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Rich,
Very nice. The speed up ratio is really a plus.
Thank you.
Leslie
Rich Schaaf wrote:
>
> Hi Leslie,
>
> Yes, I believe that I must have 'enhanced precision' enabled since
> I've never done anything to disable it. I vaguely remember this being
> discussed on the list in the past, but can you remind me how one goes
> about disabling it?
>
> In terms of speed, I'm testing this DLL under TS2000i on a relatively
> slow (400 MHz) PC so probably the only measures of interest are
> relative timings between the DLL version and the TradeStation builtin.
>
> What I implemented in the DLL is Pearson's coefficient R (CoeffR). You
> get Pearson's R Squared by -- you guessed it -- squaring the CoeffR
> result.
>
> For an apples-to-apples comparison, I timed both the DLL version and
> the TS2000i builtin for CoeffR(14) using a chart containing 91,380
> 1-minute bars.
>
> The timing results are:
> TS2000i builtin: 9 seconds
> DLL implementation: 3 seconds
>
> Since a couple of folks in private communications have asked for a
> copy of the DLL code as a sample, I've included it below. Enjoy!
>
> Cheers,
> Rich
>
> ; ********************** CoeffR.def **********************
> ; CoeffR.def : Declares the module parameters for the DLL.
>
> LIBRARY "CoeffR"
> DESCRIPTION 'Standard Windows Dynamic Link Library'
>
> EXPORTS
> ; Explicit exports can go here
>
> _COEFFR
>
> /********************** CoeffR.h ********************** /
> #include <windows.h>
> #include "elkit32.h"
>
> float __stdcall _COEFFR(LPFLOAT lpValue, FLOAT nLen,
> DWORD dwStartAddr, DWORD dwVarSize);
>
> /********************** CoeffR.c ********************** /
> #include "CoeffR.h"
>
> // Extern declarations
> extern double sqrt(double);
>
> float __stdcall _COEFFR(LPFLOAT lpValue, FLOAT nLen,
> DWORD dwStartAddr, DWORD dwVarSize)
> {
> LPFLOAT lpAddr;
> float floatValue;
> double X, Y, sumX, sumY, sumProdXY, sumSquareX, sumSquareY;
> double coeffR, upper, lower;
> int i, len;
>
> len = (int) nLen;
> floatValue = 0.0;
> X = Y = sumX = sumY = sumProdXY = sumSquareX = sumSquareY = 0.0;
> coeffR = upper = lower = 0.0;
>
> for (i=1; i <= len; i++)
> {
> lpAddr = FindAddress_Var(lpValue, len-i, dwStartAddr, dwVarSize);
> if (lpAddr) floatValue = *lpAddr;
>
> X = i;
> Y = floatValue;
>
> sumX += X;
> sumY += Y;
> sumProdXY += (X * Y);
> sumSquareX += (X * X);
> sumSquareY += (Y * Y);
> }
>
> upper = len * sumProdXY - sumX * sumY;
> lower = sqrt(((nLen * sumSquareX) - (sumX * sumX)) *
> ((nLen * sumSquareY) - (sumY * sumY)));
>
> if (lower != 0.0)
> {
> coeffR = upper / lower;
> }
>
> return ((float) coeffR);
> }
>
> Sunday, February 2, 2003, 11:58:39 PM, you wrote:
>
> > Rich:
>
> > Two questions: did you have that stupid 'enhanced precision'
> > feature turned ON in TS? If so it actually REDUCES precision.
> > That could have been the problem.
> > (The standard install automatically turns on this wierd feature.)
>
> > Second, how is the speed of the DLL?
>
> > Leslie
>
> > Rich Schaaf wrote:
> >>
> >> A few words of warning that I hope will save others from tripping over
> >> similar problems ...
> >>
> >> In the past Bob Fulks (and others) have mentioned that the use of
> >> 32-bit floating point values in TS2000i and TS6 is a problem.
> >>
> >> I didn't fully appreciate this until a few days ago when I tried to
> >> apply the RSquared(14) TS2000i function to a chart of the Emini
> >> Nasdaq. It's a builtin function and I wasn't using a very long length
> >> so it should work, right? Wrong.
> >>
> >> The values returned by the TS2000i RSquared() function only barely
> >> resembled the correct values. After digging into it, I found that the
> >> intermediate values in the RSquared computation were large enough that
> >> the 32-bit floats were unable to retain enough precision for the end
> >> result to be useful.
> >>
> >> In order to get an RSquared function that calculated correctly, I had
> >> to write my own as a DLL function that uses 64-bit doubles for the
> >> intermediate results of the calculation.
> >>
> >> Rich
--
Regards,
Leslie Walko
610-688-2442
--
"Life is a tragedy for those who feel, a comedy for those who
think"
Horace Walpole, 4th earl of Orford, in a letter dated about 1770
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