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nuno-online

Help About Geometric Mean

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Hello

 

I need help about my study (for a daily chart)

 

I want to insert in the study a 2 year moving average (geometric mean) of the next-day returns following an up day and a down day

 

here is the code: with an error (Floating-point Invalid Operation Exception)

 

what do you think?

 

Inputs :
 Price(Close), GeometricMeanLength(500);

Variables: 
  PriceUp(False), PriceDn(False),
  NextDayReturnUp(0), CounterUp(0), NextDayReturnUpGeometricMean(0),
  NextDayReturnDn(0), CounterDn(0), NextDayReturnDnGeometricMean(0);

Arrays: 
  NextDayReturnUpDate[1000](0), NextDayReturnUpBar[1000](0), NextDayReturnUpVal[1000](0),
  NextDayReturnDnDate[1000](0), NextDayReturnDnBar[1000](0), NextDayReturnDnVal[1000](0);

PriceUp = Price[1] > Price[2];
PriceDn = Price[1] <= Price[2];

If PriceUp then
  begin
  NextDayReturnUp = ((Price-Price[1])/Price[1])*100;
  For Value1 = 0 to GeometricMeanLength
     begin
     NextDayReturnUpDate[1000-Value1] = NextDayReturnUpDate[1000-Value1];
     NextDayReturnUpBar[1000-Value1] = NextDayReturnUpBar[1000-Value1];
     NextDayReturnUpVal[1000-Value1] = NextDayReturnUpVal[1000-Value1];
     end;
  NextDayReturnUpDate[0] = Date;
  NextDayReturnUpBar[0] = BarNumber;
  NextDayReturnUpVal[0] = NextDayReturnUp;
  CounterUp = CounterUp + 1;
  end;
  If CounterUp > GeometricMeanLength then
     NextDayReturnUpGeometricMean = GeometricMean(NextDayReturnUp, GeometricMeanLength);

If PriceDn then
  begin
  NextDayReturnDn = ((Price-Price[1])/Price[1])*100;
  For Value1 = 0 to GeometricMeanLength
     begin
     NextDayReturnDnDate[1000-Value1] = NextDayReturnDnDate[1000-Value1];
     NextDayReturnDnBar[1000-Value1] = NextDayReturnDnBar[1000-Value1];
     NextDayReturnDnVal[1000-Value1] = NextDayReturnDnVal[1000-Value1];
     end;
  NextDayReturnDnDate[0] = Date;
  NextDayReturnDnBar[0] = BarNumber;
  NextDayReturnDnVal[0] = NextDayReturnDn;
  CounterDn = CounterDn + 1;
  end;
  If CounterDn > GeometricMeanLength then
     NextDayReturnDnGeometricMean = GeometricMean(NextDayReturnDn, GeometricMeanLength);

Plot1( NextDayReturnUp, "NextDayReturnUp" );
Plot2( NextDayReturnDn, "NextDayReturnDn" );
plot3(0, "Zero");
Plot4( NextDayReturnUpGeometricMean, "NextDayReturnUpGeometricMean");
Plot5( NextDayReturnDnGeometricMean , "NextDayReturnDnGeometricMean");

 

and the geometric mean function

 

{ Geometric Mean }
Inputs:
  Price(NumericSeries), Length(NumericSimple);

Variables:
  Product(0), ix(0);

Product = 1;
For ix = 0 to Length-1 
  begin
  Product = Product * Price[ix];
  end;
GeometricMean = Power(Product, 1/Length);

 

thank you

Nuno

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Hello

 

i always have the same error

 

Any help would be apprecied

 

here the screenshot about what i want to do:

 

The graph below shows a 5-year moving average (geometric average) of the next-day returns on the S&P 500 following an up day (red) and a down day (blue) from 1950 to 06/2008.

 

(1) returns have been normalized by subtracting the average return of all days in each observation period to remove the influence of bull vs bear markets,

(2) averages are geometric.

 

 

Nuno

graph.gif.8dd097e84cd5584928de2384097adb6d.gif

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