Re: [amibroker] Re: Confusion with an array referencing itself.

Fri, 23 Apr 2010 11:07:21 -0700 

TJ --
Thank you for Explicitly saying, "There is NO difference what is on the left side . It does not matter if expression includes same variable as on right side. The entire (right-side) expression is FIRST EVALUATED COMPLETELY (all bars at once) and AFTER that resulting ARRAY is assigned." 


I have read the link many many times, and in fact have recommended that 
others read it over and over again.  Though it may have not been your 
intention, my reading of it led me to believe that the purpose, and 
therefore the implementation, of a *temporary* array was for speed, and 
speed alone.



If instead of MyV = (H+L)/2, the example had been MyV = H/2 or MyV = 
Ref(H, -1), or MyV = Ref(otherarray, -1), does AB still create a 
temporary array prior to assigning the results to MyV?  One might 
assume, for speed sake, that no temporary array would be created for H/2 
or Ref(H, -1).  Though it might be necessary for Ref(otherarray, -1), 
depending on otherarray.



Sorry if I sound a bit like my three year old grandson, who keeps asking 
'why' over and over again.  But that is how some us, regardless of age, 
learn.


Thank you.
-- Keith

On 4/23/2010 13:07, Tomasz Janeczko wrote:


Correction:
"entire (left-side) expression"
should read
"entire (right-side) expression".

On 2010-04-23 19:05, Tomasz Janeczko wrote:


Hello,


There is NO difference what is on the left side . It does not matter 
if expression includes same variable as on right side.
The entire (left-side) expression is FIRST EVALUATED COMPLETELY (all 
bars at once) and AFTER that resulting ARRAY is assigned.


If you read
http://www.amibroker.com/guide/h_understandafl.html

carefully enough you would notice this part:

Processing arrays - why is AFL so fast?

Lets see how the following statement is processed:

MyVariable = ( High + Low )/2;


When AFL is evaluating statement like this ( High + Low )/2 it does 
not need to re-interpret this code for each bar. *Instead it takes 
the High ARRAY and Low ARRAY and adds corresponding array elements in 
single stage. In other words + operator (and other operators too) 
work on arrays at once and it is executed at full compiled-code 
speed, then the resulting array (each element of it) is divided by 2 
also in single stage.*



Let's look into the details - see fig 2.. When AFL engine looks at 
the ( High + Low )/2 it first takes High (1) and Low (2) arrays and 
*produces (in single compiled step) the temporary array (3).* Then it 
creates the final array (4) by dividing each element of temporary 
array by two. This result is assigned to myVariable    Bar


(see Fig. 2 in the http://www.amibroker.com/guide/h_understandafl.html )

Best regards,
Tomasz Janeczko
amibroker.com

On 2010-04-23 18:57, Keith McCombs wrote:

Mike --
Yes, temporary arrays are discussed on the link you referred to.


However, the link does not explicitly discuss the situation where 
the the same array is on both left and right side of an equation, as 
in Buy = Ref(Buy, -1).  It does implicitly discuss it with the 
AMA(Close, Factor) example, which does not show a temporary holding 
array for the AMA value and evaluates the AMA by moving _forward_ in 
time.  The link also implies that the _reason_ for using a temporary 
array in calculating MyV = (H+L)/2 is speed, without reference to 
any other _reason_.  IMHO, the link falls quite short of explaining 
when and when not a temporary array is used.



I will agree that forward looking can be a dangerous practice.  
However that does not necessarily mean that it is mathematically 
incorrect.  Sword swallowing is also dangerous, unless you are very 
careful, and not prone to hiccups.



I must admit that I was unaware either bounds on BuyPrice, etc., or 
of the function "SetOption("PriceBoundChecking", false).  And in 
fact I must now go back over and check much of my old code where I 
have used statements such as "SellPrice = somevalue - slippage;".


As always, thank you for your knowledgeable replies.
-- Keith


On 4/23/2010 02:19, Mike wrote:


Keith,


Yes, the construction of temporary arrays is discussed, with 
detailed examples, in the following help page:



http://www.amibroker.com/guide/h_understandafl.html 
<http://www.amibroker.com/guide/h_understandafl.html>



As for SellPrice = Ref(O, 1); It is not so much a problem of the 
value being out of range. But rather, that you would be forward 
looking (i.e. referring today to tomorrow's open).



The out of range behavior can be disabled via 
SetOption("PriceBoundChecking", false); But, again, it is the 
forward looking that is the bigger problem.



It is true that AFL can, at times, be difficult. It may sound 
trite. But, with power comes complexity. It's a price I've been 
happy to pay.



I find that repetition is the best way to stay fluent in any coding 
language. To that end, I try to constantly challenge my assumptions 
and work on many different problems until it becomes 2nd nature. 
Trying to work out answers to other people's questions is the best 
way that I've found to do that; I'm constantly referring to help, 
documentation, code samples and other people's posts. All in an 
attempt to validate anything I write, so as not to lead anyone astray.


Mike


--- In amibroker@yahoogroups.com 
<mailto:amibroker%40yahoogroups.com>, Keith McCombs <kmcco...@...> 
wrote:

>
> Mike --
> I didn't know that,
> "Buy = Ref( Buy, -1 ) is not ambiguous.

> It will behave exactly has you have proposed in your workaround 
(i.e.
> will internally create a temporary array holding Ref(Buy, -1) 
which will

> then be assigned to Buy)."
>
> Is that explained somewhere in the User's guide or Help?
>
> BTW, I didn't really know "SellPrice = Ref(O, 1);" was wrong until I
> found out why in the User's Manual, page 141 (after about an hour of
> looking):

> "During back-testing AmiBroker will check if the values you 
assigned to
> buyprice, sellprice, shortprice, coverprice fit into high-low 
range of

> given bar. If not, AmiBroker will adjust it to high price (if price
> array value is higher than high) or to the low price (if price array
> value is lower than low)"
>
> It's these kind of things that make AB harder than it should be.
> -- Keith
>
> On 4/22/2010 22:13, Mike wrote:
> >
> > Keith,
> >
> > Buy = Ref( Buy, -1 ) is not ambiguous.
> >

> > It will behave exactly has you have proposed in your workaround 
(i.e.
> > will internally create a temporary array holding Ref(Buy, -1) 
which

> > will then be assigned to Buy).
> >

> > It does, however, require that Buy has already been initialized 
before

> > this statement.
> >
> > Mike
> >

> > --- In amibroker@yahoogroups.com 
<mailto:amibroker%40yahoogroups.com> 
<mailto:amibroker%40yahoogroups.com>,

> > Keith McCombs <kmccombs@> wrote:
> > >

> > > I gave this thread a new name because TJ's response brought 
up a much

> > > more general concern, for me, than the original title expressed.
> > >
> > > I thought that statements such as "Buy = ref( Buy, -1 );" were
> > ambiguous

> > > and therefore should not be used. The reason being that if 
the array
> > > valuation moves forward in time (Buy[n] evaluated before 
Buy[n+1]) then
> > > all Buys will be equal to Buy[0]. However if valuation moves 
backward
> > > (Buy[n+1] before Buy[n]) then a much different result is 
produced.

> > >
> > > Therefore, one should instead use something like this:
> > > temp = ref(Buy, -1);
> > > Buy = temp;
> > >
> > > Hopefully someone will clear up my confusion.
> > > Thank you.
> > > -- Keith
> > >
> > > On 4/20/2010 19:10, Tomasz Janeczko wrote:
> > > >
> > > > Hello,
> > > >
> > > > >SellPrice = Ref(O, 1);
> > > >
> > > > Wrong advice.
> > > > Once again: NEVER move trading prices using ref().
> > > >
> > > > Instead delays SIGNALS
> > > > Buy = ref( Buy, -1 );
> > > > Sell = ref( Sell, -1 );
> > > >
> > > > Best regards,
> > > > Tomasz Janeczko
> > > > amibroker.com
> > > >
> > > > On 2010-04-21 00:54, hiscores wrote:
> > > > > There are numerous ways to do this, but here is a simple one
> > > > >
> > > > > Buy = C> MA(C, 20);
> > > > > BuyPrice = C;
> > > > >
> > > > > StopLoss = C< MA(C, 50);
> > > > > ProfitTarget = C> MA(C, 10);
> > > > >
> > > > > Sell = StopLoss OR ProfitTarget;
> > > > > // If we exit due to stop loss take the 50 MA otherwise
> > > > > // by process of elimination we exit at target 10 MA
> > > > > SellPrice = iif(StopLoss, MA(C, 50), MA(C, 10));
> > > > >

> > > > > This is here so you can learn how to code such rules, but 
I should
> > > > point out that your strategy is unrealistic! You are making 
a rule
> > > > where if at the END of a bar we are below an MA we should 
sell at a

> > > > price ABOVE the close (ie the MA price that price action is now

> > > > below). Furthermore the MA will not settle to its final 
value until
> > > > the bar is finished (since the MA is calculated on closing 
prices).
> > > > You should probably set your sell prices to the open of the 
next bar

> > > > >
> > > > > SellPrice = Ref(O, 1);
> > > > >
> > > > > -hi
> > > > >

> > > > > --- In amibroker@yahoogroups.com 
<mailto:amibroker%40yahoogroups.com>

> > <mailto:amibroker%40yahoogroups.com>
> > > > <mailto:amibroker%40yahoogroups.com>,
> > > > "dralexchambers"<dralexchambers@> wrote:
> > > > >
> > > > >> Hi,
> > > > >>

> > > > >> How would I put together a backtest for the following. 
My Buy

> > > > signal is:
> > > > >>
> > > > >> Buy = C>MA(C,20);
> > > > >>
> > > > >> How do I do a multiple sell signal for the following:
> > > > >>
> > > > >> StopLoss is hit is when C< MA(C,50) Stoploss price is MA50.
> > > > TakeProfit is when C> MA(C,10), and TP price is MA10.
> > > > >>

> > > > >> I can only see one Sell& Sellprice variable. How do I 
put both of

> > > > these conditions into Sell& Sellprice?
> > > > >>
> > > > >> Thanks,
> > > > >> Alex
> > > > >>
> > > > >>
> > > > >
> > > > >
> > > > >
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