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Frecuency Distribution Returns for Amibroker (AFL)
Gsant
almost 6 years ago
Amibroker (AFL)

Rating:
3 / 5 (Votes 6)
Tags:
amibroker

Display Frecuency Distribution Returns Chart of selected ticker with
some statistical information.

Screenshots

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Indicator / Formula

Copy & Paste Friendly
_SECTION_BEGIN("Frecuency Distribution Returns");
//Plot histogram of the number of bars which fall between percentiles between 2 data points 

// Porcentaje de cada barra y periodos a sumar.
binpercent=Param("Numero de Barras",15,5,20,1); timeperiod=Param("period for observation",200,50,2000,50); 
ColorBar=ParamColor("Color barras",colorAqua); ColorText=ParamColor("Color Texto",colorWhite);

// Escalares con la suma de apariciones
frequency=0; f=0;

//Recupera en un array los retornos diarios

percent=Nz(100*(log(C/Ref(C,-1))));
//percent=Nz(100*((L-Ref(C,-1))/Ref(C,-1))); //Diferencia porcentual entre el minimo y el cierre anterior

// numero de barras dividiendo el 100% entre el % de cada barra mas 1
numbins=binpercent+1;
//Obtiene la maxima y minima ganancia en el periodo
yMax=SelectedValue(HHV(percent,timeperiod))+0.01;
yMin=SelectedValue(LLV(percent,timeperiod))-0.01;
//Obtiene el rango del minimo valor al maximo valor
yRange=yMax-yMin;
//divide el mismo entre el numero de barras de la grafica y asigna entonces el ancho de cada barra.
BinSize=yRange/(numbins-1);

// primer loop de 1 al numero de barras
for(i=0;i<=numbins;i++)
//el array f se carga inversamente con el valor de las escalares minimo +el tamoƱo de la barra por el numero de la barra
//esto para configurar los limites de cada barra
{	f[BarCount-i-1]=SelectedValue(ymin+binsize*i);
} 


//Segundo Loop este va a cargar la suma de las frecuencias
//Genera el loop uno por cada barra
for(i=1;i<=numbins;i++)
{	frequency[BarCount-numbins+(i-1)]=SelectedValue(Sum(((percent>=f[BarCount-i])AND
(percent<=f[BarCount-(i+1)])),timeperiod));
}

//Tercer Loop genera el string con los nombres del ejes de las x.
XaxisNames = "";
for( y = 1; y < numbins; y++ )
{   
	XaxisNames = XaxisNames + " | " +StrFormat("%.2f", f[BarCount-y])+"," + StrFormat("%.2f", f[BarCount-y]) ;
}
_N(XaxisNames = XaxisNames + " | " +StrFormat("%.2f", f[BarCount-numbins])) ;


/////////////////////////////////////////////////
// Drawing code & helper functions
////////////////////////////////////////////////

GfxSetOverlayMode( 0 );
GfxSelectFont( "Tahoma", 12 ); 
GfxSetTextColor(colortext);
GfxSetBkMode( 1 );

YOffset = 25;
XOffset = 15;

// ========================================= FUNCIONES =================================================
// Pinta las barras ARG ( texto del eje x, barra a pintar,
function DrawBar( text, bar, numbars, y, Miny, Maxy )
{
 BarWidth = (Status("pxwidth") - 4 * XOffset )/( numbars + 1 ); 
 BarHeight = Status("pxheight") - 2 * YOffset;
 relpos = ( y - Miny ) / (Maxy - Miny );

 xp = XOffset + ( bar + 0.5 ) * BarWidth;
 yp = YOffset + BarHeight * ( 1 - relpos );
 xe = XOffset + ( bar + 1 ) * BarWidth;
 ye = YOffset + BarHeight * ( 1 - ( -miny )/( maxy - miny ) );
  
 if( y > 0 )
 	{
 	GfxGradientRect( xp, yp, xe , ye, colorBar, colorBar ); 
 	}
 else
 	{
 	GfxGradientRect( xp, ye, xe , yp, ColorHSB( 0, 20, 255 ), ColorHSB( 0, 255 * ( 1 - relpos ), 255 ) ); 
 	}
 GfxSelectFont( "Tahoma", 8 ); 
 GfxTextOut( text, xp, ye );// valores eje x
 GfxSelectFont( "Tahoma", 12 ); 
 GfxTextOut( StrFormat("%.0f", y ), xp+10, yp-20 ); // valor de la barra
}    

// Pinta el grid y los niveles
function DrawLevels( Miny, Maxy )
{
  range = Maxy - Miny;

  grid = 100;
  if( range < 10 ) grid = 1;
  else 
  if( range < 20 ) grid = 2;
  else 
  if( range < 50 ) grid = 5;
  else 
  if( range < 100 ) grid = 10;
  else 
  if( range < 200 ) grid = 20;
  else 
  if( range < 500 ) grid = 50;

  width = Status("pxwidth") - 4 * XOffset;
  height = Status("pxheight") - 2 * YOffset;

  GfxSelectPen( colorBlack, 1, 2 );
  for( y = grid * ceil( Miny / grid ); y <= grid * floor( Maxy / grid ); y += grid )
  {
    yp =  YOffset + Height * ( 1 -  ( y - Miny ) / (Maxy - Miny ) );
    GfxMoveTo( XOffset, yp );
    GfxLineTo( XOffset + width , yp );
    GfxTextOut( ""+ y, XOffset + 2 + width, yp );
  }

  GfxSelectPen( colorBlack, 1, 0 );
  GfxMoveTo( XOffset, YOffset );
  GfxLineTo( XOffset + width, YOffset );
  GfxLineTo( XOffset + width, YOffset + Height );
  GfxLineTo( XOffset , YOffset + Height );
  GfxLineTo( XOffset , YOffset );
}

function DisplayFrecuency()
{
 Bar = 0;

 //Alto
 MinAvgProf = MaxAvgProf = 0;
//determina alto de las frecuencias
 for( y = 0; y < numbins; y++ )
 {
   Chg = frequency[BarCount-numbins+y];
   MinAvgProf = Min( MinAvgProf, Chg );
   MaxAvgProf = Max( MaxAvgProf, Chg );
 }

// Pinta las barras
 for( y = 0; y < numbins-1; y++ )
 {
   Chg = frequency[BarCount-numbins+y];
   DrawBar( StrExtract(XaxisNames, y+1 ), Bar++, numbins-1, Chg, MinAvgProf , MaxAvgProf );
 }
 DrawLevels( MinAvgProf , MaxAvgProf ); //pinta el grid
}

////////////////////////////
// Main program - chart type switch
////////////////////////////
DisplayFrecuency();

_N(Title = StrFormat("Symbol:  {{NAME}}  Date:  {{DATE}} \n\n"
 +    "FRECUENCY DISTRIBUTION RETURNS\n" +
"\nPeriods :    " + WriteVal(timeperiod,1.0) + "  " + Interval(2) +
"\n\nMax "+ Interval(2) + " Return          :   " + WriteVal(yMax-0.01,1.2) + " %%" +
"\nMin "+ Interval(2) + " Return           :   " + WriteVal(yMin+0.01,1.2) + " %%" +
"\nAverage "+ Interval(2) + " Return   : " + WriteVal(MA(percent,timeperiod)) + " %%"  +
"\nStandard Deviation : " + WriteVal(StDev(percent,timeperiod)) +


"\n\nMedian : " + WriteVal(Median(percent,timeperiod),1.3)+
"\nVaR Level 99 :  " + WriteVal(Percentile(percent,timeperiod,1),1.2) + " %%" ));

_SECTION_END();

_SECTION_BEGIN("Background Color");
BKswitch = ParamToggle("Background Color","On,Off",1);

OUTcolor = ParamColor("Outer Panel Color",colorWhite);
TitleColor = ParamColor("Title Color ",ColorRGB(245,245,245));

if (NOT BKswitch)
{
	SetChartBkColor(OUTcolor); // color of outer border
	Gradient = ParamToggle("Gradient Background Y/N","NO|YES");
	INUPcolor = ParamColor("Inner Panel Upper",colorLightYellow);
	INDNcolor = ParamColor("Inner Panel Lower",colorSeaGreen);
	if(gradient)
		SetChartBkGradientFill(INUPcolor,INDNcolor,TitleColor); // color of inner panel
}
_SECTION_END();

3 comments

1. BrockQAW

How it works?

2. vjragx

how to use this indicator can you please explain?

3. Gsant

Hi!

This is a statistical tool. Not properly an indicator.

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