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Fred, ALL bars indeed. This is not short-term-TA but long-term-
statistics (an attempt at least :-). 3 years of daily bars is
minimum, 10 years would be better.
Your amazement (Is that really what you are wanting ?) though may
have pointed me in the right direction: perhaps I should de-link
these long term standevs from the code. I am thinking about
artificial AddToComposite tickers to store these measurements. No
real "Composites" but multiple per-stock tickers like
Ticker+"Cycle"+"10to13"
Ticker+"Cycle"+"14to17" etc
(certainly incorrect code, I'd have to work this out)
That would be about 10 ATC tickers per stock (40 different cycles
with 4 storage spaces OHLC for each ticker). One time-consuming ATC
run over multiple stocks.
Remains to be seen though if the code finds accessing data in
truckloads of ATC tickers much more pleasant than doing the
calculations itself.....
Thanks for thinking along.
-treliff
--- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
> Is that really what you are wanting ?
>
> Standard deviation of all numbers from the first bar through the
> current bar ? or at the current bar are you wanting standard
> deviation of the numbers of the most current n bars where n is the
> current cycle ?
>
> --- In amibroker@xxxxxxxxxxxxxxx, "treliff" <treliff@xxxx> wrote:
> > Fred, thanks for your comments.
> >
> > Correct about standard deviation, the defined StDevCum(array) is
> > really StDev(array, BarIndex() + 1) but this one does not work.
> >
> > However I'm not sure this is what you are referring to because
this
> > is not really a "loop".
> >
> > Could you perhaps be more specific, maybe point me in the
direction
> > of a loop-less re-write? Highly appreciated.
> >
> > -treliff
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
> > > Regardless ... It would appear the only loop that's required is
> the
> > > one that calc's standard deviation as the built in AFL version
> does
> > > not take an array for length. The rest of the loops can be
> > replaced
> > > by arrays and in some cases totally done away with.
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx> wrote:
> > > > No, I'm not sure, but this has been discussed before. The
last
> I
> > > recall
> > > > Tomasz said not to use this anymore...but we're counting on
> > > my "recall"
> > > > so that's not reliable ;-)
> > > >
> > > > I do know that AB will use as many bars as necessary to get
> > > the "right"
> > > > answer. It's very smart in that regard. Why don't you record
> some
> > > > results, take out the SetBarsRequired and see if the answers
> are
> > > the
> > > > same and if the speed is improved?
> > > > --
> > > > Terry
> > > >
> > > > | -----Original Message-----
> > > > | From: amibroker@xxxxxxxxxxxxxxx
> > > [mailto:amibroker@xxxxxxxxxxxxxxx] On
> > > > | Behalf Of treliff
> > > > | Sent: Tuesday, August 23, 2005 09:04
> > > > | To: amibroker@xxxxxxxxxxxxxxx
> > > > | Subject: [amibroker] Re: some looping help needed .......
> > > > |
> > > > | Terry, no I don't need 100,000 bars (currently testing on
> > several
> > > > | years of daily bars) but I do want the calculation (standard
> > > > | deviation) over all bars, so back to bar zero from any
> starting
> > > bar.
> > > > |
> > > > | While AB Help menu says that SetBarsRequired is only
necessary
> > > > | outside pure AFL (having to do with "QuickAFL") I find many
> > pure
> > > AFL
> > > > | code examples that contain looping having this
> > > > |
> > > > | setbarsrequired( 100000, 100000 ) // require all past and
all
> > > future
> > > > | bars
> > > > |
> > > > | statement at the beginning (like in AFL library or in this
> > > forum).
> > > > |
> > > > | Are you sure it can be left out?
> > > > |
> > > > | I appreciate your help. Thanks.
> > > > |
> > > > | -treliff
> > > > |
> > > > | --- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx>
> wrote:
> > > > | > Do you really need 100,000 bars to get the right answer?
> > > > | > Seems like not forcing this many bars would speed things
up
> a
> > > lot.
> > > > | > --
> > > > | > Terry
> > > > | > | -----Original Message-----
> > > > | > | From: amibroker@xxxxxxxxxxxxxxx
> > > > | [mailto:amibroker@xxxxxxxxxxxxxxx] On
> > > > | > | Behalf Of treliff
> > > > | > | Sent: Monday, August 22, 2005 20:10
> > > > | > | To: amibroker@xxxxxxxxxxxxxxx
> > > > | > | Subject: [amibroker] some looping help needed .......
> > > > | > |
> > > > | > | Hoping for some help from Expert Coders.
> > > > | > |
> > > > | > | Code in question is part of a larger code and creates an
> > > > | incredible
> > > > | > | drag, slow chart scrolling etc., understandably so in
> view
> > > of the
> > > > | > | amount of procedures. Hope this can be
> simplified/improved.
> > > > | > | Appreciate anyone's time to take a look and possibly
help
> > me
> > > out.
> > > > | > |
> > > > | > | I have an array called "Cycle" that contains integers
> > between
> > > > | > | 10 and
> > > > | > | 50.
> > > > | > |
> > > > | > | I have a function called "Oscillator" that, working on
any
> > > > | > | Cycle
> > > > | > | array, returns some oscillator, meaning it is limited
on
> up-
> >
> > > and
> > > > | > | downside and has Mean approximately zero (like an
> irregular
> > > > | Sinus).
> > > > | > |
> > > > | > | My challenge is that once Cycle has been generated
> (earlier
> > > in my
> > > > | > | code) I want to calculate the standard deviation of
> > > Oscillator
> > > > | over
> > > > | > | all previous bars using strictly the Cycle value of that
> > > > | particular
> > > > | > | Bar (not the Cycle array which has different values).
> > > > | > |
> > > > | > | For example:
> > > > | > | - Bar 300 has cycle value 27
> > > > | > | - I create an array with value "27" in all array
elements
> > > > | > | - then calculate Oscillator of this "27" array
> > > > | > | - calculate the standard deviation of all Oscillator
> values
> > > up to
> > > > | Bar
> > > > | > | 300
> > > > | > | - place this particular value in Bar 300 of a new array
> > > > | > | - execute this procedure for all Bars separately
> > > > | > |
> > > > | > | Below is the code I made. TIA for any advice.
> > > > | > |
> > > > | > | // code start
> > > > | > |
> > > > | > | /* NOTE: the first few lines below are IRrelevant, only
> to
> > > create
> > > > | > | random Cycle values between 10 and 50 and some
Oscillator
> > > > | function,
> > > > | > | in order for the lower part to work */
> > > > | > |
> > > > | > | function Randomize(a,b)
> > > > | > | { return Random(1)*(b-a)+a ; }
> > > > | > |
> > > > | > | Cycle = int( Randomize(10,50) ) ;
> > > > | > |
> > > > | > | function Oscillator(n)
> > > > | > | { return Randomize(-50,n) ; }
> > > > | > |
> > > > | > | /* HERE starts the relevant part */
> > > > | > |
> > > > | > | SetBarsRequired( 100000, 100000 );
> > > > | > |
> > > > | > | function StDevCum(array)
> > > > | > | { return sqrt( ( (BarIndex()+1) * Cum(array^2) - (Cum
> > (array))
> > > > | ^2 ) /
> > > > | > | (BarIndex()+1)^2 ); }
> > > > | > |
> > > > | > | /* StDevCum calculates standard deviation of array from
> Bar
> > > zero
> > > > | up
> > > > | > | to current Bar. */
> > > > | > |
> > > > | > | function Cycleconstant(number)
> > > > | > | { for ( i = 0 ; i < BarCount ; i++ )
> > > > | > | { result[ i ] = Cycle[ number ] ; }
> > > > | > | return result; }
> > > > | > |
> > > > | > | /* Cycleconstant fills a complete array with a Cycle
> array
> > > element
> > > > | > | value (number). */
> > > > | > |
> > > > | > | for (j = 0 ; j < BarCount ; j++ )
> > > > | > | { y = StDevCum( Oscillator( Cycleconstant( j ) ) ) ;
> > > > | > | StDevCumOfOscillator[ j ] = y[ j ] ; }
> > > > | > |
> > > > | > | /* for each separate Bar this first works Oscillator on
> > > > | Cycleconstant
> > > > | > | array of that Bar, then calculates standard deviation
> (from
> > > Bar 0)
> > > > | > | and places result in Bar value (array element) of new
> array
> > > > | > | StDevCumOfOscillator. */
> > > > | > |
> > > > | > | Plot(0,"",colorBlack);
> > > > | > | Plot(Oscillator(Cycle),"Oscillator(Cycle)",colorBlue);
> > > > | > | Plot
> (StDevCumOfOscillator,"StDevCumOfOscillator",colorRed);
> > > > | > | GraphZOrder = 1;
> > > > | > |
> > > > | > | // code end
> > > > | > |
> > > > | > |
> > > > | > |
> > > > | > |
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