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Totally agree that computers should be infallible and software should be
"perfect"....
but when huge performance trade-offs exist as would be the case of double
floating point,
I'd rather be fast rather than "perfect".
You wouldn't want to experience the combination of BOTH a CPU "hit" and a
"memory" hit if Omega goes immediately to doubles......everyone would need
512k RAM and the new gigahertz CPUs.
Also, I can't understand why everyone is trading today based on data 20,000
bars ago anyway ?
Wow - isn't that stuff ancient history ?
> -----Original Message-----
> From: marQ [mailto:mcerar@xxxxxxxxx]
> Sent: Friday, March 17, 2000 3:24 PM
> To: omega-list@xxxxxxxxxx
> Subject: RE: Warning about accuracy of Array functions in TS2000i
>
>
> It is not a question of a margin of error of + or - a few
> percentage points.
> Under the conditions outlined at the beginning of this thread on the array
> functions listed, the margin of error is HUGE. The correlation
> coefficient
> must be a value >= -1.0 and <= +1.0 I remember getting correlation
> coefficient values of > 1.0 in TS4.0. THAT IS A THEORETICAL
> IMPOSSIBILITY.
> It renders the results of the calculation TOTALLY USELESS.
>
> Regards,
> marQ
>
> -----Original Message-----
> From: M. Simms [mailto:prosys@xxxxxxxxxxxxxxxx]
> Sent: Friday, March 17, 2000 2:26 PM
> To: Bob Heisler; fritz@xxxxxxxx
> Cc: omega-list@xxxxxxxxxx
> Subject: RE: Warning about accuracy of Array functions in TS2000i
>
>
> Thanks Gary....you've proven the point....and this post is in no way
> deferential to you....so here is my opinion:
>
> For the incredible uncertainty and risk factors in futures or equity
> trading, the single precision seems "good enough" to me.
> If I point myself in the right direction and hit the barn door with a
> baseball thrown from my arm, I'm a winner.
> The double-precision crowd is saying I need a high-powered telescopic lens
> and a 300 caliper rifle to hit that barn door right in the middle and I'll
> win all that much more.
>
> Bullshit.
>
> The losing trading systems aren't even facing the barn door.
> How's the "gun"
> going to help THEM ?
> They'll just miss (and lose) much more accurately....
>
> > -----Original Message-----
> > From: Gary Fritz [mailto:fritz@xxxxxxxx]
> > Sent: Friday, March 17, 2000 11:48 AM
> > To: M. Simms
> > Cc: omega-list@xxxxxxxxxx
> > Subject: RE: Warning about accuracy of Array functions in TS2000i
> >
> >
> > > I "HEAR" everyone, but can someone "SHOW ME" how significant the
> > > difference is ?
> >
> > This is not exactly rocket science. TS single precision numbers are
> > limited to about 6 1/2 digits of precision, by definition. If you do
> > ANYthing, ANYTHING that requires more accuracy than that, you're
> > hosed.
> >
> > Very simple example:
> >
> > value1 = 54321;
> > value2 = value1*value1;
> > print(value2);
> >
> > Value2 = 2950770944. Now try it in Excel or in your trusty HP
> > calculator. The right answer is 2950771041.
> >
> > Here's another one that approximates what functions like StdDev do:
> >
> > value1=12345;
> > value2=23451;
> > value3=34512;
> > value4=45123;
> > value5=51234;
> >
> > value6 = value1*value1 + value2*value2 + value3*value3
> > + value4*value4 + value5*value5;
> > value7 = SquareRoot(value6);
> >
> > print(value7:5:5);
> >
> > TS says 80959.50000. Excel says 80959.4618.
> >
> > So it's clear the single precision result is wrong, but it's very
> > close. And if "very close" is good enough for you, then don't worry
> > about the single precision variables.
> >
> > But what if you start doing things like looking at the differences
> > between two StdDev values? Then "very close" might get you into a
> > lot of trouble.
> >
> > If you do complex calculations, which many system designers do
> > (sometimes without being aware of it because they don't think about
> > what functions like StdDev or correlation do), then TS may very well
> > be giving you the wrong answers. Depending on the type of analysis
> > you do, this inaccuracy can kill you.
> >
> > If you're satisfied with those wrong answers, or if ballpark
> > estimates are good enough for you, you're fine. I can't show you the
> > difference because "close" is apparently "close enough" for you.
> >
> > Just be aware that your code may be a lot fussier about the
> > definition of "close enough" than you are.
> >
> > Gary
> >
>
>
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