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Mike:
I got the code to run satisfactorily by calculating the number of up months
and number of down months outside the loop. Once I did that, for reasons I
cannot explain, the code ran correctly and calculated the correct standard
deviations.
I can not show it but I suspect the issue has to do with initializing the
various variables (or at least those in which I was trying to calculate the
months) at a BarCount well into the overall BarCount rather than at the
beginning, using BarsinRange considerations. But I am not experienced
enough with loops and subscript handling enough to tell.
In any case, I am now moving forward.
Thanks again for trying to assist.
Ken
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf
Of Mike
Sent: Sunday, August 17, 2008 1:27 AM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Still More Detailed Coding Challenges
Oh well, it was worth a try :)
It's a bit tough given that you do not include the calculation for some of
the variables (e.g. MnGain1, FirstBar) so we can't run the code ourselves. I
guess that I could randomly generate values for the missing array, but I'm
fighting with my own issue at the moment :(
As for NAN. I believe that that stands for Not A Number. You are hard coding
index 102 in your trace. Are you sure that there is an initialized value at
that index in the array?
Mike
--- In amibroker@xxxxxxxxxxxxxxx, Ken Close <ken45140@xxx> wrote:
>
> 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@> 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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Please note that this group is for discussion between users only.
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Please note that this group is for discussion between users only.
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