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please help, old octave scripts not working part2
From: |
charles sugihara |
Subject: |
please help, old octave scripts not working part2 |
Date: |
Tue, 7 Dec 2004 22:05:37 -0800 |
wow! you guys are really nice and responsive, here are the scripts and
a short description, i am happy to go into detail but will try and keep
it as brief as possible here, i am hoping you will see a basic syntax
error and not have to be too bothered with the actual program...
the input is modified for this example but the "block" is actually
close to 6000 lines each with over 300 columns, for this test i made it
1657 lines by 3 columns. there are 2 subsets within the 1657 lines
("ff" and "gg") denoted by "real_ranges.m" and for both sets the first
column is a date value, the second is a return and the third is a buy,
sell or no action (1, -1, 0 respectively).
the two scripts are "make_10_percs.m" and "do_x_day_perc.m", the
purpose is to make a 10 day sliding window (incremented by 1) of
percentage correct based on columns 2 and 3 of "small.block", the
output is a single column of percentage values in decimal form.
------------------------------------------------------------------------
--------------------------------------------
here is what i have got out of octave so far...
octave:1> load small.block
octave:2> global blk
octave:3> make_10_percs
error: invalid row index = 1
error: invalid column index = 3
error: evaluating binary operator `!=' near line 11, column 35
error: if: error evaluating conditional expression
error: evaluating if command near line 11, column 5
error: evaluating for command near line 10, column 3
error: called from `do_x_day_perc' in file
`/Users/sugi/work/PERC/test.percs/do_x_day_perc.m'
error: near line 11 of file
`/Users/sugi/work/PERC/test.percs/make_10_percs.m'
octave:3>
------------------------------------------------------------------------
--------------------------------------
here is a sample of "small.block"
19850819 0.46875 0
19850820 0.28125 0
19850821 0.34375 -1
19850822 -0.15625 -1
19850823 -0.1875 1
19850826 -0.15625 1
19850827 0.625 0
19850828 -0.375 0
19850829 -0.1875 0
19850830 -1.03125 0
19850903 0.53125 0
19850904 0 -1
19850905 -0.59375 0
19850906 -0.625 0
19850909 0.0625 1
19850910 -0.15625 -1
19850911 -0.03125 1
19850912 -0.125 0
------------------------------------------------------------------------
--------------------------
here is "make_10_percs.m"
# load up the real ranges.
real_ranges;
ten_day_percs = zeros(max(size(blk)), 1);
# 2 and 3 are the return, and buysell columns of the block
count = 1;
[percs, ranges] = do_x_day_perc(ff, 10, 3, 2);
ten_day_percs(us) = percs;
lib(count, 1) = ranges(1);
lib(count, 2) = ranges(2);
count++;
[percs, ranges] = do_x_day_perc(gg, 10, 3, 2);
ten_day_percs(ty) = percs;
lib(count, 1) = ranges(1);
lib(count, 2) = ranges(2);
count++;
------------------------------------------------------------------------
------
here is "real_ranges.m"
(note: i realize there is a 1 line gap between libraries, and an extra
line at the end)
ff=[1:1032];
gg=[1034:1656];
------------------------------------------------------------------------
-------
here is do_x_day_perc.m"
function [retval,newrange] = do_x_day_perc(inst, x, buysell_col,
ret_col)
global blk;
retval = zeros(max(size(inst)),1);
window = zeros(x,1);
num_in_window = 0;
firstindex = 0;
for i = 1:max(size(inst))
if (blk(inst(i), buysell_col) != 0)
window(++num_in_window) = inst(i);
if (num_in_window == x)
if (firstindex == 0)
firstindex = inst(i);
endif
# calculate a perc and store it in retval
returns = blk(window, buysell_col) .* blk(window, ret_col);
wins = max(size(find(returns>0)));
losses = max(size(find(returns < 0)));
if ((wins + losses) != 0)
retval(i) = wins/(wins+losses);
else
retval(i) = 0;
end
window(1:(x-1)) = window(2:x);
num_in_window--;
endif
else
if (i > 1)
retval(i) = retval(i-1);
endif
endif
endfor
newrange=[firstindex, inst(max(size(inst)))];
endfunction
------------------------------------------------------------------------
----------------------------------
thank you again, i am extremely grateful for any input into getting
this to work again.
-max
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-------------------------------------------------------------
- please help, old octave scripts not working part2,
charles sugihara <=