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> // NOTE: the code is SLOOOOWWWW...can someone help speed it up?
How can a layperson measure the speed of execution of code ... say I want to compare this code to another version to see if I have improved the speed....perhaps there is some help somewhere in Howard's books or the help manual and I haven't read them carefully enough .. if anyone could give me a reference or a quick explanation that would be good.
--- In amibroker@xxxxxxxxxxxxxxx, "shakerlr" <ljr500@xxx> wrote:
>
> I just created the following code to calculate the VWAP + std deviation bands, but have found that it is extrememly slow. I posted the original code to the amibroker study site and was wondering if anyone has any suggestions to speed it up for display on 1 minute charts.
>
> Also, I noticed that if I DO NOT USE:
> SetBarsRequired( 1000, 0 );
>
> The bands show up incorrect...(sometimes expanding/shrinkking as I scroll on the 1 minute chart)
>
> Note that I have about 100000 bars in my stock/ticker being studied...so that may be the reason it is slow...
>
> ----
> /// VWAP code that also plots standard deviations...if you want a 3rd...it
> should be fairly simple to add
> //
> // NOTE: the code is SLOOOOWWWW...can someone help speed it up?
> // I tried my best, but can't really do much with the two for-loops...
> //
> // LarryJR
>
>
> SetBarsRequired( 1000, 0 );
>
> // this stores true/false based on a new day...
> newday=Day() != Ref(Day(), -1);
>
> SumPriceVolume=0;
> totVolume=0;
> Vwap2=0;
> stddev=0;
> newdayindex=0;
> Variance =0;
>
> // we must use a loop here because we need to save the vwap for each bar to
> calc the variance later
> for( i= 0; i < BarCount; i++ )
> {
> // only want to reset our values at the start of a new day
> if (newday[i]==True)
> {
> SumPriceVolume=0;
> totVolume=0;
> newdayindex=i; // this is the index at the start of a new day
> Variance=0;
> //Vwap2=0;
> }
> AvgPrice=(O[i] + H[i] + L[i] + C[i])/4;
>
> // Sum of Volume*price for each bar
> sumPriceVolume += AvgPrice * (Volume[i]);
>
> // running total of volume each bar
> totVolume += (Volume[i]);
>
> if (totVolume[i] >0)
> {
> Vwap2[i]=Sumpricevolume / totVolume ;
> Vwap2temp=Vwap2[i];
> }
>
> // now the hard part...calculate the variance...
> // a separate calc from the start of each day - note it requires the vwap from
> above
> // also note, we calculate starting at the first bar in the new day to today
> to the curent bar
> Variance=0;
> for (j=newdayindex; j < i; j++)
> {
> AvgPrice=(O[j] + H[j] + L[j] + C[j])/4;
> Variance += (Volume[j]/totVolume) *
> (Avgprice-Vwap2temp)*(Avgprice-Vwap2temp);
> }
> stddev_1_pos[i]=Vwap2temp + sqrt(Variance);
> stddev_1_neg[i]=Vwap2temp - sqrt(Variance);
>
> stddev_2_pos[i]=Vwap2temp + 2*sqrt(Variance);
> stddev_2_neg[i]=Vwap2temp - 2*sqrt(Variance);
> }
> Plot (Vwap2,"VWAP2",colorDarkGrey, styleLine);
> Plot (stddev_1_pos,"VWAP_std+1",colorGrey50, styleDashed);
> Plot (stddev_1_neg,"VWAP_std-1",colorGrey50, styleDashed);
> Plot (stddev_2_pos,"VWAP_std+2",colorGrey40, styleDashed);
> Plot (stddev_2_neg,"VWAP_std-2",colorGrey40, styleDashed);
>
------------------------------------
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