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Mike,
Thank you very much! Works as intended.
Thanks also for noting about how median is calculated, I prefer the
convention of taking the average of the two middle values as well. I do
not know how to do the sorting like you mentioned, but when I was
reading the user guide trying to figure out how to do such a sort I
stumbled onto the percentile function which does do the averaging method
for the 50th percentile. So I got lucky in that respect. If you are
willing though, I am interested in learning how a sort would be done to
accomplish this.
Sorry to bother you again, but another question:
If am doing the calculation off an array that has null values for the
first "x" number of bars (i.e. if running the calculating off of true
range, it would be null at bar 0 since there is no prior day's close),
the null value is carried through the calculation's entire array. Is
there a way to automatically adjust for that instead of manually
adjusting the calculation for a given array?
Thanks again.
--- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@xxx> wrote:
>
> Sorry, for the fully parameterized solution, replace the line:
>
> Plot(EMA(Close, 20), "EMA", colorGreen);
>
> With
>
> Plot(EMA(Close, Period), "EMA", colorGreen);
>
> Mike
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" sfclimbers@ wrote:
> >
> > This won't be the fastest implementation, but I believe that it
> will
> > work. Assuming a period of 20...
> >
> > 1. Let P = Period - 1 (e.g. 20 - 1 = 19)
> > 2. Make P calls to the AFL Median function using 1..P (e.g. 1..19)
> as
> > the period scaler.
> > 3. Store the P-1th value for each result in a dynamic variable of
> the
> > same name. P-1 will be the first zero indexed, non null value for
> > each array. You should end up with:
> >
> > M0 = Median(Close, 1)[0];
> > M1 = Median(Close, 2)[1];
> > ...
> > M18 = Median(Close, 19)[18];
> >
> > 4. Write a loop to set the first P values to the dynamic variables
> > and calculate a regular EMA for the remainder. Your chart should
> > converge quickly after the first Period bars.
> >
> > e.g.
> >
> > Period = Param("Period", 20);
> >
> > // Calculate dynamic median for initial Period-1 bars, stored as
> > // dynamic variables M0, M1, ..., MP where P = Period - 1.
> >
> > P = Period - 1;
> >
> > for (i = 0; i < P; i++) {
> > M = Median(Close, i + 1);
> > VarSet("M" + i, M[i]);
> > }
> >
> > // Calculate EMA substituting our dynamic variables for the first
> > // Period - 1 values.
> >
> > Exponent = 2/(Period + 1);
> >
> > for (i = 0; i < BarCount; i++) {
> > if (i < P) {
> > MyEMA[i] = VarGet("M" + i);
> > } else {
> > MyEMA[i] = (Close[i] * Exponent) + (MyEMA[i - 1] * (1 -
> > Exponent));
> > }
> > }
> >
> > Plot(EMA(Close, 20), "EMA", colorGreen);
> > Plot(MyEMA, "MyEMA", colorBlue);
> > Plot(Close, "Close", colorRed);
> >
> > Note that there appears to be a bug in AmiBroker (else in my code!)
> > such that Median is not being correctly calculated when there are
> an
> > even number of values. The correct Median value of an even set of
> > numbers is the average of the two middle values. However, AmiBroker
> > appears to be returning the first of the two middle values,
> ignoring
> > the second of the two middle values.
> >
> > Alternatively, you could calculate the Median yourself using an
> inner
> > loop to fill a temporary array which you would then pass to a
> sorting
> > function and your own Median implementation. This would have the
> > advantage of operating only on a maximum of Period values (instead
> of
> > all visible values), but would not be in binary code as the built
> in
> > Median is.
> >
> > Mike
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "searnp" <searnp@> wrote:
> > >
> > > Bump
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "searnp" <searnp@> wrote:
> > > >
> > > > Hi Howard, thanks for your reply.
> > > >
> > > > I am looking at calculating an exponential moving average, but
> > would
> > > > like to have initial values as well (instead of null values).
> > > >
> > > > For example:
> > > > If I do an EMA(Close, 20), I will get a chart of the 20-day EMA
> of
> > > > close with null values for the first 20 bars.
> > > >
> > > > So what I am trying to do is create my own EMA function via
> > looping
> > > > (similar to pg.114 of the Amibroker User Guide), where the
> running
> > > > median would be calculated for (i + 1) < Period. I can do it
> with
> > an
> > > > initial simple running average calculation (since I can
> > incorporate
> > > > that in the loop for (i + 1) < Period ), but would prefer to
> use
> > the
> > > > median in case there are initial spikes.
> > > >
> > > > Another question loosely related to this:
> > > > When I incorporate a manual bar count via looping (see code
> > below) and
> > > > then click on a bar on the chart, the value changes when I
> scroll
> > left
> > > > or right or zoom in or out. Why is this?
> > > >
> > > > CT[0] = 1;
> > > > for( i = 1; i < BarCount; i++ )
> > > > {
> > > > CT[i] = 1 + CT[i-1];
> > > > }
> > > >
> > > > Plot( CT, _DEFAULT_NAME(), ParamColor( "Color", colorCycle ),
> > > > ParamStyle("Style") );
> > > >
> > > >
> > > > Thanks.
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@>
> wrote:
> > > > >
> > > > > Hi Searnp --
> > > > >
> > > > > The User's Guide states:
> > > > > AFL Function Reference - MEDIAN *MEDIAN
> > > > > *- calculate median (middle element)
> > > > >
> > > > > *Statistical functions
> > > > > *(AFL 2.5)
> > > > >
> > > > > *SYNTAX* *Median( array, period ) * *RETURNS* ARRAY
> > *FUNCTION*
> > > > The Median
> > > > > function - finds median (middle element) value of the *array*
> > over
> > > > > *period*elements.
> > > > > *EXAMPLE* // list only symbols which volume is greater than
> > > > > // median Volume from past 50 days
> > > > > *Filter* = *Volume* > Median( *Volume*, 50 );
> > > > > AddColumn( *V*, "Volume" );
> > > > > Period must be a scalar -- a constant. When you run this
> code:
> > > > >
> > > > > RM = Median(Close, BarIndex() + 1);
> > > > >
> > > > > The entire Close array is passed to the Median function at
> one
> > time.
> > > > The
> > > > > value of BarIndex changes with each element of the Close
> array.
> > > > Looked at
> > > > > simplistically, the afl processor does not know which value of
> > > > BarIndex to
> > > > > use, so it coughs.
> > > > >
> > > > > You will have to write your own function using looping code.
> > > > >
> > > > > Before you start, are you certain that you want the median
> > value of an
> > > > > expanding list of data values? Today's value will depend on
> how
> > > > much data
> > > > > was loaded, which is generally not a good programming or
> systems
> > > > idea. Will
> > > > > Median(C,50), or some variation, give you what you need?
> > > > >
> > > > > Thanks,
> > > > > Howard
> > > > >
> > > > >
> > > > >
> > > > > On Mon, Nov 3, 2008 at 11:26 AM, searnp <searnp@> wrote:
> > > > >
> > > > > > I am trying to calculate a running median that starts at
> > bar 0.
> > > > > >
> > > > > > Code:
> > > > > >
> > > > > > RM = Median(Close, BarIndex() + 1);
> > > > > >
> > > > > >
> > > > > > Then I get the following error message:
> > > > > >
> > > > > > Error 5. Argument #2 has incorrect type (the function
> expects
> > > > different
> > > > > > argument type here)
> > > > > >
> > > > > >
> > > > > > I am using "Barindex() + 1" to get a running count at each
> > bar to
> > > > be used
> > > > > > in the median's lookback period. Is there a way to
> implement
> > this?
> > > > > >
> > > > > > Thanks.
> > > > > >
> > > > > >
> > > > >
> > > >
> > >
> >
>
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