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I hate to ask, as youve spent long enough on this, Ive messed around
with this but my lack of understanding doesnt help. Id like a
distribution of say how many times a price changes by 1, or 2, or 3,
or -1, or -2 etc. Which areas would I have to change. Ive altered the
formula to c-(ref(c,-1) and played around with other parts. With the
ref to bins is this setting up different areas to add repeated values
to. Sorry for my lack of understanding. I have excel so I can use that.
Regards Robert
--- In equismetastock@xxxxxxxxxxxxxxx, "robcpettit" <robcpettit@xxxx>
wrote:
> 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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