Hi Brian,
Hmmmm... could be a typo in the manual
I certainly had no idea that MA() could do this.
myX = MA(C, 1); // AFL happy
myX = Median(C, 1); // AFL happy
myX = MA(C, Cum(1)); // AFL happy
myY = Median(C, Cum(1)); // "Argument has incorrect type"
You must have a huge amout of hands on with AFL!
Some of the functions in AFL take either arrays, or
numbers, and a few seem to be able to take both:
Not sure what language AB is written in suspect its
probably C++ which allows you to do this sort of
thing.
Looking at the entry for "int()"
INT
− integer part
SYNTAX int( NUMBER )
int( ARRAY)
I suspect the manual entry for MA() should be the
same!
I'm currently looking at the "_TRACE()" command to try
and garner some insight into the execution process.
I'm keener on your suggestion regarding using the arithmetic
now that I now that MA(array, array) works! And yes,
I'd prefer the faster option every time! But I also like to
think that I'll find other, and perhaps more meaningful
"profile attributes" which have nothing to do with the
old distributions! That's why I've been looking for a
generic solution
The R package looks intriging too. But I still have to
learn how AB works in it's basic mode before I
unduly complicate my life with other packages etc...
The following construct works - but it is very, very
slow.....
function myMedian( array, i )
{
x = array[i];
return x;
}
mp2 = 1;
for( i = 1; i < BarCount; i++ )
{
mp2[ i ] = myMedian(Median(C,i),i);
}
Thanks for your help once again!
Robert Z
________________________________
From: brian_z111 <[email protected]>
To: [email protected]
Sent: Friday, 5 June, 2009 5:00:41 PM
Subject: [amibroker] Re: Newbie Array / Looping Question
<snip>Median( ) wants a number as its second argument. (The manual is
clear!)<snip>
To help me understand next time ... how did you decide that Median)array,
period) wants a number from what is written in the manual?
MA(array,periods) ; accepts an array and the only differential in the manual is
plurality of the periods (do you think Tomasz intended the plurality to be
significant? )
MA(C,Cum(1)) ;//this is OK?
<snip> When are the "for" loops executed in the block of code? Knowing some
more about the AFL execution order might be helpful.<snip>
Sorry, don't know anything about execution.
Recently Siddhartha said that learning the AFL execution was the best thing we
can ever do ... I don't know where to find it though.
You are not keen on my suggestion that calcs for the moments are arithmetic and
so should fly in AFL without looping?
I am a lay programmer but my instinct is to start there - looping will slow you
down in RT indicators?? ?
Plan C - use the RMath Plugin ... advanced stats available there.
--- In amibro...@yahoogrou ps.com, i cs <ics4...@... > wrote:
>
> 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_z111@ ...>
> To: amibro...@yahoogrou ps.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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