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Hunting for faster EL code . To: Omega-list@xxxxxxxxxx . Subject: Hunting for faster EL code . From: Orphelin@xxxxxxx . Date: Fri, 28 Aug 1998 11:33:36 EDT . Resent-Date: Fri, 28 Aug 1998 08:36:24 -0700 . Resent-From: omega-list@xxxxxxxxxx . Resent-Message-ID: <"DLzAz3.0.-c7.uvivr"@mx1> . Resent-Sender: omega-list-request@xxxxxxxxxx {[Was: Re: Message pops up say can't divide by zero.} Dans un courrier daté du 28/08/98 04:22:10 , vous avez écrit : << Robert, This indicator was written by me about a year ago for an article in Futures that discussed the Bollinger bands indicator (Nov. -97). It normalizes the price to fluctuate around zero, with the upper Bollingerband set to 100 and the lower band to -100, for easier interpretation. Alternative (and much better) code: Type : Function, Name: $Lowerband Input: Price(NumericSeries), Length(NumericSimple), SDev(NumericSimple); $Lowerband = Average(Price, Length) - StdDev(Price, Length) * SDev Type : Function, Name: $Upperband Input: Price(NumericSeries), Length(NumericSimple), SDev(NumericSimple); $Upperband = Average(Price, Length) + StdDev(Price, Length) * SDev Type : Indicator, Name: $%B Input: Price(C), Length(18), SDev(2); Vars: Upper(0), Lower(0), Where(0); Upper = 100 * (Price - $Lowerband(Price, Length, SDev)); Lower = $Upperband(Price, Length, SDev) - $Lowerband(Price, Length, SDev); If Lower <> 0 Then Where = ((Upper / Lower) - 50) * 2; Plot1(Where, "Where"); Plot2(100,"Upper"); Plot3(-100,"Lower"); Thomas Stridsman Futures magazine So, this is interesting. First, the B% oscillator is a very appealing one that I sometimes use (filtered) as an input to some AI program that I do not want to shameless fuzzy self promote here. Thomas Stridsman's B% implementation above is correct, and the -100 +100 rescaling produces a better reading because recentering around 0. In this sense, it behaves like Lambert's CCI, rather than Wilder's RSI. The point that I want to highlight here is the obvious need to learn to simplify the code, in a general manner, and not only this ne that I take as an example. I could have done this one many others posted here, but this one covers interesting simplification possibilities. Suppose that you want to use %B in a system and run te TS optimiser, the fastest code will produce the fastest optimisation. For sake of clarity , I'll code the indicator above with the original TS functions: STEP 0: Type : Indicator, Name: $%B II Input: Price(C), Length(18), SDev(2); Vars: Upper(0), Lower(0), Where(0); Upper = 100 * (Price -BollingerBand(Price, Length, -SDev)); Lower =BollingerBand(Price, Length, SDev) -BollingerBand(Price, Length,-SDev); If Lower <> 0 Then Where = ((Upper / Lower) -50) * 2; Plot1(Where, "Where"); Plot2(100,"Upper"); Plot3(-100,"Lower"); plot4(value0,"BB1"); The only difference is that we use the same TS function for Bollinger bands, but it do not simplify yet anything. Inputs: Price(NumericSeries), Length(NumericSimple), SDev(NumericSimple) ; BollingerBand = Average(Price,Length) + (SDev * StdDev(Price,Length)) ; STEP 1: A close examination of $B% shows that we use this BollingerBand function three times. So we call three times the same code that also contains the same sub EL user functions: -StdDev -Average. (Used also three time in the BollingerBand code and a fourth in the $B% code for the average). STEP 2 : Simplifying for the StdDev multiple case: This is why I had said that understanding ALL of the EL functions is so important. BBands are calculated from an average with STddev added or substracted from the average (using a coefficient, usually 2). So, calling a code with several BBands to produce a single result can be simplified: I'll put this directly to an user fuction BB1 that you will be able to call. This do not simplify by itself, but the code of the UF is now simplified, and you will see later why I use an user function (BB1, below). input: price(numericseries), length(numeric), coeff(numeric); value1=average(price,length); {<========= light bulb must flash here} value2=stddev(price,length); {<========= light bulb must flash here} value3=value1-coeff*value2; if value2<>0 then begin BB1=100*(price-value3)/(coeff*value2)-100; end; Type : Indicator, Name: BB1 input: price(c), length(14), coeff(2); vars: BB1(0); value1=average(price,length); {<========= light bulb must flash here} value2=stddev(price,length); {<========= light bulb must flash here} value3=value1-coeff*value2; if value2<>0 then begin BB1=100*(price-value3)/(coeff*value2)-100; end; If you call BB1 from an indicator, it will produce the same result than the $B% original indicator code. But it uses only : One StdDev instance instead of 3, so it will run faster STEP 3 There is better to do. Knowing and understandind all the functions is important,and the glaring proof is below. We just spare 2 StdDev function in step2. We could have been to evaluate this improvement by knowing was was StdDev doing. So, let's open the StdDev code: ================================================== inputs : Price(NumericSeries),Length(NumericSimple); vars : SumSqr(0),Avg(0),Counter(0); if Length <> 0 then begin Avg = Average(Price,Length); {<========= light bulb must flash here} SumSqr = 0; for counter = 0 to Length - 1 begin SumSqr = SumSqr + (Price[counter]-Avg) * (Price[counter]-Avg); end; StdDev = SquareRoot(SumSqr / Length); end else StdDev = 0; ================================================== What could we see here ? Surprise: we use the same average calculation than in the original code (already calculated). We need to modify the User function to make it run faster, by avoiding the twin average calculation: First, we will use the StdDev code directly in the user function, then apply it to BB1 (becomes BB2) Then perform some basic maths to get the simplest way to calculate BB2 (below). Et voilà. input: price(numericseries), length(numeric), coeff(numeric); vars: SumSqr(0), Avg(0), Counter(0), xstddev(0); if Length <> 0 then begin Avg = Average(Price,Length); SumSqr = 0; for counter = 0 to Length - 1 begin SumSqr = SumSqr + (Price[counter]-Avg) * (Price[counter]-Avg); end; xStdDev = SquareRoot(SumSqr / Length); end else xStdDev = 0; if XstdDev<>0 then begin BB2=100*(price-Avg+coeff*xStdDev)/(coeff*xStdDev)-100; end; Type : Indicator, Name: BB II input: price(c), length(14), coeff(2); vars: SumSqr(0), Avg(0), Counter(0), BB2(0), xstddev(0); if Length <> 0 then begin Avg = Average(Price,Length); SumSqr = 0; for counter = 0 to Length - 1 begin SumSqr = SumSqr + (Price[counter]-Avg) * (Price[counter]-Avg); end; xStdDev = SquareRoot(SumSqr / Length); end else xStdDev = 0; if XstdDev<>0 then begin BB2=100*(price-Avg+coeff*xStdDev)/(coeff*xStdDev)-100; end; BB2 calls now only one average instead of 2 and distracts it to its profit from the Stddev code. This one will run now faster than BB1. STEP 4:Conclusion. No need to be a genius to understand this. It's only knowkledge and knowing what we do when coding. TS is a good program that can be enhanced, but the user can also enhance it with some homework. In fact, I have made unnecessary steps to me. My first tought would to remove the average from the redundant hidden Stddev directly because I already knew that this function used the same Average function than the one used for the center of Bollinger band. So, I would have directly jumped to step3. I explained the steps in detail for those who are not familiar with the concept. If solving this king of problem is of interest to you, you can subscribe to TS Express that posts a similar problem to the readers in almost every issue. The complete collection is a gold mine for people wanting to shorten their EL code,and an excellent exercise to try to solve the problem posted (you cannot better learn than by suffering during the search phase). I also propose a yearly and expensive unlimited EL support addressing any kind of question regarding to TradeStation programming. More details on my (well known as) self promoted web site. (If someone do not know it, please drop an E-Mail to: http://www.sirtrade.com, and I'll give you back the URL of my web site). Link to TS Express is also available there. Sincerely, -Pierre Orphelin [9767] Code:
 all formulas for TradeStationall formulas
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| However we try to maintain hiqhest possible level of service - most formulas, oscillators, indicators and systems are submitted by anonymous users. Therefore S4T™ does not take any responsibility for it's quality. If you use any of this information, use it at your own risk. You are responsible for your own trading decisions. Be sure to verify that any information you see on these pages is correct, and is applicable to your particular trade. In no case will S4T™ be responsible for your trading gains or losses. |
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