|
PureBytes Links
Trading Reference Links
|
Keith,
See my post at FT-Talk where someone asked how to do stuff like UI
calcs on a wathlist so it could be sorted ... I modded the
PortfolioEquity indicator to an AA that could be run to do this
and/or what you are wanting.
--- In amibroker@xxxxxxxxxxxxxxx, "keithmccombs" <kmccombs@xxxx>
wrote:
>
> Fred --
> Took me a little while to get back to you and say THANKS!
> I tried ED's suggested code, a few messages before yours, and it
> solved my SLOW problem and helped me get a better understanding of
> loops.
>
> PSO/IO, not no, yes!
> Now, I just started looking at your Portfolio.afl, without any
> looping, and that really got me thinking. Lots of other great
stuff
> in that code. Looks so clean and straight forward (not Kludgy like
> my stuff).
> -- Keith
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
> >
> > Keith,
> >
> > ALL calcs for statistics like UI & MDD should be able to be done
> > with NO looping.
> >
> > I think you are a PSO/IO user, no ?
> >
> > See the equity curve indicator contained therein for these calcs.
> >
> > Fred
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "keithmccombs" <kmccombs@xxxx>
> > wrote:
> > >
> > > The following code displays the %UI and %MaxDD over a period of
> > time
> > > defined by the 'marker' poles. The default (no marker poles
> > > present), displays %UI and %MaxDD over all bars in the data
base.
> > >
> > > This code works, but is terribly slow. It is fine for monthly
> > bars,
> > > but with 15 years of daily bars you will think it died (in fact
> > Task
> > > Manager will think so too).
> > >
> > > I'm pretty sure the problem is with the arrays in the 'for'
loop,
> > but
> > > don't know what to do about it.
> > >
> > > Any and all help and suggestions are appreciated.
> > > TIA.
> > > -- Keith
> > > =============================
> > > // just between the poles
> > > Count = 0;
> > > SumR2 = 0;
> > > ddmax = 0;
> > > ddmaxdate = 0;
> > > _highest = 0;
> > > ratio = 0;
> > > adate = DateTime();
> > >
> > > for(i = BeginValue(BarIndex())+1; i <= EndValue(BarIndex());
i++){
> > > _highest = HHV(H, BarIndex() - BeginValue(BarIndex()));
> > > ratio[i] = (_highest[i] - L[i])/_highest[i];
> > > if(ratio[i] > ddmax[i-1]){
> > > ddmax[i] = ratio[i];
> > > ddmaxdate[i] = adate[i];
> > >
> > > }else{
> > > ddmax[i] = ddmax[i-1];
> > > ddmaxdate[i] = ddmaxdate[i-1];
> > > }
> > > SumR2 = ratio[i]^2 + Ref(SumR2[i], -1);
> > > Count++;
> > > }
> > >
> > > ui = 100 * (SumR2[i-1]/Count)^0.5;
> > > Maxdd = 100 * ddmax[i-1];
> > > Maxdddate = ddmaxdate[i-1];
> > >
> > > PlotOHLC(O,H,L,C,"",colorBlack,styleCandle);
> > > Value = SelectedValue(C);
> > > Title = Name() + " = " + Value
> > > + " %UI = " + ui + " Max%DD = " + Maxdd
> > > + " on " + NumToStr(Maxdddate, formatDateTime);
------------------------ Yahoo! Groups Sponsor --------------------~-->
In low income neighborhoods, 84% do not own computers.
At Network for Good, help bridge the Digital Divide!
http://us.click.yahoo.com/EpW3eD/3MnJAA/cosFAA/GHeqlB/TM
--------------------------------------------------------------------~->
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|