Title: Re[2]: [amibroker] Re: How to Calculate Correlation Across Entire Array Length?
My system needs to now how many times a number of rare events take place over all data. Typically I would use Cum(Event). This information is only needed when I change Params or startup the system.
Can this be coded, without disabling QuickAFL, so that this count is obtained on-command, or by calling a function, without using cum()?
And without running the counting formula separately...
many thanks for any ideas,
herman
Thursday, July 9, 2009, 9:46:09 PM, you wrote:
> All arrays have same size equal to BarCount.
> Alternativelly you can use LastValue(BarIndex())
> Using Cum() is not recommended to find out the size
> is not necessary and not recommended because it will
> effectivelly turn off QuickAFL and slow down the formula.
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "whitneybroach" <WhitneyBroach@xxxxxxxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Thursday, July 09, 2009 11:54 PM
> Subject: [amibroker] Re: How to Calculate Correlation Across Entire Array Length?
>> Progster,
>> If feasible to share, what did you finally use?
>> Best regards,
>> --- In amibroker@xxxxxxxxxxxxxxx, "progster01" <progster@xxx> wrote:
>>> Mike and Bruce,
>>> Thanks very much for your comments.
>>> They've got me on the right track.
>>> - Progster
>>> P.S. - That's a slick trick with Cum( A - A + 1) to get the length of
>>> the various arrays!
>>> --- In amibroker@xxxxxxxxxxxxxxx, "bruce1r" <brucer@> wrote:
>>> >
>>> > Progster -
>>> >
>>> > I assume that you posted this because you ran into a problem. I
>>> > suspect that it is related to an old debate about the "period" parm to
>>> > the correlation function. When you run into these type of issues, I'd
>>> > suggest using explores and looking for boundary effects. For example,
>>> > a 10 period correlation needs 11 bars for the first value. That means
>>> > to get a correlation of full length N, you'd use N-1 for the parm. I
>>> > interpret it as a lookback, but this is a old AB debate.
>>> >
>>> >
>>> > Anyway, here's that example for #1 -
>>> >
>>> > indexname = "DIG";
>>> > index = Foreign( indexname, "C" );
>>> >
>>> > Lenc = LastValue( Cum( C - C + 1 ) );
>>> > Leni = LastValue( Cum( index - index + 1) );
>>> >
>>> > // Show the boundary effect on 2/16/07
>>> > res1 = Correlation( C, index, 10 );
>>> >
>>> > // This gives the correlation over the full length of the shortest
>>> array
>>> > //res1 = Correlation( C, index, Min( Lenc, Leni ) - 1 );
>>> >
>>> > Filter = 1;
>>> > AddColumn( C, Name( ), 8.5 );
>>> > AddColumn( index, indexname, 8.5 );
>>> > AddColumn( Leni, "LENI", 5.0 );
>>> > AddColumn( res1, "CORRELATION", 8.5 );
>>> >
>>> >
>>> >
>>> > --- In amibroker@xxxxxxxxxxxxxxx, "Mike" <sfclimbers@> wrote:
>>> > >
>>> > > What about option 1 expressed something like this?
>>> > >
>>> > > LastValue( Correlation( A, B, LastValue(Cum(1) ) );
>>> > >
>>> > > Mike
>>> > >
>>> > > --- In amibroker@xxxxxxxxxxxxxxx, "progster01" <progster@> wrote:
>>> > > >
>>> > > > Hi. Can anyone suggest an AFL construction that would provide a
>>> > > > calculation of the correlation of 2 arrays across their entire
>>> > > length?
>>> > > >
>>> > > > Considering 2 arrays, A and B, either of these final results
>>> would be
>>> > > > desirable:
>>> > > >
>>> > > > 1. a single number, measuring the correlation of A and B over their
>>> > > > entire length
>>> > > >
>>> > > > 2. an array C, same length as A and B, where each element of C
>>> > > > measures the correlation between A and B over the length "up to that
>>> > > > point".
>>> > > >
>>> > >
>>> >
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This is *NOT* technical support channel.
TO GET TECHNICAL SUPPORT send an e-mail directly to
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