Frequency Distribution by MG Ferreira Metastock Indicators Forex Trading Systems - XEATrade - Metatrader, Metastock, Tradestation, Amibroker

Frequency Distribution

{MG Ferreira}
{http://www.ferra4models.com}
{Plots frequency distribution of daily returns}
{and fitted normal distribution, either in values}
{or percentages.}
{For personal use only}

{Number of bins, use log(n) if not sure}
Bins:=Input("Number of bins?",5,20,10);
UsePct:=Input("Actual count(0) or percentage(1)?",0,1,0);

{What we want to distribute, change to your liking}
Y:=100*(C/Ref(C,-1)-1); {Daily returns}

{Calcs}
yMax:=LastValue(Highest(Y));
yMin:=LastValue(Lowest(Y));
yRange:=yMax-yMin;
BinSize:=yRange/Bins;

{Count frequency in each bin}
ii:=Cum(1);
nn:=LastValue(ii);
CumFreq:=0*(ii<=2)+
LastValue(Cum(Y<yMin+BinSize*1))*(ii=3)+
LastValue(Cum(Y<yMin+BinSize*2))*(ii=4)+
LastValue(Cum(Y<yMin+BinSize*3))*(ii=5)+
LastValue(Cum(Y<yMin+BinSize*4))*(ii=6)+
LastValue(Cum(Y<yMin+BinSize*5))*(ii=7)+
LastValue(Cum(Y<yMin+BinSize*6))*(ii=8)+
LastValue(Cum(Y<yMin+BinSize*7))*(ii=9)+
LastValue(Cum(Y<yMin+BinSize*8))*(ii=10)+
LastValue(Cum(Y<yMin+BinSize*9))*(ii=11)+
LastValue(Cum(Y<yMin+BinSize*10))*(ii=12)+
LastValue(Cum(Y<yMin+BinSize*11))*(ii=13)+
LastValue(Cum(Y<yMin+BinSize*12))*(ii=14)+
LastValue(Cum(Y<yMin+BinSize*13))*(ii=15)+
LastValue(Cum(Y<yMin+BinSize*14))*(ii=16)+
LastValue(Cum(Y<yMin+BinSize*15))*(ii=17)+
LastValue(Cum(Y<yMin+BinSize*16))*(ii=18)+
LastValue(Cum(Y<yMin+BinSize*17))*(ii=19)+
LastValue(Cum(Y<yMin+BinSize*18))*(ii=20)+
LastValue(Cum(Y<yMin+BinSize*19))*(ii=21)+
LastValue(Cum(Y<yMin+BinSize*20))*(ii=22)+
(nn-1)*(ii>22);

Freq:=(CumFreq-Ref(CumFreq,-1))/(UsePct*nn+(UsePct=0));

{Now fit a normal distro to it}
Mu:=LastValue(Cum(y))/(nn-1);
Sigma:=LastValue(Stdev(y,nn-2));
NormDistro:=Exp(-0.5*Power((yMin+BinSize*(ii-2)-Mu)/Sigma,2))/sigma;
CumNorm:=LastValue(Cum(NormDistro));
NormFin:=NormDistro/CumNorm*((UsePct=0)*(nn-1)+(UsePct=1));

NormFin;Freq

Author/Source: MG Ferreira

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