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MG Ferreira, Thankyou for your reply, well beyond the kind of reply
was expecting. This looks like it took some time to put together so
its much appreciated and Ill have fun playing with it. It will take a
while to learn whats actually happening.
Regards Robert
--- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx> wrote:
> Robert,
>
> Actually I am in so much trouble now with all the time I just spent on
> this very interesting challenge. Here it is
>
> ----8<----------------------
> {MG Ferreira}
> {http://www.ferra4models.com}
> {Plots frequency distribution of daily returns}
> {and fitted normal distribution, either in values}
> {or percentages.}
> {For personal use only}
>
> {Number of bins, use log(n) if not sure}
> Bins:=Input("Number of bins?",5,20,10);
> UsePct:=Input("Actual count(0) or percentage(1)?",0,1,0);
>
> {What we want to distribute, change to your liking}
> Y:=100*(C/Ref(C,-1)-1); {Daily returns}
>
> {Calcs}
> yMax:=LastValue(Highest(Y));
> yMin:=LastValue(Lowest(Y));
> yRange:=yMax-yMin;
> BinSize:=yRange/Bins;
>
> {Count frequency in each bin}
> ii:=Cum(1);
> nn:=LastValue(ii);
> CumFreq:=0*(ii<=2)+
> LastValue(Cum(Y<yMin+BinSize*1))*(ii=3)+
> LastValue(Cum(Y<yMin+BinSize*2))*(ii=4)+
> LastValue(Cum(Y<yMin+BinSize*3))*(ii=5)+
> LastValue(Cum(Y<yMin+BinSize*4))*(ii=6)+
> LastValue(Cum(Y<yMin+BinSize*5))*(ii=7)+
> LastValue(Cum(Y<yMin+BinSize*6))*(ii=8)+
> LastValue(Cum(Y<yMin+BinSize*7))*(ii=9)+
> LastValue(Cum(Y<yMin+BinSize*8))*(ii=10)+
> LastValue(Cum(Y<yMin+BinSize*9))*(ii=11)+
> LastValue(Cum(Y<yMin+BinSize*10))*(ii=12)+
> LastValue(Cum(Y<yMin+BinSize*11))*(ii=13)+
> LastValue(Cum(Y<yMin+BinSize*12))*(ii=14)+
> LastValue(Cum(Y<yMin+BinSize*13))*(ii=15)+
> LastValue(Cum(Y<yMin+BinSize*14))*(ii=16)+
> LastValue(Cum(Y<yMin+BinSize*15))*(ii=17)+
> LastValue(Cum(Y<yMin+BinSize*16))*(ii=18)+
> LastValue(Cum(Y<yMin+BinSize*17))*(ii=19)+
> LastValue(Cum(Y<yMin+BinSize*18))*(ii=20)+
> LastValue(Cum(Y<yMin+BinSize*19))*(ii=21)+
> LastValue(Cum(Y<yMin+BinSize*20))*(ii=22)+
> (nn-1)*(ii>22);
>
> Freq:=(CumFreq-Ref(CumFreq,-1))/(UsePct*nn+(UsePct=0));
>
> {Now fit a normal distro to it}
> Mu:=LastValue(Cum(y))/(nn-1);
> Sigma:=LastValue(Stdev(y,nn-2));
> NormDistro:=Exp(-0.5*Power((yMin+BinSize*(ii-2)-Mu)/Sigma,2))/sigma;
> CumNorm:=LastValue(Cum(NormDistro));
> NormFin:=NormDistro/CumNorm*((UsePct=0)*(nn-1)+(UsePct=1));
>
> NormFin;Freq
> ----8<----------------------
>
> This asks you to give the number of bins, say 10. Use log(#obs) if
> you are not sure, and I should probably have used this somewhere as
> well. It then calculates the frequency distro and also fits a normal
> distro to it, which it plot. If you enter say 20 bins (the max) then
> the first 20 + 2 values contain the frequency and normal distros. The
> rest you can basically ignore.
>
> Now, this is plotted on a date axis. To plot it on a proper axis can
> not be done, but just change the last line to something like
>
> NormFin;Freq;yMin+BinSize*(ii-2)
>
> to get the values of the x axis as well. You can then copy this out
> to say Excel for further analysis.
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://www.ferra4models.com
> http://fun.ferra4models.com
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, mgf_za_1999 <no_reply@xxxx>
wrote:
> > Hi Robert,
> >
> > I think this is not that difficult to do actually, using a few 'Cum'
> > and 'LastValue' statements should do the trick. It won't be as nice
> > as you'd want it to be, but will be a lot easier than copy and paste
> > to Excel. If I have more time, I'll see if I can cook up something
> > for this.
> >
> > Regards
> > MG Ferreira
> > TsaTsa EOD Programmer and trading model builder
> > http://www.ferra4models.com
> > http://fun.ferra4models.com
> >
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "robcpettit" <robcpettit@xxxx>
> > wrote:
> > > Hi, I think the answer no but I have to ask. Is it possible to do
> > > frequency distribution charts, in the traditional bell shape,
without
> > > purchasing tradesim.
> > > Regards Robert
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