There still remains the sticky problem of finding the highest high
value of the AIQ volatility indicator. I can do it for just a few
days, but the scan becomes too slow (and far too tangled) if I
increase the number of days. Each value in the loop has to be compared
to the previous value, and to the values before that, to get a maximum
high. I hope someone else can come up with a solution. I've tried a
lot of approaches, and learned some interesting things about loops in
the process. In fact, the whole endeavor has driven me loopy.
Here's the scan again, without any highest values:
//AIQ Volatility Indicator,
//translated by Brooke
//from Jan Robert Wolensky's Metastock version
//with Square Root and Log formulas by Jeff Grover, Bob Jagow
//100*(Sqrt(12.5*
//(Sum((Log(C/Ref(C,-1))*Log(C/Ref(C,-1))),21)-
//((Sum(Log(C/Ref(C,-1)),21)*Sum(Log(C/Ref(C,-1)),21)))/21)))
//100*(Sqrt(12.5*
//(Sum((Log(C/Ref(C,-1))*Log(C/Ref(C,-1))),21)-
//((Sum(Log(C/Ref(C,-1)),21)*Sum(Log(C/Ref(C,-1)),21)))/21)))
//AIQ Volatility Indicator, translated for QP2 by Brooke
input="volvol.lst";
output="volatility.lst";
daystoload=500;
float x,xx,n,n3,n5,n7,n9,n11,n13,n15,lnx,sumlnx,sumlnxlnx,
sumlnxsumlnx,formula1,in,out,fx,xxx,period,formula2;
integer i,j,k;
period:=21;
for k= 0 to 10 do
sumlnx:=0;
sumlnxlnx:=0;
for i=-(period-1) to 0 step 1 do
//Jeff Grover's log formula
//for k= 0 to 1 do
x:=close(i-k)/close((i-1)-k);
if x >= 100000 then xx := x /100000; else
if x >= 10000 then xx := x / 10000; else
if x >= 1000 then xx := x / 1000; else
if x >= 100 then xx := x / 100; else
if x >= 10 then xx := x / 10; else
xx := x; endif; endif; endif; endif; endif;
n :=(xx-1)/(xx+1); n3 :=n*n*n; n5 :=n3*n*n;
n7 :=n5*n*n; n9 :=n7*n*n; n11 :=n9*n*n;
n13 :=n11*n*n; n15 :=n13*n*n;
lnx := 2*(n+n3/3+n5/5+n7/7+n9/9+n11/11+n13/13+n15/15);
if x >= 100000 then lnx := lnx + 11.51293; else
if x >= 10000 then lnx := lnx + 9.21034; else
if x >= 1000 then lnx := lnx + 6.90776; else
if x >= 100 then lnx := lnx + 4.60517; else
if x >= 10 then lnx := lnx + 2.30258;
endif; endif; endif; endif; endif;
//next k;
sumlnx:= sumlnx+lnx;
sumlnxlnx:=sumlnxlnx+(lnx*lnx);
next i;
sumlnxsumlnx:=sumlnx*sumlnx;
formula1:=12.5*(sumlnxlnx-(sumlnxsumlnx/period));
//Square root formula by Jeff Grover, Bob Jagow
in := formula1;
xxx := 1.0;
fx := 1.0;
for j = 0 to 9 step 1 do
xxx := xxx - fx/(2*xxx);
fx := xxx*xxx - in;
next j;
out := xxx;
println symbol:-5, " ", date(-k), " ", "AIQ Volatility Indicator: ", " ", 100*out:6:2;
next k; |
