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Bob Fulks wrote:
>
> At 12:00 PM -0500 3/20/00, M. Simms wrote:
>
> >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".
>
> I am glad you are not managing my money...
>
> >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.
>
> And they could pay for it with what they would lose in a few minutes on inaccurate calculations..
>
> >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 ?
>
> The TradeStation function is coded to calculate the accurate value on the first bar and just adds and subtracts changes since then. The value 20,000 bars ago was correct. But along the way, the errors accumulate.
>
> Bob Fulks
May as well give up. Some people just don't get it, and seemingly
refuse to learn error analysis. I've posted several messages on
this subject too. Here's part of one with some recommended reference
material for the uninitiated to read.
You need to get a basic understanding of numerical error analysis.
A place to start which is very thorough and which should be available
in any university library or technical section of a public library is:
The Algebraic Eigenvalue Problem
J. H. Wilkinson
Oxford University Press
The version I have is 1969, but the basics do not change. You
don't need to be intimidated by the whole book, and don't think
that the title makes it inapplicable to rounding analysis. Just
read the first 3 chapters, particularly Chapter 3 Error Analysis.
The only thing not covered in this book which is needed for
analyzing computations on Intel x86 processors is that the
floating point registers are 80 bits long, if you can keep
the computations in the floating point unit.
EL is known to use single precision. What is not certain to
anyone (that I know) outside of OR is whether EL makes any
significant use of the floating point unit. I suspect it
does not. Thus as you read Wilkinson's book, assume you
have 32 bits of floating point precision. You will quickly
realize how limiting this can be.
The solution - do all significant computations in a DLL that can
use double precision and which will take maximum advantage of
the 80 bit registers in Intel cpu's.
Rod
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