Someone asked me to share the code I got running to calculate non-continuous
standard deviations. You may recall that my application was to find the
StDev of any month in which the total gain for the month was positive.
I made an extract of the code for your use and education, although I must
warn that while it calculates the numbers correctly for the symbols and
ranges I have tested it on, it exhibits some behavior that I am unable to
explain. I am nervous about code with unexplained results, even if the
calculations I am interested in are produced accurately. I will describe
this problem in a moment.
The code, copied below, will produce the correct calculations for daily
symbols and will determine the StDev for days where the one day ROC is
positive and the same for when it is negative. I have left all of the
intermediate calculation columns visible in the AA window for your
inspection. You can obviously delete these or hide them and only display the
data you want to see. You can obviously change the non-continuous variable
from the one day ROC.
The interesting and unexplained happening requires a look into the code.
For those interested, if you look under the loop section for the negative
ROC calculation, you will see a variable line like this:
NumDn[FirstBar -1] = 0;
This (obviously) initializes the array NumDn. However, NumDn is not used
anywhere in any subsequent line of calculation. But!! If I delete this
line or comment it out, then the calculation for GainDnSq (initialized in
the very next line) disappears and its array becomes {Empty}. Reinstate the
NumDn variable and the calculation for GainDnSq completes as it should. I
have not discovered the answer to this puzzle and those of you who see it,
let me know if you figure it out. It may have to do with cached values and
variables in memory.
Anyway, here is the code: It is a standalone code and should run (watch out
for line breaks in your email window). Do a symtax check before trying to
run it.
Ken
// NonContinuousStDev.afl KSC
// Purpose: to calculate the StDev of non-continuous data such as all of the
// positive daily ROC values
// Establish a testing period
StartDate = ParamDate("StartDate","12/31/2007");
EndDate = ParamDate("EndDate","06/30/2008");
BIR = IIf(Status("BarInRange") > 0, 1, 0);
FirstBar = LastValue(ValueWhen(Status("FirstBarInRange") > 0, Cum(1)));
LastBar = LastValue(ValueWhen(Status("LastBarInRange") > 0, Cum(1)));
AllDates = DateNum();
Per1 = BarsSince(AllDates == StartDate)+1;
// Calculate the non-continuous data
Gain = ROC(C,1);
UpDays = Sum(IIf(Gain > 0, 1, 0),Per1);
DnDays = Sum(IIf(Gain < 0, 1, 0),Per1);
PCUp = UpDays / (UpDays + DnDays);
// Routine to calculate StdDev of Positive Monthly Gains
GainUpSq[FirstBar-1] = 0;
GainUpSum[FirstBar-1] = 0;
for (k=FirstBar-1; k < LastBar ; k++ )
{
if (Gain[k] > 0)
{
GainUpSum[k] = GainUpSum[k-1] + Gain[k];
GainUpSq[k] = GainUpSq[k-1] + (Gain[k])^2;
}
else
{
GainUpSum[k] = GainUpSum[k-1];
GainUpSq[k] = GainUpSq[k-1];
}
}
A = (GainUpSq) / UpDays;
B = (GainUpSum / UpDays)^2;
SdUp = sqrt(A - B);
// Routine to calculate StdDev of Negative Monthly Gains
// k = BarNo;
NumDn[FirstBar-1] = 0;
GainDnSq[FirstBar-1] = 0;
GainDnSum[FirstBar-1] = 0;
for (k=FirstBar-1; k < LastBar ; k++ )
{
if (Gain[k] < 0)
{
GainDnSum[k] = GainDnSum[k-1] - Gain[k];
GainDnSq[k] = GainDnSq[k-1] + (Gain[k])^2;
}
else
{
GainDnSum[k] = GainDnSum[k-1];
GainDnSq[k] = GainDnSq[k-1];
}
}
AD = Nz((GainDnSq) / DnDays);
BD = Nz((GainDnSum / DnDays))^2;
SdDn = sqrt(Nz(AD - BD));
PercentUpDays = 100 * (UpDays / (UpDays + DnDays));
Filter = Status("lastBarinRange");
Filter = 1;
Cd = colorDefault;
AddColumn(C,"Price",1.2,Cd,Cd,80);
AddColumn(Gain,"Gain",1.2,Cd,Cd,80);
AddColumn(Per1,"TotalDays",1.0,Cd,Cd,90);
AddColumn(UpDays,"UpDays",1.0,Cd,Cd,90);
AddColumn(100 * PCUp,"PCentUpDays",1.2);
AddColumn(GainUpSum,"GainUpSum",1.2,Cd,Cd,110);
AddColumn(GainUpSq,"GainUpSq",1.2,Cd,Cd,110);
AddColumn(A,"A",1.2,Cd,Cd,110);
AddColumn(B,"B",1.2,Cd,Cd,110);
AddColumn(SdUp,"Stndev Up Gains",1.2,Cd,Cd,120);
AddColumn(DnDays,"DnDays",1.0,Cd,Cd,90);
AddColumn(GainDnSum,"GainDnSum",1.2,Cd,Cd,110);
AddColumn(GainDnSq,"GainDnSq",1.2,Cd,Cd,110);
AddColumn(AD,"AD",1.2,Cd,Cd,110);
AddColumn(BD,"BD",1.2,Cd,Cd,110);
AddColumn(SdDn,"Stndev Down Gains",1.2,Cd,Cd,120);
