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Hello, dimitri,
my first try to translate your SFT code in c++ is a
"half success", I have just written the first part, and the code runs faster,
BUT...
the results is different because I am stopped with
Lastvalue in
error=<FONT face="Courier New"
color=#0000ff>LastValue(Cum(<FONT
color=#0000ff>abs(y-new1)));
The c++ code returns a different error for each bar
of a ticker, and the Afl code returns the same value --> the lastvalue
-->the value at (nSize-1) or <FONT
size=1>(BarCount-1)<FONT
size=1>
attached, the workspace, the dll ( in release) ,the
afl code
//////////////////////////////////// FFT
DT/////////////////////////////////
// Elementary Fourier analysis, by D. Tsokakis, May
2004// t=Cum(1)-1;// C1=MA(RSI(50),100);//
start=Cum(IsTrue(C1))==1;// t1=ValueWhen(start,t);//
C10=ValueWhen(start,C1);Plot(C1,"C1",colorBlack,8);// GraphXSpace=2;// x
= Cum(1);// lastx = LastValue( x ); // Daysback =
LastValue(Cum(IsTrue(C1)));// aa = LastValue( LinRegIntercept( C1, Daysback)
);// bb = LastValue( LinRegSlope( C1, Daysback ) );// yy = Aa + bb * ( x
- (Lastx - DaysBack) ); // yy=IIf( x >= (lastx - Daysback), yy, -1e10
);// // detrend=C1-yy;// new1=detrend;//
Hor=LastValue(Cum(new1)/Cum(IsTrue(C1)));// pi=4*atan(1);n=12;
AmiVar FFTDT( int NumArgs, AmiVar *ArgsTable
){
int i; int nSize =
gSite.GetArraySize(); AmiVar IstruepPrice =
gSite.AllocArrayResult(); AmiVar Hor =
gSite.AllocArrayResult(); AmiVar y01 =
gSite.AllocArrayResult(); AmiVar y =
gSite.AllocArrayResult(); AmiVar error =
gSite.AllocArrayResult(); AmiVar Lv_error =
gSite.AllocArrayResult();
float*pPrice=ArgsTable[ 0
].array; float*Detrend=ArgsTable[ 1
].array; float*t1=ArgsTable[ 2 ].array;
ISTRUE (pPrice,IstruepPrice);
AmiVar arg[ 1 ]; arg[ 0 ].type =
VAR_ARRAY; arg[ 0 ].array = IstruepPrice.array; AmiVar CumC1
= gSite.CallFunction( "CUM", 1, arg );
AmiVar arg1[ 1 ]; arg1[ 0 ].type =
VAR_ARRAY; arg1[ 0 ].array = Detrend; AmiVar CumDetrend =
gSite.CallFunction( "CUM", 1, arg1 );
for( i=0;i<nSize;i++){//
Hor=LastValue(Cum(Detrend)/Cum(IsTrue(C1)));Hor.array[i]=
CumDetrend.array[i] / CumC1.array[i];}
float cumHor = Hor.array[nSize-1];
// // Fundamental period, crude approximation//
error00=10000;per01=0;g01=0;phi01=0;stg0=0.5;stp0=100;//
for(phi=0;phi<2*pi;phi=phi+pi/n)// {//
for(g=0.5;g<=8;g=g+stg0)// {//
for(per=300;per<=1000;per=per+stp0)// {f=1/per;//
y=Hor+g*sin(2*pi*f*(t-t1)+phi);// error=LastValue(Cum(abs(y-new1)));//
if(error<error00)// {error00=error;per01=per;g01=g;phi01=phi;}//
}}}// f01=1/per01;//
y01=Hor+g01*sin(2*pi*f01*(t-t1)+phi01);
double error00=10000;float per01=0.0;float
g01=0.0;double phi01=0.0;float stg0=0.5;float stp0=100;int
n=12;
// double* y = new double[nSize];// double* Error =
new double[nSize];
for(i=0;i<nSize;i++){ if(
t1[i]==EMPTY_VAL) { y.array[i]=EMPTY_VAL; y01.array[i]=EMPTY_VAL; continue; }
for(double
phi=0;phi<2*PI;phi=phi+PI/n) { for(float
g=0.5;g<=8;g=g+stg0) { for(float
per=300;per<=1000;per=per+stp0) { float
f=1/per; y.array[i]=(float)(cumHor +
g*sin(2*PI*f*(i-t1[i])+phi));
error.array[i]=(float)
(error.array[i-1] + fabs(y.array[i]-Detrend[i]));
<FONT
size=2> if(error.array[i]<error00) { error00=error.array[i];per01=per;g01=g;phi01=phi; } } } }float
f01=1/per01;y01.array[i]= (float) (Hor.array[i] +
g01*sin(2*PI*f01*(i-t1[i])+phi01));}
// delete[] y;// delete[] error;
float Error=
error.array[nSize-1];for(i=0;i<nSize;i++){Lv_error.array[i]=Error;}
gSite.SetVariable( "dty", y );gSite.SetVariable(
"dterror", error );gSite.SetVariable( "dtLverror", Lv_error
);gSite.SetVariable( "dtHor", Hor);return y01;
}
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
DIMITRIS
TSOKAKIS
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Friday, May 14, 2004 6:43 AM
Subject: [amibroker] Re: DTFFT
Stephane,It is the
total [cumulative] error that should be minimum.The idea of this
Elementary Fourier Analysis [let us use EFA instead of FFT, because FFT
concept is a bit different...] refers to the whole history of the
oscillator.Another procedure would be the Sum(error,per) to reflect the
last per days, but not for this moment.If we have a faster code, we
could add more sinusoidal summands and drop the error below
1%.[!!]Dimitris Tsokakis--- In amibroker@xxxxxxxxxxxxxxx, "Stephane
Carrasset" <s.carrasset@xxxx> wrote:> Dimitri,>
> is it really important to keep lastvalue in>
error=LastValue(Cum(abs(y-detrend)));> > because in c++ I
can write the code without lastvalue, but of course the result s
different> > stephane> > -----
Original Message ----- > From: DIMITRIS TSOKAKIS
> To: amibroker@xxxxxxxxxxxxxxx > Sent:
Thursday, May 13, 2004 9:42 AM> Subject: [amibroker] Re:
New file uploaded to amibroker> > >
Stephane,> you may see now the comparison of my AFL
Elementary Fourier analysis > and the usual FFT. There
is a significant error decreament but, the > most
important, a much better fundamental period approximation.>
The sample was 921 bars of the Nikkei C1=MA(RSI(50),100); and the FFT
> analysis was executed in
DaDisp_SE2000.> Any suggestion to make my analysis faster
would improve the > sinusoidal approximation and would give
an interesting T/A tool> Dimitris
Tsokakis> --- In amibroker@xxxxxxxxxxxxxxx, "Stephane
Carrasset" > <s.carrasset@xxxx>
wrote:> > Dimitri, Perhaps I'll try to translate it in
c++ (this WE) to get > it faster...>
> But as I see you turn to be a master in looping> >
I think you must have a look to c++ programming with ADK because
> there is a math world that I would like to explore (
Adaptive > simulated annealing) <A
href=""><FONT
size=2>http://www.ingber.com> >
> > > >
stephane> > ----- Original Message -----
> > From: DIMITRIS TSOKAKIS
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Thursday, May 06, 2004 9:47
PM> > Subject: [amibroker] Re: New file
uploaded to amibroker> > > >
> > Note also, to avoid any confusion, that
it is pure sinusoidal > > analysis and has
nothing to do with FFT, the 512 or 1024 or 2^n >
> points, the well known end point problems
etc.> > I believe the sinusoidal trend gives
interesting info in > combination >
> with the [available in AFL syntax] linear
trend.> > Dimitris
Tsokakis> > --- In
amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" >
<TSOKAKIS@xxxx> > >
wrote:> > > Stephane,>
> > Any ideas to make it shorter will be much appreciated
!!> > > We should *do* something instead
of waiting and waiting [and I > hope
> > > you agree...]>
> > Dimitris Tsokakis> >
> --- In amibroker@xxxxxxxxxxxxxxx, "Stephane Carrasset"
> > > <s.carrasset@xxxx>
wrote:> > > >
Ouah!!> > > > Dimitri, don't know how
many loops you have written, it takes > at
> > > least 2 minutes to be plotted on my
"old" computer...> > > > it seems here
we find an usage of c++> > > >
> > > > stephane>
> > > ----- Original Message -----
> > > > From:
amibroker@xxxxxxxxxxxxxxx > > >
> To: amibroker@xxxxxxxxxxxxxxx >
> > > Sent: Thursday, May 06, 2004 9:48
AM> > > > Subject:
[amibroker] New file uploaded to amibroker>
> > > > > > >
> > > > >
> > > Hello,>
> > > > > >
> This email message is a notification to let you know
that> > > > a file has
been uploaded to the Files area of the amibroker >
> > > group.>
> > > > > >
> File :
/Elementary Fourier Analysis/fourier1.txt >
> > > Uploaded by : dtsokakis
<TSOKAKIS@xxxx> > > >
> Description : >
> > > > > >
> You can access this file at the URL>
> > > > > >
> <A
href=""><FONT
size=2>http://groups.yahoo.com/group/amibroker/files/Elementary%<FONT
size=2>> > >
20Fourier%20Analysis/fourier1.txt > > >
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about file sharing for your group, please >
visit> > > > >
> > > <A
href=""><FONT
size=2>http://help.yahoo.com/help/us/groups/files<FONT
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> > > Regards,>
> > > > > >
> dtsokakis <TSOKAKIS@xxxx>>
> > > > > > >
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Attachment:
Test.zip
Description: Zip compressed data
Attachment:
Attachment:
Description: "Description: Binary data"
Attachment:
Description: "Fourier3 dt.afl"
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