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Hi:
I think I wrote about monthly stats in a long ago post (last June ha), and
now have that one back up and doing what I need to do. I thought I could
write more concise code using the TimeFrame stuff but I can't get it to work
(mainly because of the issue I raised in starting this thread). So I will
use more statements and work the stats in a daily only routine.
This is only part of a much wide collection of stats. I count the number of
months the Gain is pos, the number when it is neg, Totmonths is Pos + Neg,
and percent positive is number positive / total months. Nice comparative
statistic for a system compared to benchmarks.
Ken
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of tayamaan
Sent: Tuesday, July 15, 2008 2:03 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: More Mysteries with TimeFrames
Ken, I see what you mean. You could substitute "periods" for a variable
number of months of course and set the start and end period in the AA but
using inMonthly it will always start calculating from the next first of the
month until the last end of the month.
Out of curiosity, cumulating only the positive gains, what would that tell
you about the issue? I could imagine great positive gains over a period of
time, though the issue could still be down!
Regards
--- In amibroker@xxxxxxxxxxxxxxx, Ken Close <ken45140@xxx> wrote:
>
> Adrian:
>
> Say I want to sum the Monthly Gains over some period
>
> In Monthly
> Gain = ROC(C,1) would give me monthly gain for each month, EOM to
End of
> Last Month
>
> Then to sum the positive gains, I would need something like
>
> GainUp = IIF(Gain>0, Gain, 0);
> TotGainUp = Sum(GainUp, Period);
>
> But what is Period??
> I wanted it to cumulate the count of months since a specified
startdate or
> from the start of the test range, which is given in Days.
> But when I tried to use a BarsSince within the TimeFrameSet, it did
not
> count from the start of the test range but seemingly from the
beginning of
> the data.
>
> That was when I tried the simple test of Cum(1) within and without
the
> TimeFrameSet, and got what seemed like an unexpected result, listed
below in
> my original message. Something I do not understand, is happening
within the
> inMonthly timeframe that gives unexpected results for Cum and
BarsSince and
> probably some others.
>
> That is what I need some help on. As I want always to be counting
from EOM
> to End of Previous Month, I do not think I can use 21*InDaily due to
> differences in month lengths.
>
> Thanks for commenting.
>
> Ken
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On Behalf
> Of tayamaan
> Sent: Tuesday, July 15, 2008 11:48 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: More Mysteries with TimeFrames
>
> Ken I am not quite positive what you mean, but if you want to set a
starting
> date you probably better use 21*inDaily since inMonthly always
begins with
> first day of the month and ends at the last day of the month
>
> Hope this helps,
>
> Adrian
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <ken45140@> wrote:
> >
> > Here is one I cannot figure out.
> >
> > I write
> >
> > Filter = 1; Buy =0;
> > Bars = Cum(1);
> > AddColumn(Bars,"Bars",1.0);
> >
> > I set the date to the first date of the data, and I get Bars
> > 1
> > 2
> > 3
> > 4
> >
> > Now, I set this
> >
> > Filter = 1; Buy =0;
> > Bars = Cum(1);
> >
> > TimeFrameSet(inMonthly);
> > BarsM = Cum(1);
> > TimeFrameRestore;
> > BarsM = TimeFrameExpand(BarsM,inMonthly);
> >
> > AddColumn(Bars,"Bars",1.0);
> > AddColumn(BarsM,"BarsM",1.0);
> >
> > and I get
> >
> > Bars BarsM
> > 1 4763
> > 2 4763
> > 3 4763
> >
> > I expected
> > Bars BarsM
> > 1 0
> > 2 0
> > etc
> > 22 1
> >
> > What is going on? What happened inside the TimeFrameSet
section?
> Why did I
> > get this result?
> > I want to operate on Monthly stats and bars yet need to count the
> number of
> > months since a specified start date and I cannot do it.
> > Help please.
> >
> > Ken
> >
>
>
>
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> 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}
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> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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> For other support material please check also:
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>
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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:
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For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
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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:
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