|
PureBytes Links
Trading Reference Links
|
Tomasz,
This is indeed very powerful, because it basically allows to do cross-
sectional analysis instead of the usual time-series analysis.
However, I still need to write my own functions on mean, stdev, etc.
of these X-sec's. Any plan to add functions which can be applied to
TS as well as X-sec's? Particularly relevant in light of an upgraded
portfolio manager.
Thanks,
PS
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Hello,
>
> > Wrong ... You can not have the equivalent of doubly dimensioned
> > arrays i.e. tables in AFL
>
> Actually.... you can. Via VarGet/VarSet
> http://www.amibroker.com/f?varset
> http://www.amibroker.com/f?varget
>
> you can create equivalent of arrays of any dimension simply using
dynamic variables.
>
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Fred" <ftonetti@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Monday, August 29, 2005 5:11 AM
> Subject: [amibroker] Re: some looping help needed .......
>
>
> > Wrong ... You can not have the equivalent of doubly dimensioned
> > arrays i.e. tables in AFL ... one dimension is all you get ... or
at
> > least not without using something external i.e. Osaka or ABTool
> > plugins ...
> >
> > If you can get your "oscillator" into an array "X" then the AFL I
> > wrote will give you the standard deviation at each bar using all
the
> > prior elements of X ( your osciallator ) ... That is what you
were
> > looking for, wasn't it ?
> >
> > Is there something about your osciallator that doesn't allow it
to
> > fit into a single dimension array ?!
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "treliff" <treliff@xxxx> wrote:
> >> More food for thought... I have to chew on all that but one
thing
> >> right away:
> >>
> >> "X(i) is an ELEMENT of the array X."
> >>
> >> NO: each X(i) is a separate array (otherwise it would be X[i]
> > right?
> >> Or wrong?)
> >>
> >> In my code:
> >>
> >> Cycle is an array
> >> bar i has Cycle[i]
> >> Cycleconstant(i) = Cum(0)+Cycle[i] is an array (a "constant"
array)
> >> X(i) = Oscillator(Cycleconstant(i))is an **ARRAY** for each i.
> >>
> >>
> >> --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx> wrote:
> >> > It appears you don't understand the array .vs. element of an
> > array
> >> > concept ...
> >> >
> >> > Is the equation
> >> >
> >> > X(i) = BarIndex() + i
> >> >
> >> > even meaningful ? X(i) is an ELEMENT of the array X. BarIndex
()
> >> is
> >> > an ARRAY. How does one equate an ELEMENT of an array i.e. X
(i)
> > to
> >> > the entire contents of another array i.e. BarIndex() + a
modifier
> >> i ?
> >> >
> >> > Not doable, is it ?. Further more why do you think you need
or
> >> want
> >> > to do this ? With regards to ...
> >> >
> >> > "Note however that in real life the X(i)'s are independent.
> > There
> >> is
> >> > no way to express X(i) in terms of X(i-1)"
> >> >
> >> > Nor is there a need to ...
> >> >
> >> > "Can the StDvX definition create the FinalArray without a
loop ?"
> >> >
> >> > Did you play with the code ? Look at the results ? ... Doesn't
it
> >> do
> >> > precisely that ? It matters not what is in the array of X in
> > terms
> >> > of being able to calc the StDev of it's elements from the
first
> > one
> >> > to each bar along the way. In fact that code with minor mods
> > could
> >> > be used to calc a variable length StDev based on a changing
value
> >> of
> >> > n where n was an array of elements based on whatever calc one
> >> wanted.
> >> >
> >> > --- In amibroker@xxxxxxxxxxxxxxx, "treliff" <treliff@xxxx>
wrote:
> >> > > So far so good, but now suppose that the array in question,
the
> >> one
> >> > > we need to calculate the standard deviation over, changes
with
> >> each
> >> > > bar. In other words, there is not one array
> >> > >
> >> > > X = BarIndex() + 100;
> >> > >
> >> > > but there are different arrays like for example
> >> > >
> >> > > X(i) = BarIndex() + i;
> >> > >
> >> > > (In my code this would be Oscillator(Cycleconstant(i)) but
that
> >> is
> >> > > not of the essence. >
> >> > > In my opinion this now is the remaining problem and the real
> > time-
> >> > > consumer:
> >> > >
> >> > > for (i = 0 ; i < BarCount ; i++ )
> >> > > { y = StDvX( X( i ) ) ) ;
> >> > > FinalArray[ i ] = y[ i ] ; }
> >> > >
> >> > > >
> >> > >
> >> > > --- In amibroker@xxxxxxxxxxxxxxx, "Fred" <ftonetti@xxxx>
wrote:
> >> > > > The question simplifies to ... how do I calculate standard
> >> > > deviation
> >> > > > at the current bar for all past values of some array
without
> >> > using
> >> > > a
> >> > > > loop, thereby eliminating the innermost loop and leaving
only
> >> the
> >> > > > outer one.
> >> > > >
> >> > > > When looking at most problems like this where the solution
> > may
> >> > not
> >> > > be
> >> > > > immediately obvious, the simplest way is to break the
problem
> >> > down
> >> > > > into its individual components and use EXPLORE to see that
> > each
> >> > > > calculation is doing what it's supposed to and from the
> >> > perspective
> >> > > > of speed it won't be any slower to do it this way, in some
> >> cases
> >> > it
> >> > > > may actually be faster i.e. here's the way most people
write
> > a
> >> > > > stochastic calc ...
> >> > > >
> >> > > > Sto = (C - LLV(C, Length)) / (HHV(C, Length) - LLV(C,
> > Length));
> >> > > >
> >> > > > The problem of course is that one has done the calc LLV(C,
> >> > Length)
> >> > > > twice ... Simpler and of course faster is ...
> >> > > >
> >> > > > LLVX = LLV(C, Length)
> >> > > > Sto = (C - LLVX) / (HHV(C, Length) - LLVX);
> >> > > >
> >> > > > Back to your problem ...
> >> > > >
> >> > > > StDevX = Sqrt(Cum ((X - Average(X)) ^ 2) / n)
> >> > > >
> >> > > > Let's assume we want to see how to get the calculations
> > correct
> >> > at
> >> > > > BarIndex() == 10 ( The 11th Bar ) without using a loop and
> > for
> >> > the
> >> > > > moment we won't care if the calc is correct at BI() = 9 or
11
> >> > > because
> >> > > > we know we can always write a loop to go around all of
this
> > if
> >> we
> >> > > > need to ...
> >> > > >
> >> > > > // Let's generate some simple dummy data "X" to
> >> > > > // use where we can easily eyeball the results
> >> > > > // "X" can always be replaced by something real
> >> > > >
> >> > > > X = BarIndex() + 100;
> >> > > >
> >> > > > // The components
> >> > > >
> >> > > > n = BarIndex() + 1;
> >> > > > CumX = Cum(X);
> >> > > > MeanX = CumX / n;
> >> > > > XMean = X - MeanX;
> >> > > > Mean2 = XMean ^ 2;
> >> > > > CumM2 = Cum(Mean2);
> >> > > > nCumM = CumM2 / n;
> >> > > > StDvX = sqrt(nCumM);
> >> > > >
> >> > > > Filter = BarIndex() <= 10;
> >> > > >
> >> > > > AddColumn(X, "X", 1.0);
> >> > > > AddColumn(n, "n", 1.0);
> >> > > > AddColumn(CumX, "CumX", 1.0);
> >> > > > AddColumn(MeanX, "MeanX", 1.2);
> >> > > > AddColumn(XMean, "X-MeanX", 1.2);
> >> > > > AddColumn(Mean2, "Mean2", 1.2);
> >> > > > AddColumn(CumM2, "CumM2", 1.2);
> >> > > > AddColumn(nCumM, "nCumX", 1.2);
> >> > > > AddColumn(StDvX, "StDevX", 1.2);
> >> > > >
> >> > > > Try taking what's above and running it as an EXPLORE ...
see
> >> the
> >> > > > columns (below "hopefully") it shows i.e. one for each
> >> component
> >> > > > including the data "X" ... It would appear that StDevX is
> >> correct
> >> > > not
> >> > > > only for BI() == 10 but for ALL the other bars as well
> > without
> >> > ANY
> >> > > > loops.
> >> > > >
> >> > > > X n CumX MeanX X-MeanX Mean2 CumM2 nCumX
> > StDevX
> >> > > > 100 1 100 100.00 0.00 0.00 0.00 0.00
> >> 0.00
> >> > > > 101 2 201 100.50 0.50 0.25 0.25 0.13
> >> 0.35
> >> > > > 102 3 303 101.00 1.00 1.00 1.25 0.42
> >> 0.65
> >> > > > 103 4 406 101.50 1.50 2.25 3.50 0.88
> >> 0.94
> >> > > > 104 5 510 102.00 2.00 4.00 7.50 1.50
> >> 1.22
> >> > > > 105 6 615 102.50 2.50 6.25 13.75 2.29
> >> 1.51
> >> > > > 106 7 721 103.00 3.00 9.00 22.75 3.25
> >> 1.80
> >> > > > 107 8 828 103.50 3.50 12.25 35.00 4.38
> >> 2.09
> >> > > > 108 9 936 104.00 4.00 16.00 51.00 5.67
> >> 2.38
> >> > > > 109 10 1045 104.50 4.50 20.25 71.25 7.13
> >> 2.67
> >> > > > 110 11 1155 105.00 5.00 25.00 96.25 8.75
> >> 2.96
> >> > > >
> >> > > > Since the rest of your AFL doesn't require any loops, one
> > would
> >> > > > conclude that your AFL really needs NO loops at all.
> >
> >
> >
> >
> >
> > 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
> >
> >
> >
> >
> >
> >
> >
------------------------ Yahoo! Groups Sponsor --------------------~-->
Get fast access to your favorite Yahoo! Groups. Make Yahoo! your home page
http://us.click.yahoo.com/dpRU5A/wUILAA/yQLSAA/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/
|