types of studies. For example if you want to assume
the market goes into a nosedive
and implied volatility rises to 50 then use VIX(50) instead of VIX(c of
data2).
PriceRows(#) determines the number of horizontal lines in the map.
BarColumns(#) determines the number of price bars used in the map. Format
Window Bars to Right to "see" into the future.
********************************************************************}
Inputs: VolatilityLength(30/252),SD(2),VIX(c of data2), PriceRows(75),
BarColumns(75);
Variables: Count(0), PriceLevel(0), RowHeight(0), MapTop(0), MapBottom(0),
VolatilitySDev(0), Probability(0), UseLog(True);
{VolatilitySDev = StdDevSAnnualized(ExtremePrice(2,UseLog),VolatilityLength)
}
VolatilitySDev = SD*(0.01*VIX)*squareroot(volatilitylength);
If CurrentBar>= 1 Then Begin
MapTop = Close + (Close * VolatilitySDev);
MapBottom = Close - (Close * VolatilitySDev);
RowHeight = (MapTop - MapBottom) / PriceRows;
Count = 1;
PM_SetLow(MapBottom);
PM_SetHigh(MapTop);
PM_SetRowHeight(RowHeight);
PM_SetNumColumns(BarColumns);
While Count <= BarColumns Begin
PriceLevel = MapBottom;
While PriceLevel < MapTop Begin
If PriceLevel < Close Then
Probability = ProbBelow(PriceLevel, Close, VolatilitySDev, Count) * 100
Else
Probability = ProbAbove(PriceLevel, Close, VolatilitySDev, Count) * 100;
PM_SetCellValue(Count, PriceLevel, Probability);
PriceLevel = PriceLevel + RowHeight;
End;
Count = Count + 1;
End;
End;
ProbAbove
PriceTarget=1;
CurrentPrice=1;
VltyVal=1;
BarsToGo=1;
e=2.71828;
If MinList(PriceTarget, CurrentPrice, VltyVal, BarsToGo) <= 0 Then
ProbBelow = 0
Else
Begin
Vlty = VltyVal * Sqrt(BarsToGo/(BarAnnualization^2));
PriceRatio = Log(PriceTarget / CurrentPrice);
If (Vlty <> 0) Then
RawProb = PriceRatio / Vlty;
z1 = .3989423 * (e^(-(RawProb^2)*.5);
y1 = 1 / (1 + .23166419 * Abs(RawProb));
x1 = 1 - z1 * ((1.33027443 * (y1^5)) - (1.821256 * (y1^4)) +
(1.78147794 * (y1^3)) - (.3565638 * (y1^2)) + (.31938153 * y1));
If RawProb > 0 Then
ProbBelow = x1
Else
ProbBelow = 1 - x1;
ProbAbove = 1 - ProbBelow;
ProbBetween = ProbBelow - ProbBelow;
ProbBelow
Inputs: PriceTarget(Numeric), CurrentPrice(Numeric), VltyVal(Numeric),
BarsToGo(Numeric);
Variables: PriceRatio(0), Vlty(0), RawProb(0), e(2.71828), z1(0), y1(0),
x1(0);
If MinList(PriceTarget, CurrentPrice, VltyVal, BarsToGo) <= 0 Then
ProbBelow = 0
Else
Begin
Vlty = VltyVal * SquareRoot(BarsToGo/Square(BarAnnualization));
PriceRatio = Log(PriceTarget / CurrentPrice);
If Vlty <> 0 Then
RawProb = PriceRatio / Vlty;
z1 = .3989423 * Power(e, -Square(RawProb)*.5);
y1 = 1 / (1 + .23166419 * AbsValue(RawProb));
x1 = 1 - z1 * ((1.33027443 * Power(y1, 5)) - (1.821256 * Power(y1, 4)) +
(1.78147794 * Power(y1, 3)) - (.3565638 * Power(y1, 2)) + (.31938153 *
y1));
If RawProb > 0 Then
ProbBelow = x1
Else
ProbBelow = 1 - x1;
Thanks,
Erkan
End;
uenal.mutlu@xxxxxxxxxxx wrote:
Hi, did you unterstand what the syntax error message says?
At some places you have to use the subscript operator (ie. myarray[i])
No, sorry, I don't have time to fix bugs, esp. of code without any
explanation what it supposed to do. Shall I guess and try the zillion
possibilities the coder could have meant?
Sorry, more explanation is required if you want it be fixed by anyone.
UM
----- Original Message -----
From: ERKAN BISEVAC
To: amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 26, 2003 5:40 AM
Subject: Re: [amibroker] CONES
UM
Can you show me how to fix it?
Thanks
Erkan
uenal.mutlu@xxxxxxxxxxx wrote:
Hi Erkan,
the syntax error says:
Condition in IF, WHILE, FOR statements
has to be Numeric or Boolean type.
You can not use array here,
please use [] (array subscript operator)
to access array elements
UM
----- Original Message -----
From: ERKAN BISEVAC
To: amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, April 26, 2003 1:51 AM
Subject: [amibroker] CONES
I am trying to translate one indicator but it's not working.
Can somebody look at this, please.
Thanks
Erkan
VolatilityLength=30/252;
SD=2;
VIX=Foreign("^Vix","C");
PriceRows=75;
BarColumns=75;
VolatilitySDev = SD*(0.01*VIX)*sqrt(volatilitylength);
MT = Close + (Close * VolatilitySDev);
MB = Close - (Close * VolatilitySDev);
RH = (MapTop - MapBottom) / PriceRows;
CL=Close;
for(I=1;i<=BARCOLUmns;i++)
{
PriceLevel = MB[I];
while (PriceLevel < MT[I])
{
if (PriceLevel < CL[I])
Probability = 1;
else
{
Probability = .5;
}
Plot(PriceLevel*(1-Probability),"UP",1,1);
Plot(PriceLevel*(1+Probability),"UP",1,1);
PriceLevel = PriceLevel + RH[I];
}
}
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