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I've successfully incorporated an adjustment factor "AJS" (which returns a Number) for potential initial null values in the previous calculation. To generate a number for AJS , I am using the following code ("Close" array replaced by "Input" array) :
if(IsNull(Input[0]))
{
AJS = 1;
}
else
{
AJS = 0;
}
However, this only works if there is 1 initial null value, how would I do it if there was more than 1 initial null value?
Thanks.
searnp
--- In amibroker@xxxxxxxxxxxxxxx, "searnp" <searnp@xxx> wrote:
>
> 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@ 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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