NexusFi: Find Your Edge


Home Menu

 





arima model


Discussion in MultiCharts

Updated
    1. trending_up 424 views
    2. thumb_up 0 thanks given
    3. group 2 followers
    1. forum 1 posts
    2. attach_file 0 attachments




 
Search this Thread

arima model

  #1 (permalink)
tsxela
modena italy
 
Posts: 2 since Jul 2014
Thanks Given: 1
Thanks Received: 0

i generated with chatgpt a code of arima model, can someone help me to correct the code?
thank you in advance

{*******************************************************************
ARIMA Function for MultiCharts

*******************************************************************}

inputs:
TimeSeries(close),
p(2),
dd(1),
q(2);

vars:
ii(0),
j(0),
k(0),
n(0),
m(0),
s(0),
phi(0),
theta(0),
diff(0),
resid(0),
std_dev(0),
sum_phi(0),
sum_theta(0),
sum_diff(0),
sum_resid(0),
sum_std_dev(0),
forecast(0),
error(0),
sum_forecast(0);

{Calculate phi and theta}
for ii = 1 to p begin
phi[ii] = 0;
end;

for ii = 1 to q begin
theta[ii] = 0;
end;

for ii = 1 to p begin
sum_phi = 0;
for j = ii to n begin
sum_phi = sum_phi + TimeSeries[j-dd] * TimeSeries[j-ii-dd];
end;
phi[ii] = sum_phi;
end;

for ii = 1 to q begin
sum_theta = 0;
for j = ii to n begin
sum_theta = sum_theta + resid[j-1] * TimeSeries[j-ii-dd];
end;
theta[ii] = sum_theta;
end;

{Calculate differences}
for ii = 1 to dd begin
diff[ii] = 0;
end;

for ii = dd+1 to n begin
diff[ii] = TimeSeries[ii] - TimeSeries[ii-dd];
end;

{Calculate residuals}
for ii = 1 to n begin
resid[ii] = 0;
end;

for ii = p+1 to n begin
sum_diff = 0;
sum_phi = 0;
sum_theta = 0;
for j = 1 to p begin
sum_phi = sum_phi + phi[j] * diff[ii-j];
end;
for j = 1 to q begin
sum_theta = sum_theta + theta[j] * resid[ii-j];
end;
resid[ii] = diff[ii] - sum_phi - sum_theta;
end;

{Calculate standard deviation}
for ii = 1 to n begin
std_dev[ii] = 0;
end;

for ii = p+1 to n begin
sum_resid = 0;
for j = 1 to p begin
sum_resid = sum_resid + phi[j] * diff[ii-j];
end;
for j = 1 to q begin
sum_resid = sum_resid + theta[j] * resid[ii-j];
end;
std_dev[ii] = sqrt(sum_resid * sum_resid / (n-p-q));
end;

{Calculate forecast}
for ii = n+1 to n+m begin
forecast[ii] = 0;
end;

for ii = n+1 to n+m begin
sum_forecast = 0;
for j = 1 to p begin
sum_forecast = sum_forecast + phi[j] * (TimeSeries[n-j+1] - TimeSeries[n-j+1-d]);
end;
for j = 1 to q begin
sum_forecast = sum_forecast + theta[j] * resid[n-j+1];
end;
forecast[ii] = TimeSeries[n] + sum_forecast;
end;

{Calculate error}
for ii = n+1 to n+m begin
error[ii] = 0;
end;

for ii = n+1 to n+m begin
error[i] = forecast[ii] - TimeSeries[n+ii-n-dd];
end;

Reply With Quote

Can you help answer these questions
from other members on NexusFi?
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
Are there any eval firms that allow you to sink to your …
Traders Hideout
NexusFi Journal Challenge - April 2024
Feedback and Announcements
Futures True Range Report
The Elite Circle
Build trailing stop for micro index(s)
Psychology and Money Management
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
59 thanks
Funded Trader platforms
37 thanks
NexusFi site changelog and issues/problem reporting
23 thanks
GFIs1 1 DAX trade per day journal
22 thanks
The Program
19 thanks
  #2 (permalink)
artisanpro
montreal, qc, canada
 
Posts: 28 since May 2021
Thanks Given: 28
Thanks Received: 18


tsxela View Post
i generated with chatgpt a code of arima model, can someone help me to correct the code?
thank you in advance end;

May I suggest that instead of asking to make this work that you ask instead: Has anyone used an arima model successfully and, if so, could you share the code.

Getting back to the chatgpt code that you provided: what sort of compilation errors did you receive?

Reply With Quote




Last Updated on April 29, 2023


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts