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You still have nested loops ... you got rid of one and added
another ... KISS ...
--- In amibroker@xxxxxxxxxxxxxxx, "treliff" <treliff@xxxx> wrote:
> Fred, it took me several days to work on/off on this. Your
> Cycleconstant definition without loops: brilliant! So array+number
> results in new array where number is added to each array element.
> Cool, I did not know that.
>
> I have worked to define StDevCum for individual bars through
> recursion which was a painful but useful exercise in itself:
>
> // function StDevCum recursion-style:
>
> array = C ; // set array here
> mean[0] = array[0] ;
> StDevcum[0] = 0 ;
> for (i = 1 ; i < BarCount ; i++ )
> {
> mean[i] = (i/(i+1))*mean[i-1] + (array[i])/(i+1) ;
> StDevCum[i] = sqrt( (i/(i+1))*(StDevCum[i-1])^2 + (1/i)*(array[i] -
> mean[i])^2 ) ;
> }
>
> //
>
>
> But blending this into the larger code does not improve the speed.
> This is what I came up with:
>
> // 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 Cycleconstant(number)
> { return Cum(0) + Cycle[ number ] ; }
>
> for (i = BarCount - 1 ; i > 0 ; i-- )
> {
> array = Oscillator( Cycleconstant(i) ) ;
> mean[0] = array[0] ;
> StDevcumOfOscillator[0] = 0 ;
>
> for (j = 1 ; j <= i ; j++ )
> {
> mean[j] = (j/(j+1)) * mean[j-1] + (array[j])/(j+1) ;
> StDevCumOfOscillator[j] = sqrt( (j/(j+1))*(StDevCumOfOscillator[j-
1])
> ^2 + (1/j)*(array[j] - mean[j])^2 ) ;
> }
> }
>
> Plot(0,"",colorBlack);
> Plot(Oscillator(Cycle),"Oscillator(Cycle)",colorBlue);
> Plot(StDevCumOfOscillator,"StDevCumOfOscillator",colorGreen);
> GraphZOrder = 1;
>
> // code end
>
> Although this gives the correct result it actually takes a bit
longer
> to execute. Probably I misinterpreted your suggestion ("you can
> write
> the full calc for indivdual bars w/o loops as well") because
> although
> this works on individual bars it contains a loop with a sub-loop
> here. But how to do without ??
>
> And then i (in the first loop) I have to let run from high to low
> otherwise previously calculated StDevCumOfOscillator array elements
> are overridden. Oeeff..... I find this very complex stuff, sure way
> to a quick headache.....
>
> If you could give any additional advice this will be gratefully
> received. If not, thanks very much for your help so far.
>
> -treliff
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
> > In any case ... writing loops for stuff is leftover programmer
> > ability if you will ... I suffered from the same thing for awhile
> > back when I first started using AB ...
> >
> > For example ...
> >
> > Your ...
> >
> > function CycleConstant(number)
> > {
> > for ( i = 0 ; i < BarCount ; i++ )
> > {
> > result[ i ] = Cycle[ number ] ;
> > }
> > return result;
> > }
> >
> > Can be written ...
> >
> > Result = Cum(0) + Cycle[number];
> >
> > This at least takes the lowest level loop out of play ...
> >
> > When you get around to writing the standard dev part you can
write
> > the full calc for indivdual bars w/o loops as well ... so there
> > should only be one loop necessary ...
> >
> > --- 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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