From help-request at octave dot org Wed Dec  8 00:14:21 2004
Subject: please help, old octave scripts not working part2
From: charles sugihara <max at qadvisors dot com>
To: help at octave dot org
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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