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                                                   SUM for the past X days with intraday time series

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umair
2013-03-10 21:40:30


a = Crossindicator(close);
b = hour() == 16;
c = iff(b==1,a,0);
d = sum(c,ref(day(),9));


Plot(d, "Crossindicator", colorBlack, chartLine, StyleSymbolNone);

hi i'm working with intraday data and i'm trying to get my values for "c" summed for the past X amount of days.

d= sum(c, for the past 9 days);

Any idea why my formula is not working>>

THX



umair
2013-03-10 21:45:23

  0

No solutions for this either;

a = Crossindicator(close);
b = hour() == 16;
c = iff(b==1,a,0);
d = sum(c,barssince(day() != ref(day(), 2)));


Plot(d, "Crossindicator", colorBlack, chartLine, StyleSymbolNone);



QuantShare
2013-03-11 09:42:46

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The calculation of "c" is based on intraday data. Would you like to sum all past "c" values for the last X days (based on intraday data)?


umair
2013-03-11 17:01:25

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Yes, the calculation for C is based on intraday data. My crossindicator counts how many a cross occured throughout the day. So by matching it with "B" gives me the last value for crossindicator (i.e the max value).

So to answer your second question, yes, I would like to sum up the value at 1600 for cross indicator for the past X days. "X days" should be dynamic in a sense that If X = 2, it sums up C for the past two days. I understand that I can use sum(c,300) but that only sums up X for the past 300 days. There should be a way that I can create a logic that dynamically changes the number of days I am looking at.

For example:

day1 C = 2
day2 C= 4
day3 C =5

so, sum(c,for the past 3 DAYS rather than bars)= 11




QuantShare
2013-03-11 22:44:54

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You are using intraday data, so using "sum(c, 300)" will sums up the past 300 bars (not days). If you are using hourly data, you can multiply the number of bars per the number of hours in a trading day to get the number of days.

If you need dynamic past values then use the "sumif" function instead. Unlike "sum", this one accepts dynamic values.




umair
2013-03-12 04:11:15

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"You are using intraday data, so using "sum(c, 300)" will sums up the past 300 bars (not days)." // yea i know......

I dont know what you mean by ''dynamic.'' That word can have several meanings but the context in which it's used can be important. So please refer back to my previous replies to understand the context I'm using that word in.

Back to the screener: Here's what I've came up with. It's the closest I have been to the solution that I am looking for but there is something still wrong as the system does not differentiate between different days

a = Crossindicator(close);
b = hour() == 16;
e = iff(b==1,a,0);
days = 2;
bars = 391*days;
d = sum(e,bars);

So the above should sum up 391*2 (the number of bars in two days) the values of E

the values of E for the past two days are:

day0 =17
day1= 5
day2= 10

So the solution should be 15 (sum of the past TWO DAYS)

The results given by the above are:
day0 =0
day1=0
day2=27 But then toward the end of the 2nd day the value changes to 30


Any idea why? I would appreciate if you can give me a solution (logic) this time, it seems i'm spending way too much time on this as it should be a simple logic to program!



umair
2013-03-12 06:24:07

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Ok, another thing i just noticed is that if i run the above filter as a screener and add a column for D it actually gives me the correct results! sum for past 2 days is 15 and sum for past 3 days is 32. So i'm not sure why when I PLOT this on a graph i'm getting different results.


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