No problem. Tell me how it works out for you. On Wed, Aug 5, 2009 at 3:12 AM, MKoistinen <[email protected]> wrote:
> > I was at first concerned about using such 'heavy' structures as a > LinkedList, but as the size of the window gets larger, this is far > superior -- thanks, Shaggs. > > On Aug 5, 2:59 am, ShaggsTheStud <[email protected]> wrote: > > Now you are starting to talk about what I write every day for work. > > > > First thing that comes to mind for a sliding window is to use a linked > > list. Add to the end, remove from the begging. > > > > For running sums, you do something like this (very rough pseudocode): > > > > LinkedList Xs; > > LinkedLIst Ys; > > > > void calculate(newX, newY) > > { > > Xs.addLast(newX); > > Ys.addLast(newY); > > > > oldX = Xs.getFirst(); > > oldY = Ys.getFirst(); > > Xs.removeFirst(); > > Ys.removeFirst(); > > > > Xsum -= oldX; > > Ysum -= oldY; > > XXsum -= oldX * oldX; > > XYsum -= oldX * oldY; > > > > Xsum += newX; > > Ysum += newY; > > XXsum += newX * newX; > > XYsum += newX * newY; > > > > } > > > > Now you don't waste so much time summing squares, etc. > > > > Another bit of advice: for large amounts of accumulation, integer values > may > > be more predictable, as they don't accumulate weird bits of noise from > > floating point errors. I have not verified this actually happens in the > > real world. > > > > And another option is to store less data and create "weighted average > bars", > > covering longer amounts of time. > > > > On Tue, Aug 4, 2009 at 8:22 AM, nonlinear5 <[email protected]> > wrote: > > > > > I have a new indicator, called DepthPriceCorrelation. It's not in the > > > release yet, but it's in SVN > > > > >http://code.google.com/p/jbooktrader/source/browse/trunk/source/com/j. > .. > > > > > The indicator is based on the idea that current price can be > > > considered "fair" when the correlation between market depth balances > > > and market prices is positive. This positive correlation occurs when: > > > > > -- high depth balances are accompanied by higher prices > > > or > > > -- low depth balances are accompanied by lower prices > > > > > When the correlation is negative, the prices are moving in the > > > direction opposite from the direction of depth balances, and I call it > > > a "high tension" condition. This is when my strategy gets into a > > > position on the bet that the tension will ease and the correlation > > > will return to its "normal" positive value. Here is an example of such > > > a strategy: > > > > >http://code.google.com/p/jbooktrader/source/browse/trunk/source/com/j. > .. > > > > > Now, to calculate the correlation, the indicator simply updates the > > > running sums for prices and balances, and then uses a standard > > > correlation coefficient formula to come up with the result. This is > > > very efficient, and it works well. The problem is, sometime in the > > > second half of the trading session, the indicator becomes too "stale", > > > because it uses all the data accumulated so far during the trading > > > session. So, at say, 2pm, the indicator would represent the > > > correlation between balances and prices based on all the data from > > > 9:30am to 2pm, while my strategy is looking for a shorter term > > > correlation, such as the last 2 hours. It's certainly possible to > > > recalculate the indicator based on this 2-hour moving window, but it > > > would be very computationally expensive, since every time, I would > > > need to loop through the last two hours of values, instead of simply > > > updating the running sums. > > > > > So, here is the question for the algorithmically inclined. How do I > > > *efficiently* calculate the correlation between X and Y in a moving > > > time window? > > > --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
