Hi Brian,
Thanks for getting back to me.
Unfortunately, Cum() returns array, Median() wants a number as its
second argument. (The manual is clear!)
I used median as an example because it's relatively easy to understand,
and I will be using it, but I will also be plotting the growth factor in the
same
way - as well as the other moments of distribution - just one step at a time.
Its possible to derive a lot of the moments of distribution from other the
parts, but it comes back to the same problem - I'd have to write functions
to derive kurtosis, mode etc.
Some of the historic emails in the group included the following solutions:
- code the functions myself - which I'm trying to avoid.
- create a dynamic set of variables using VarSet - this seems a bit brutish
especially if you are playing with a number of "profile attributes".
When are the "for" loops executed in the block of code? Knowing some more
about the AFL execution order might be helpful. Might go down that track for
a while....and check out the other 1500 references to "loop" in the email
group.
Thanks again...
Robert Z
________________________________
From: brian_z111 <brian_z...@yahoo.com>
To: amibroker@yahoogroups.com
Sent: Friday, 5 June, 2009 2:57:43 PM
Subject: [amibroker] Re: Newbie Array / Looping Question
I am not sure about this one now ... I think we need some help from the
code/maths experts.
Median() doesn't appear to accept an array as input (the manual doesn't say one
way or another?) ... it might be demanding a constant (that wouldn't surprize
me since mean/mode/median are moments of a distribution so massive calcs might
be required to find them for skewed dists without having the distriution at
hand) ... AB doesn't do that distributions off the shelf ... not AFAIK.
I think you can calc Skewness from N, StDev, arithmetic mean etc ... once you
have S you can back calc the Median or the Mode from the Mean and the StDev.
Another brute method might be an algorithmic trial and error test for the Mode
(loops required)... I forget what it is called in programming but if the value
to the right of the mean has a higher frequency than the mean value the mode is
somewhere to the right .. by halving the range between the freq test you will
zero in on the mode and then you can calc the median by using the mean and mode
values..... AFAIK array processing will always be more timely than looping
though.
--- In amibro...@yahoogrou ps.com, "brian_z111" <brian_z111@ ...> wrote:
>
> Median(array, periods)
>
> I assume you are measuring, say ROC(C,1) or similar for % price change.
> I guess you just need to get a progressive count, of the number of ROC
> datapoints, to make the function work.
>
> Things to look out for (if the AB function is going to work for you):
>
> - every element in the array you are measuring needs a value (nulls or zeros
> might trip up the math e.g. STDev, mean) ... I guess if you are interested in
> daily bars you will first create a daily ROC(C,1) or ROC of some other point
> of interest from within the bar HL range
> - the number of periods, in your array count, is range dependent i.e. in AB
> it can vary with mode ... QuickAFL can be used to change the range (in AA)
> and QickAFL will autoset the range in charts (or might ... I am not the full
> bottle on QuickAFL but there is an article by Tomasz in the AB KnowledgeBase)
> - BarsSince type functions might count one less period than you expect ...
> depending if the function is a zerobased count and how you want to use the
> count.... sometimes I have to add 1 to make the adjustment manually
> - BarIndex() is the bar by bar count since the start of the range, where
> range == the range of the database ... AB gets a bit tricky with when and
> where it uses the complete database range as the default .... probably to do
> with fast array processing etc ...sometimes I prefer to use Cum(1) as my
> count ... I seem to get more visually stable indicators in the charts because
> it doesn't reference the chart range it references from the start of the
> database.
>
> - so, making a few assumptions, and if Median works for you as required,
> Median(ROC(C, 1),Cum(1) ); // because Cum(1) is progressive and counts bars
> from the beginning
>
> - mathematically I find ROC is not as stable as GrowthFactor where ROC == 3%
> is expressed as 1.03
>
> Haven't done it though.
>
> If that doesn't work maybe someone else in the forum knows more.
>
> In case of emergency RVince book two has the maths for median, mode, mean
> interelationships (possibly for advanced, or custom use, you could calculate
> the median from other values).... mean == median == mode for normal
> distributions (you should be so lucky!)
>
>
>
>
> --- In amibro...@yahoogrou ps.com, "ics4mer" <ics4mer@> wrote:
> >
> > Hi all,
> >
> > I'm after a general form for doing a particular type of algorithm
> > in AFL - and I'm happy to admit that I might be going about it
> > the totally wrong way...
> >
> > I am attempting to extract an evolving "profile" of a stock over
> > time.
> >
> > Using "median" as an example, lets say I want calculate the median
> > percentage price change for the life of the stock. To give an
> > example:
> >
> > The 1st trading day - do nothing.
> > The 2nd trading day - calc median for 2 days
> > The 3rd trading day - calc median for 3 days
> > Last traded day - calc median for n days.
> >
> > For simple functions, I have used a construct similar to;
> > for ( i=0; i < BarCount; i++ ){
> > myArray[ i ] = simpleFunc( i );
> > .....
> > }
> >
> > However, in this case, I would have to write a new median function,
> > and this is irritating, since there is a perfectly good one
> > taunting me from the users manual! That's why I suspect that I
> > might be doing something in the wrong way.
> >
> > Any help or pointers would be much appreciated. A pointer to
> > a message in the user group would be fine too! ( Yes I am still
> > trawling through the email group as I write this....)
> >
> > TIA
> >
> > Robert Z
> >
>
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