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An efficiency improvement in the Kase PeakOscillator code posted
earlier.
My enthusiasm about picking up the looping stuff spun out of control
and made me loop thinks unnecessarily. In the PeakOut lines part of
the KPO code we need to turn our set PeakOut percentiles into
standard deviations (PC cycle into THcycle and PChist into THhist,
TH for threshold). For that we iterated through the standard
deviations to reach the set PeakOut percentiles using the formula
percentile = ( 2*N(stdev) – 1 )*100
and using the Hastings formula to approximate N(ormal distribution).
However we'd be better off using the INVERSE normal distribution
and calculate the standard deviations directly:
stdev = N-1(0.5*(Percentile/100 + 1))
Just like Hastings is a polynomial approximation for the
distribution itself, there are approximations for the inverse
distribution. This eliminates the loop and creates a straightforward
calculation.
For who's interested I used an approximation I found on page 4 of
http://www.math.toronto.edu/almgren/mmf/monte-carlo-02/notes2.pdf
Although I think values below 80 hardly make sense (I had previously
limited to 81 in order to somewhat limit the # of loops) there is
now no more theoretical limitation to the settings of PCcycl and
PChist, you can choose any number between 1 and 99 so in the
beginning of the code you can change that line to
/* Set percentiles for PeakOut lines using numbers between 1 and 99
*/
Below is PeakOut part of the code including the correction.
/* Definition of PeakOut lines POmax and POmin */
UPcycle = minLB;
for (i=minLB+1;i<=maxLB;i++)
{ UPcycle = IIf(KSDIup(i)==maxKSDIup,i,UPcycle); }
DNcycle = minLB;
for (i=minLB+1;i<=maxLB;i++)
{ DNcycle = IIf(KSDIdn(i)==maxKSDIdn,i,DNcycle); }
function f(x)
{ return sqrt(-2*log(1-x)) ; }
function g(x)
{ return f(x) - (2.515517 + 0.802853*f(x) + 0.010328*f(x)^2) / (1 +
1.432788*f(x) + 0.189269*f(x)^2 + 0.001308*f(x)^3) ; }
function NDSINV(x)
{ return IIf(0<x AND x<0.5, -g(1-x), IIf(0.5<=x AND x<1, g(x),
0)) ; }
if (PCcycl<1) PCcycl=1;
if (PCcycl>99) PCcycl=99;
if (PChist<1) PChist=1;
if (PChist>99) PChist=99;
THcycl = NDSINV(0.5*(PCcycl/100+1));
THhist = NDSINV(0.5*(PChist/100+1));
CYCL = IIf(KPO>=0,UPcycle,DNcycle);
MNcycl = MA(KPO,CYCL);
SDcycl = SD(KPO,CYCL);
Vcycl1 = MNcycl + THcycl*SDcycl;
Vcycl2 = MNcycl - THcycl*SDcycl;
POcycl = IIf(KPO>0,Vcycl1,IIf(KPO<0,Vcycl2,0));
HIST = BarIndex()-maxLB+1;
MNhist = MA(KPO,HIST);
SDhist = SD(KPO,HIST);
Vhist1 = MNhist + THhist*SDhist;
Vhist2 = MNhist - THhist*SDhist;
POhist = IIf(KPO>0,Vhist1,IIf(KPO<0,Vhist2,0));
POmax = IIf(abs(POcycl)>abs(POhist),POcycl,POhist);
POmin = IIf(abs(POcycl)<abs(POhist),POcycl,POhist);
/* end */
-treliff
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