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Registered User
Joined: 10/7/2004
Posts: 794
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How would one write a PCF for the second highest high or second lowest low over the last 20 days?
Thank you in advance!
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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A technique is described here, but the formulas will be rather long if written for 20-Periods:
PCF for Order Statistics
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 1/1/2005
Posts: 2,645
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Quiktdr,
As seen in the link given by Bruce, in general, a PCF for the second higest of 20 quantities is not practical because of its length. Fortunately, there is sometimes a way around this problem.
Since the MAX function is available on H, there is a PCF for the second highest high whose length only grows linearly with the period.
A PCF for the second highest high for the last 5 days is:
(-1)
*((H0=MAXH5)*MAXH4.1-(H0<MAXH5)
*((H1=MAXH5)*(MAXH1+MAXH3.2+ABS(MAXH1-MAXH3.2))/2-(H1<MAXH5)
*((H2=MAXH5)*(MAXH2+MAXH2.3+ABS(MAXH2-MAXH2.3))/2-(H2<MAXH5)
*((H3=MAXH5)*(MAXH3+MAXH1.4+ABS(MAXH3-MAXH1.4))/2-(H3<MAXH5)
*((H4=MAXH5)*MAXH4
)))))
The form of a PCF for the second higest high for the last 20 days is:
(-1)
*((H0=MAXH20)*MAXH19.1-(H0<MAXH20)
*((H1=MAXH20)*(MAXH1+MAXH18.2+ABS(MAXH1-MAXH18.2))/2-(H1<MAXH20)
*((H2=MAXH20)*(MAXH2+MAXH17.3+ABS(MAXH2-MAXH17.3))/2-(H2<MAXH20)
*...
*((H18=MAXH20)*(MAXH18+MAXH1.19+ABS(MAXH18-MAXH1.19))/2-(H18<MAXH20)
*((H19=MAXH20)*MAXH19
)))...))
One need only supply the 15 missing lines and )'s.
The PCFs for the second lowest low are obtained from the above by replacing:
MAX by MIN
+ABS by -ABS
H by L
< by >
Thanks,
Jim Murphy
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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Quiktdr,
Here they are just in case you didn't want to go through the process of filling in the blanks of bustermu's excellent post:
Second highest high for the last 20 days:
( - 1) * ((H = MAXH20) * MAXH19.1 - (H < MAXH20) * ((H1 = MAXH20) * (MAXH1 + MAXH18.2 + ABS(MAXH1 - MAXH18.2)) / 2 - (H1 < MAXH20) * ((H2 = MAXH20) * (MAXH2 + MAXH17.3 + ABS(MAXH2 - MAXH17.3)) / 2 - (H2 < MAXH20) * ((H3 = MAXH20) * (MAXH3 + MAXH16.4 + ABS(MAXH3 - MAXH16.4)) / 2 - (H3 < MAXH20) * ((H4 = MAXH20) * (MAXH4 + MAXH15.5 + ABS(MAXH4 - MAXH15.5)) / 2 - (H4 < MAXH20) * ((H5 = MAXH20) * (MAXH5 + MAXH14.6 + ABS(MAXH5 - MAXH14.6)) / 2 - (H5 < MAXH20) * ((H6 = MAXH20) * (MAXH6 + MAXH13.7 + ABS(MAXH6 - MAXH13.7)) / 2 - (H6 < MAXH20) * ((H7 = MAXH20) * (MAXH7 + MAXH12.8 + ABS(MAXH7 - MAXH12.8)) / 2 - (H7 < MAXH20) * ((H8 = MAXH20) * (MAXH8 + MAXH11.9 + ABS(MAXH8 - MAXH11.9)) / 2 - (H8 < MAXH20) * ((H9 = MAXH20) * (MAXH9 + MAXH10.10 + ABS(MAXH9 - MAXH10.10)) / 2 - (H9 < MAXH20) * ((H10 = MAXH20) * (MAXH10 + MAXH9.11 + ABS(MAXH10 - MAXH9.11)) / 2 - (H10 < MAXH20) * ((H11 = MAXH20) * (MAXH11 + MAXH8.12 + ABS(MAXH11 - MAXH8.12)) / 2 - (H11 < MAXH20) * ((H12 = MAXH20) * (MAXH12 + MAXH7.13 + ABS(MAXH12 - MAXH7.13)) / 2 - (H12 < MAXH20) * ((H13 = MAXH20) * (MAXH13 + MAXH6.14 + ABS(MAXH13 - MAXH6.14)) / 2 - (H13 < MAXH20) * ((H14 = MAXH20) * (MAXH14 + MAXH5.15 + ABS(MAXH14 - MAXH5.15)) / 2 - (H14 < MAXH20) * ((H15 = MAXH20) * (MAXH15 + MAXH4.16 + ABS(MAXH15 - MAXH4.16)) / 2 - (H15 < MAXH20) * ((H16 = MAXH20) * (MAXH16 + MAXH3.17 + ABS(MAXH16 - MAXH3.17)) / 2 - (H16 < MAXH20) * ((H17 = MAXH20) * (MAXH17 + MAXH2.18 + ABS(MAXH17 - MAXH2.18)) / 2 - (H17 < MAXH20) * ((H18 = MAXH20) * (MAXH18 + MAXH1.19 + ABS(MAXH18 - MAXH1.19)) / 2 - (H18 < MAXH20) * ((H19 = MAXH20) * MAXH19))))))))))))))))))))
Second lowest low for the last 20 days:
( - 1) * ((L = MINL20) * MINL19.1 - (L > MINL20) * ((L1 = MINL20) * (MINL1 + MINL18.2 - ABS(MINL1 - MINL18.2)) / 2 - (L1 > MINL20) * ((L2 = MINL20) * (MINL2 + MINL17.3 - ABS(MINL2 - MINL17.3)) / 2 - (L2 > MINL20) * ((L3 = MINL20) * (MINL3 + MINL16.4 - ABS(MINL3 - MINL16.4)) / 2 - (L3 > MINL20) * ((L4 = MINL20) * (MINL4 + MINL15.5 - ABS(MINL4 - MINL15.5)) / 2 - (L4 > MINL20) * ((L5 = MINL20) * (MINL5 + MINL14.6 - ABS(MINL5 - MINL14.6)) / 2 - (L5 > MINL20) * ((L6 = MINL20) * (MINL6 + MINL13.7 - ABS(MINL6 - MINL13.7)) / 2 - (L6 > MINL20) * ((L7 = MINL20) * (MINL7 + MINL12.8 - ABS(MINL7 - MINL12.8)) / 2 - (L7 > MINL20) * ((L8 = MINL20) * (MINL8 + MINL11.9 - ABS(MINL8 - MINL11.9)) / 2 - (L8 > MINL20) * ((L9 = MINL20) * (MINL9 + MINL10.10 - ABS(MINL9 - MINL10.10)) / 2 - (L9 > MINL20) * ((L10 = MINL20) * (MINL10 + MINL9.11 - ABS(MINL10 - MINL9.11)) / 2 - (L10 > MINL20) * ((L11 = MINL20) * (MINL11 + MINL8.12 - ABS(MINL11 - MINL8.12)) / 2 - (L11 > MINL20) * ((L12 = MINL20) * (MINL12 + MINL7.13 - ABS(MINL12 - MINL7.13)) / 2 - (L12 > MINL20) * ((L13 = MINL20) * (MINL13 + MINL6.14 - ABS(MINL13 - MINL6.14)) / 2 - (L13 > MINL20) * ((L14 = MINL20) * (MINL14 + MINL5.15 - ABS(MINL14 - MINL5.15)) / 2 - (L14 > MINL20) * ((L15 = MINL20) * (MINL15 + MINL4.16 - ABS(MINL15 - MINL4.16)) / 2 - (L15 > MINL20) * ((L16 = MINL20) * (MINL16 + MINL3.17 - ABS(MINL16 - MINL3.17)) / 2 - (L16 > MINL20) * ((L17 = MINL20) * (MINL17 + MINL2.18 - ABS(MINL17 - MINL2.18)) / 2 - (L17 > MINL20) * ((L18 = MINL20) * (MINL18 + MINL1.19 - ABS(MINL18 - MINL1.19)) / 2 - (L18 > MINL20) * ((L19 = MINL20) * MINL19))))))))))))))))))))
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 10/7/2004
Posts: 794
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Kudos to Bustermu!
Thank you Bruce!
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