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While you are correct in saying that the correlation function of
TradeStation 4 is worthless, and that OR support is clueless of the
fact that it is worthless, it is not correct to say that these can not
be written in EasyLAnguage.
I personally wrote many of the functions you wrote here, and got them
with my 2000i product. Some of the functions I have found are:
COrrelation
Variance
Standard DEviation for sample
Standar Deviation for population
Skewness
Curosis
FIsher Distribution
Normal Distribution
Normal CUmulative Distribution
amongst others. And as far as I have been able to test, they give me
values that match excel for about 3 or 4 decimal places, then the
rounding thing starts. BUy hey, 3 or 4 decimal places is plenty for
what I am doing. When I place the trades they are rounded to the
nearest 1/16 or 1/32nds anyways...
If anyone is intersted in these functions just ask...
H
---"Mark J. Cerar" <mcerar@xxxxxxxxx> wrote:
>
> You are indeed correct, the correlation function in TS4.0 is a
simplified
> one that does not give correct results. I wrote the correlation
coefficient
> code for EasyLang and compared it to the results in Excel on
identical data
> sets. The results in EasyLang were way off i.e. Coefficient values of
> greater than +1 and less than -1 etc. When I wrote to EasyLang
support they
> said there were errors in my code. They told me that they do not
fix faulty
> code and that I should hire an Omega Solution Provider to help me.
I then
> broke down the correlation coefficient into it's component
calculations i.e.
> mean, variance, standard deviation etc. in EasyLang and compared
that to the
> calculations in Excel. I noticed that they did not match. Some of
the
> variables were simply rounded off so much that the results were
useless.
> This is when I suspected that the problem was in TS not in my code.
> I found out later on that TS4.0 uses only single precision
variables. You
> need double precision variables to calculate correlation coefficients
> accurately. MS products such as Excel and VB have double precision
> variables so they have no problem. TS2000i uses only single precision
> variables too. I asked EasyLang support about this recently and they
> responded by saying double precision would be available using COM
> architecture such as in a DLL. How to do this I don't know?
> The moral of this story is that Marketing > Customer Satisfaction
at Omega
> Research. The fact that they would rather send a customer off on a
wild
> goose chase and have him or her waste their time and money on a
pointless
> quest rather than admit a limitation in their product proves it. Of
> course, there may be some way of coding an algorithm in EasyLang to
> calculate the Correlation Coefficient using single-precision
variables but I
> haven't seen or heard of such an animal.
>
> Mark.
>
> > -----Original Message-----
> > From: Rus Newton [mailto:rpn@xxxxxxxxxxxxxxxxxx]
> > Sent: March 14, 1999 2:32 PM
> > To: Omega
> > Subject: Statistical Functions
> >
> >
> > Anyone written EasyLanguage for proper correlation, covariance &
other
> > statistical functions? I don't think the correlation function
> > included with
> > TS4 is correct & although I have VB code for most of them I can't
see the
> > point of re-writing into ELA if someone else has already done so.
> >
> > Thanks
> >
> > Rus Newton
> >
> >
>
>
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