Ultimate Algorithmic Trading System

AFL uses functions DateNum(), DateTime(), Hour(), Minute(), Second()
to retrieve the date and time of the price bar.
Array programming or vector languages generalize operations on scalars to apply
transparently to vectors, matrices (2d-array), and other higher-dimensional arrays.
Sounds complicated, right? It really isn’t. An array is simply a list of like data. In
most testing platform scripting languages price data is held in arrays. When we code
and use the word high we are usually referring to an array or list of high prices of
the underlying instrument. When we use a subscript in the array, we are referring
to that singular element in the list: High[6] is the high price six bars ago. Most of
the programming discussed thus far in this book has dealt with scalar programing
in a pseudocode framework. The fundamental idea behind array programming is
that operations apply at once to an entire set of data. An example will help clarify.
How do we calculate a 20-day moving average of price bar’s midpoint in a scalar
(bar-by-bar) framework?
sum = 0
for i = 1 to 20
next i
sum = sum + (high[i] + low[i]) / 2 #notice the subscript i
avgMP = sum / 20
This programming structure is known as a for loop. The loop variable is the letter
i and the statement that is indented will be executed 20 times before the next
line of code is processed. The sum variable accumulates the high price over the
past 20 bars. This moving average calculation requires five lines of code. Of course
this code segment could be put into a function and in most testing languages or
scripts it is. However, be it in a function module or inline, the code is executed
on every given bar of data. Here’s how it is done in an array-programming
framework:
avgMP = MA((H + L)/2,20)
A new array labeled avgMP is created and completely loaded with a 20-period
moving average of the price bar’s midpoint. avgMP is not a scalar or single value—it
is a full-blown array just like the High and Low arrays. Array processing eliminates
the need for additional looping and this means much quicker execution. You might
think a language like EasyLanguage is doing the same thing when it invokes the
average function:
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INTRODUCTION TO AMIBROKER’S AFL
avgMP = average((H + L) / 2,20);
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