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Thanks,
Welcome back - I am sure the forum is more fun than holidays.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <groups@xxx> wrote:
>
> The "secret recipe" for Median is not secret - it is available in Numerical Recipes book.
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "brian_z111" <brian_z111@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, June 05, 2009 3:51 PM
> Subject: [amibroker] Re: Newbie Array / Looping Question
>
>
> Z
>
> I'll leave it for a while too.
>
> I think you were right though, when you indicated that looping is required and it probably doesn't get any better than what you have
> already done .... pity we don't know Tomasz's secret algorithmic recipe for Median ... I guess it is doing looping in the
> background ... if he told us we would have to die.
>
> Thanks for the code ... pretty neat.
>
> Anyway, I'm on a two year plan with that stuff.
>
>
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, i cs <ics4mer@> wrote:
> >
> > Hi,
> >
> > One way of doing it might be to run the analysis to a "synthetic
> > stock" - eg ~~~CBA for CBA and bring it in with a foreign()
> > when required or perhaps an ODBC call.
> >
> > Anyway, I might leave it on the backburner for now and keep exploring
> > the rest of AB. Still lots to have a look at!
> >
> > Z
> >
> >
> >
> >
> > ________________________________
> > From: brian_z111 <brian_z111@>
> > To: amibroker@xxxxxxxxxxxxxxx
> > Sent: Friday, 5 June, 2009 7:13:39 PM
> > Subject: [amibroker] Re: Newbie Array / Looping Question
> >
> >
> >
> >
> >
> > Yes, AB is written in C++.
> >
> > I am only up to AFL101 but I have been around the AB environment for 4 years.
> >
> > The ABDevelopmentKit might be the place to find out more about what is under the bonnet.
> >
> > > I'm keener on your suggestion regarding using the arithmetic
> > > now that I now that MA(array, array) works! And yes,
> > > I'd prefer the faster option every time!
> >
> > If you are used to programming but not used to AB's array processing it might take a bit of a mental adjustment .. a lot of
> > programmers seem to find that.... it is all done at the machine level in AB speed ... there is a post from Tomasz at the KB about
> > the technical details of part of the process (it went over my head but I get the concept).
> >
> > It's a piece of cake except that StDev is limited to a constant number also so you will have to calc your own StDev (also note
> > that StDev in AB is StDevP by default).... . I started on the AFL for Skew until I hit the StDev wall and I had to leave it for a
> > while ... I'll be back on it later or tomorrow.... the first problem I found is that you will need to run a lot of datapoints
> > before you get a meaningful distribution (pseudo dist in this case) i.e. I used GF and they are all different at the default
> > number of decimal points .. I used Prec() to round down to 2 integers to to test the code I started to write ... in the real world
> > you will need N to be very big to start to find the meaningful mode ... I could use Prec(tradeseries, 3) and that would be the
> > equivalent of 1000 bins so you need quite a few N to get a decent bin count ... if you round down to 2 decimal places perhaps the
> > end result won't be that meaningful.
> >
> > <snip>But I also like to think that I'll find other, and perhaps more meaningful "profile attributes" which have nothing to do
> > with the
> > old distributions! That's why I've been looking for a
> > generic solution<snip>
> >
> > That's the way to go ... I never fail to learn something when I dig in.
> > Our analytical approach seems to be synched to some degree ... now that you have raised the subject I am trying to relate Skew etc
> > to my BinomialModels ... I expect a few new metrics to come out of that but they are a fair way away.
> > It is always hard to say, in advance, if the new 'profile attributes' will be useful on a day to day basis but I find the
> > understanding gained from thrashing it all out is worth the effort .. somewhere in the back of my mind I use it all at some stage.
> >
> > Once I got that far I started to wonder if the progressive Skew, Median etc would be that meaningful ... a rolling period might be
> > just as effective ... still if you are like me you need to do it and look at it to see if it meaningful or not.
> >
> > > The following construct works - but it is very, very
> > > slow.....
> >
> > Yep!
> >
> > --- In amibroker@xxxxxxxxx ps.com, i cs <ics4mer@ > wrote:
> >
> > >
> > > Hi Brian,
> > >
> > > Hmmmm... could be a typo in the manual
> > > I certainly had no idea that MA() could do this.
> > >
> > > myX = MA(C, 1); // AFL happy
> > > myX = Median(C, 1); // AFL happy
> > > myX = MA(C, Cum(1)); // AFL happy
> > > myY = Median(C, Cum(1)); // "Argument has incorrect type"
> > >
> > >
> > > You must have a huge amout of hands on with AFL!
> > > Some of the functions in AFL take either arrays, or
> > > numbers, and a few seem to be able to take both:
> > > Not sure what language AB is written in suspect its
> > > probably C++ which allows you to do this sort of
> > > thing.
> > >
> > > Looking at the entry for "int()"
> > >
> > > INT
> > > âË?' integer part
> > > SYNTAX int( NUMBER )
> > > int( ARRAY)
> > >
> > > I suspect the manual entry for MA() should be the
> > > same!
> > >
> > > I'm currently looking at the "_TRACE()" command to try
> > > and garner some insight into the execution process.
> > >
> > > I'm keener on your suggestion regarding using the arithmetic
> > > now that I now that MA(array, array) works! And yes,
> > > I'd prefer the faster option every time! But I also like to
> > > think that I'll find other, and perhaps more meaningful
> > > "profile attributes" which have nothing to do with the
> > > old distributions! That's why I've been looking for a
> > > generic solution
> > >
> > > The R package looks intriging too. But I still have to
> > > learn how AB works in it's basic mode before I
> > > unduly complicate my life with other packages etc...
> > >
> > > The following construct works - but it is very, very
> > > slow.....
> > >
> > > function myMedian( array, i )
> > > {
> > > x = array[i];
> > > return x;
> > > }
> > >
> > > mp2 = 1;
> > > for( i = 1; i < BarCount; i++ )
> > > {
> > > mp2[ i ] = myMedian(Median( C,i),i);
> > > }
> > >
> > >
> > > Thanks for your help once again!
> > >
> > > Robert Z
> > >
> > >
> > >
> > >
> > > ____________ _________ _________ __
> > > From: brian_z111 <brian_z111@ ...>
> > > To: amibroker@xxxxxxxxx ps.com
> > > Sent: Friday, 5 June, 2009 5:00:41 PM
> > > 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@xxxxxxxxx ps.com, i cs <ics4mer@ > 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@ ...>
> > > > To: amibroker@xxxxxxxxx ps.com
> > > > 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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**** IMPORTANT PLEASE READ ****
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This is *NOT* technical support channel.
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