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Mike:
Thanks. The line you refer to actually works fine. I originally had a "+"
in it and the summation got more negative just fine. I could have made the
sum positive or created a positive sum, which I did.
The problem is the count of NoDn, which not only is EMPTY but the debugview
program reports is having a value of {NAN} whatever that is.
Anyway, thanks for trying to help.
Ken
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Mike
Sent: Saturday, August 16, 2008 7:44 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Still More Detailed Coding Challenges
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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