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Try changing the line:
MnGainDnSum[k] = MnGainDnSum[k-1] - MnGain1[k];
To:
MnGainDnSum[k] = MnGainDnSum[k-1] + MnGain1[k];
Note that by subtracting a negative, you are adding rather than
getting more negative. If not intended, this would then throw off the
calculation for:
BD = (MnGainDnSum / NumDn)^2;
SdDn = sqrt(AD - BD);
Possibly resulting in an erronous attempt to take sqrt of a negative
number?
Mike
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <ken45140@xxx> wrote:
>
> How do I discover these?
>
> I need a loop to calculate a custom Standard Deviation for monthly
returns
> that are only positive.
> I was successful and came up with StDevs that matched calculations
in Excel.
> I used the following loop routine (first one below). But my
problem came
> when I copied the routine and changed some variable names in order
to
> calculate StDevs of the monthly returns that are negative. Same
code, same
> structure, slightly different variable names. In the case of the
negative
> return routines, the variable to hold the number of months that have
> negative values is Empty and stays empty, and it is not obvious why
it stays
> empty. I have tried all sorts of variations, including use of TRACE
> statements and debugview...but no joy.
>
> I hope someone with loop and subscripted variable experience will
glance
> into the details and "discover" why the first routine works and the
second
> one does not.
>
> Thanks.
>
> Positive routine which works:
> In both of these, monthly returns are represented by MnGain
> Sums of gains and squares of sums of gains are obvious
> NoUp is a count of number of up months
> Everything is the same in the second routine except for name
changes to get
> negative returns
>
> The MYSTERY is why the variable NoDn is Empty. An even deeper
mystery is
> why, when using _TRACE statements,
> the indicator in the debugview window for NoDn is {NAN} instead of
{EMPTY}.
>
> Help!
>
> // Routine to calculate StdDev of Positive Monthly Gains
> k = BarNo;
> NoUp[FirstBar-1] = 0;
> GainUpSq[FirstBar-1] = 0;
> MnGainUpSum[FirstBar-1] = 0;
> for (k=FirstBar-1; k < LastBar ; k++ )
> {
> if (MnGain1[k] > 0)
> {
> MnGainUpSum[k] = MnGainUpSum[k-1] + MnGain1[k];
> GainUpSq[k] = GainUpSq[k-1] + (MnGain1[k])^2;
> NoUp[k] = NoUp[k-1] + 1;
> }
> else
> {
> MnGainUpSum[k] = MnGainUpSum[k-1];
> GainUpSq[k] = GainUpSq[k-1];
> NoUp[k] = NoUp[k-1];
> }
> }
> A = (GainUpSq) / NoUp;
> B = (MnGainUpSum / NoUp)^2;
> SdUp = sqrt(A - B);
>
> Negative return routine which has NoDn array Empty (or with
{NAN} "value" in
> debugview
>
> // Routine to calculate StdDev of Negative Monthly Gains
> k = BarNo;
> NumDn[FirstBar-1] = 0;
> _TRACE("k = " + WriteVal(NumDn[102],1.0));
> GainDnSq[FirstBar-1] = 0;
> MnGainDnSum[FirstBar-1] = 0;
> for (k=FirstBar-1; k < LastBar ; k++ )
> {
> if (MnGain1[k] < 0)
> {
> MnGainDnSum[k] = MnGainDnSum[k-1] - MnGain1[k];
> GainDnSq[k] = GainDnSq[k-1] + (MnGain1[k])^2;
> NumDn[k] = NumDn[k-1] + 1;
> // _TRACE("k = " + WriteVal(NumDn[k],1.0));
> }
> else
> {
> MnGainDnSum[k] = MnGainDnSum[k-1];
> GainDnSq[k] = GainDnSq[k-1];
> NumDn[k] = NumDn[k-1];
> }
> }
> AD = (GainDnSq) / NumDn;
> BD = (MnGainDnSum / NumDn)^2;
> SdDn = sqrt(AD - BD);
>
------------------------------------
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