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Very easy to do. Do a calculation in TS2000i-using the array functions I
mentioned in previous posts-with different time-series data from say a low
priced stock to the DJ or Nikkei and on a variety of array sizes. You might
also like to try it on trending and non-trending data in different
periodicities. Trending markets are the most problematic, I believe,
because of the larger price change over the length of the array. In other
words, the larger the difference in values between the first and last
elements of the array, the larger the difference between the individual
array elements (at the ends) and the mean of the array. It is the size of
this difference which is the key because it is this number that is
subsequently squared.
Next, export the same data used in the TS array function to Excel using the
ASCII export feature (in TS4.0 you could do this through the quote window I
believe) and do the calculations using the Excel functions (which use
double-precision). Then compare the two values. I can't do this because I
don't have TS2000i and I won't bother with it until I'm reassured on this
point because I need this capability. I haven't even bothered to reinstall
TS4.0 after I got a new computer system but I did do this in TS4.0 a while
back (on a 40-element array of the S&P500) and the results in TS4.0 were
unusable.
If you noticed, I asked OR Tech support to map out the limits of accuracy of
these functions in terms of the number of significant figures in the data
and the size of the array - in hindsight, I could have also added the size
of the difference between the first and last elements of the array. If they
are going to include these functions in TS then they obviously owe it to all
current and future customers to define these limitations precisely, or even
better, fix the problem. But if any Omega groupies are volunteering in
their place, then they can be my guest.
Good luck,
Mark.
-----Original Message-----
From: M. Simms [mailto:prosys@xxxxxxxxxxxxxxxx]
Sent: Wednesday, March 15, 2000 9:59 AM
To: Larry Wright; marQ
Cc: Omega List
Subject: RE: Warning about accuracy of Array functions in TS2000i
I find that hard to believe.....single precision floats can do better than
that.
I'd like to see an example to prove this claim.
> -----Original Message-----
> From: Larry Wright [mailto:lwright@xxxxxxxxxx]
> Sent: Tuesday, March 14, 2000 10:14 PM
> To: marQ
> Cc: Omega List
> Subject: Re: Warning about accuracy of Array functions in TS2000i
>
>
>
>
> On Tue, 14 Mar 2000, marQ wrote:
>
> > The following email was sent by me to OR tech support and their
> > reply is found below. Anyone using Standard Deviation,
> Variance, Covariance
> > etc. array functions must be extremely careful when using them
> due to the
> > limitations of single-precision in TS2000i. The bottom line is
> they will
> > only work on prices that have no more than 3, maybe 4,
> significant figures
> > in them. i.e. 6.25 which probably limits their use to
> low-priced stocks and
> > some futures.
>
> Some of us have been asking for this for YEARS, to a host of deaf ears who
> cannot see any value on it.
>
> Larry
>
>
>
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