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I/O is slower than Math ...
--- In amibroker@xxxxxxxxxxxxxxx, "treliff" <treliff@xxxx> wrote:
> 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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