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Hi - There is a page in the users guide that lists which functions will
accept an array for the Periods arg, the rest expect a constant...
http://www.amibroker.com/guide/a_varperiods.html
Steve
----- Original Message -----
From: "brian_z111" <brian_z111@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, June 05, 2009 3:00 AM
Subject: [amibroker] Re: Newbie Array / Looping Question
> <snip>Median() wants a number as its second argument. (The manual is
> clear!)<snip>
>
> To help me understand next time ... how did you decide that
> Median)array,period) wants a number from what is written in the manual?
>
>
> MA(array,periods); accepts an array and the only differential in the
> manual is plurality of the periods (do you think Tomasz intended the
> plurality to be significant?)
>
> MA(C,Cum(1));//this is OK?
>
> <snip> When are the "for" loops executed in the block of code? Knowing
> some more about the AFL execution order might be helpful.<snip>
>
> Sorry, don't know anything about execution.
>
> Recently Siddhartha said that learning the AFL execution was the best
> thing we can ever do ... I don't know where to find it though.
>
>
> You are not keen on my suggestion that calcs for the moments are
> arithmetic and so should fly in AFL without looping?
> I am a lay programmer but my instinct is to start there - looping will
> slow you down in RT indicators???
>
>
> Plan C - use the RMath Plugin ... advanced stats available there.
>
> --- In amibroker@xxxxxxxxxxxxxxx, i cs <ics4mer@xxx> wrote:
>>
>> Hi Brian,
>>
>> Thanks for getting back to me.
>>
>> Unfortunately, Cum() returns array, Median() wants a number as its
>> second argument. (The manual is clear!)
>>
>> I used median as an example because it's relatively easy to understand,
>> and I will be using it, but I will also be plotting the growth factor in
>> the same
>> way - as well as the other moments of distribution - just one step at a
>> time.
>>
>> Its possible to derive a lot of the moments of distribution from other
>> the
>> parts, but it comes back to the same problem - I'd have to write
>> functions
>> to derive kurtosis, mode etc.
>>
>> Some of the historic emails in the group included the following
>> solutions:
>> - code the functions myself - which I'm trying to avoid.
>> - create a dynamic set of variables using VarSet - this seems a bit
>> brutish
>> especially if you are playing with a number of "profile attributes".
>>
>> When are the "for" loops executed in the block of code? Knowing some more
>> about the AFL execution order might be helpful. Might go down that track
>> for
>> a while....and check out the other 1500 references to "loop" in the email
>> group.
>>
>> Thanks again...
>> Robert Z
>>
>>
>>
>>
>>
>> ________________________________
>> From: brian_z111 <brian_z111@xxx>
>> To: amibroker@xxxxxxxxxxxxxxx
>> Sent: Friday, 5 June, 2009 2:57:43 PM
>> Subject: [amibroker] Re: Newbie Array / Looping Question
>>
>>
>>
>>
>>
>> I am not sure about this one now ... I think we need some help from the
>> code/maths experts.
>>
>> Median() doesn't appear to accept an array as input (the manual doesn't
>> say one way or another?) ... it might be demanding a constant (that
>> wouldn't surprize me since mean/mode/median are moments of a distribution
>> so massive calcs might be required to find them for skewed dists without
>> having the distriution at hand) ... AB doesn't do that distributions off
>> the shelf ... not AFAIK.
>>
>> I think you can calc Skewness from N, StDev, arithmetic mean etc ... once
>> you have S you can back calc the Median or the Mode from the Mean and the
>> StDev.
>>
>> Another brute method might be an algorithmic trial and error test for the
>> Mode (loops required)... I forget what it is called in programming but if
>> the value to the right of the mean has a higher frequency than the mean
>> value the mode is somewhere to the right .. by halving the range between
>> the freq test you will zero in on the mode and then you can calc the
>> median by using the mean and mode values..... AFAIK array processing will
>> always be more timely than looping though.
>>
>> --- In amibroker@xxxxxxxxx ps.com, "brian_z111" <brian_z111@ ...> wrote:
>> >
>> > Median(array, periods)
>> >
>> > I assume you are measuring, say ROC(C,1) or similar for % price change.
>> > I guess you just need to get a progressive count, of the number of ROC
>> > datapoints, to make the function work.
>> >
>> > Things to look out for (if the AB function is going to work for you):
>> >
>> > - every element in the array you are measuring needs a value (nulls or
>> > zeros might trip up the math e.g. STDev, mean) ... I guess if you are
>> > interested in daily bars you will first create a daily ROC(C,1) or ROC
>> > of some other point of interest from within the bar HL range
>> > - the number of periods, in your array count, is range dependent i.e.
>> > in AB it can vary with mode ... QuickAFL can be used to change the
>> > range (in AA) and QickAFL will autoset the range in charts (or might
>> > ... I am not the full bottle on QuickAFL but there is an article by
>> > Tomasz in the AB KnowledgeBase)
>> > - BarsSince type functions might count one less period than you expect
>> > ... depending if the function is a zerobased count and how you want to
>> > use the count.... sometimes I have to add 1 to make the adjustment
>> > manually
>> > - BarIndex() is the bar by bar count since the start of the range,
>> > where range == the range of the database ... AB gets a bit tricky with
>> > when and where it uses the complete database range as the default ....
>> > probably to do with fast array processing etc ...sometimes I prefer to
>> > use Cum(1) as my count ... I seem to get more visually stable
>> > indicators in the charts because it doesn't reference the chart range
>> > it references from the start of the database.
>> >
>> > - so, making a few assumptions, and if Median works for you as
>> > required, Median(ROC(C, 1),Cum(1) ); // because Cum(1) is progressive
>> > and counts bars from the beginning
>> >
>> > - mathematically I find ROC is not as stable as GrowthFactor where ROC
>> > == 3% is expressed as 1.03
>> >
>> > Haven't done it though.
>> >
>> > If that doesn't work maybe someone else in the forum knows more.
>> >
>> > In case of emergency RVince book two has the maths for median, mode,
>> > mean interelationships (possibly for advanced, or custom use, you could
>> > calculate the median from other values).... mean == median == mode for
>> > normal distributions (you should be so lucky!)
>> >
>> >
>> >
>> >
>> > --- In amibroker@xxxxxxxxx ps.com, "ics4mer" <ics4mer@> wrote:
>> > >
>> > > Hi all,
>> > >
>> > > I'm after a general form for doing a particular type of algorithm
>> > > in AFL - and I'm happy to admit that I might be going about it
>> > > the totally wrong way...
>> > >
>> > > I am attempting to extract an evolving "profile" of a stock over
>> > > time.
>> > >
>> > > Using "median" as an example, lets say I want calculate the median
>> > > percentage price change for the life of the stock. To give an
>> > > example:
>> > >
>> > > The 1st trading day - do nothing.
>> > > The 2nd trading day - calc median for 2 days
>> > > The 3rd trading day - calc median for 3 days
>> > > Last traded day - calc median for n days.
>> > >
>> > > For simple functions, I have used a construct similar to;
>> > > for ( i=0; i < BarCount; i++ ){
>> > > myArray[ i ] = simpleFunc( i );
>> > > .....
>> > > }
>> > >
>> > > However, in this case, I would have to write a new median function,
>> > > and this is irritating, since there is a perfectly good one
>> > > taunting me from the users manual! That's why I suspect that I
>> > > might be doing something in the wrong way.
>> > >
>> > > Any help or pointers would be much appreciated. A pointer to
>> > > a message in the user group would be fine too! ( Yes I am still
>> > > trawling through the email group as I write this....)
>> > >
>> > > TIA
>> > >
>> > > Robert Z
>> > >
>> >
>>
>>
>>
>>
>>
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>
>
>
>
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