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There is a modification to the Sharpe Ratio called the Sortino Ratio
which distinguishes between good and bad volatility. In the following
AFL I calculate the denominator of the Sortino Ratio - the Semi
Deviation as follows:
Diff = 100 * (Close - Ref(Close, -1)) / Ref(Close, -1) ; //
Calcluate daily gain/Loss in %;
// *** Sortino ratio - Semi Deviation ***;
// Compute Semi Deviation;
SemiDiff = IIf( Diff < 0, Diff, 0 ); // Make array
with only % losses, gains set to 0;
SemiDevTerm2 = Sum(SemiDiff, VPers ) ^ 2.0; // add up each
neg % over Pers bars, then square it;
SemiDiffSqd = SemiDiff * SemiDiff ; // Make array
with each % loss squared
SemiDevTerm1 = Sum(SemiDiffSqd, VPers ); // Add up each
neg % squared over Pers bars;
SDArray = IIf( Diff < 0, 1.0, 0 ); // Make array to
count # of losses in Pers bars;
SDCount = Sum(SDArray, VPers ); // Add up the
number of losses in Pers bars;
SemiDevTerm3 = SDCount * (SDCount - 1) ; // The
denominator of the Std Dev formula
SemiDev = ((SDCount * SemiDevTerm1 - SemiDevTerm2) /
SemiDevTerm3 ) ^ 0.5 ;
The SemiDiff array above contains only daily losses, with any gains
set to zero. Then I sum it up in the next line SemiDevTerm2. This is
the numerator for the average computation.
To calculate the denominator, I create SDArray - a sparsely
populated array containing 1's and 0's which I sum up to be the number
of values to be averaged.
This method uses neither user programmed loops or ATC - fairly simple.
ReefBreak
--- In amibroker@xxxxxxxxxxxxxxx, "Gordon Sutherland" <gosuth@xxx> wrote:
>
> Another approach that does not use loops would be to use the
AddToComposite
> Function (ATC) as this will sum the specific event bar values and
then you
> can divide by a separate ATC that gives you the total number of such
events.
> I just love ATC!
>
> Cheers,
>
> Gordon Sutherland
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of cdepuy
> Sent: Tuesday, 29 April 2008 10:22 a.m.
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: calculating the mean of only some of the
> observations in an array ?
>
> Ara, thanks for responding. Actually what I'm trying to do is a
> little different. Here is what the array might look like
>
> signal hhv@xxxxxx avgofmyobsv
> 0 --
> 1 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 .05 .050
> 0 --
> 0 --
> 1 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 .06 .055
> 0 --
> 0 --
> 1 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 --
> 0 .07 .060
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ara Kaloustian" <ara1@> wrote:
> >
> > if you are using loops and you know when your signal was generated,
> use that
> > bar number as the starting poing point for your loop. Pick an end
> point as
> > you edesire.
> >
> > a = SignalBarNumber;
> > b = Bars required in your calculation;
> >
> > for (i=a; i< a+b; i++)
> > ...
> >
> > ----- Original Message -----
> > From: "cdepuy" <cdepuy@>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Monday, April 28, 2008 2:40 PM
> > Subject: [amibroker] calculating the mean of only some of the
> observations
> > in an array ?
> >
> >
> > > Without requiring loops that work through the whole barcount, can
> > > someone point out to me how to exclude certain values in an array
> > > when calculating a statistic across an array?
> > >
> > > I must be missing something. I am trying to calculate the mean of
> > > some values that occur only occassionally (after my signal) using
> > > Amibroker. But,what happens is all the values between my signals
> get
> > > included in the calculation. I know the solution is easy, but I
> > > cannot figure it out.
> > >
> > > //figure highest value that occurs between my signals and the
> > > next "x" following the signal
> > > Cond6 = {some condition that i am investigating, like v > 5*ma
> (v,50)
> > > NumBars = 12;
> > > hV = IIf(BarsSince(Cond6) == NumBars,HHV(H,BarsSince(Cond6))-
> ValueWhen
> > > (Cond6,C),Null);
> > >
> > > //now calculate the mean of all the hv 's that occur
> > > mean = ma(hv,NumBars*50); //this line I am having trouble with
> > > filter=1;
> > > addcolumn(mean,"mean",1.2);
> > > //then perform more statistics...(etc).
> > >
> > >
> > >
> > > ------------------------------------
> > >
> > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > > http://www.amibroker.com/devlog/
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > > Yahoo! Groups Links
> > >
> > >
> > >
> >
>
>
>
> ------------------------------------
>
> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
> Yahoo! Groups Links
>
------------------------------------
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