TSGAIN(1) TSGAIN(1)
NAME
tsgain - find the gain of a time series
SYNOPSIS
tsgain [-p] [-t] [-v] [filename]
tsgain -a avg -r rms
tsgain -P P -r rms
DESCRIPTION
Tsgain is for finding the gain of a time series. The value of a sample
in the time series added to the cumulative sum of the samples, and is
squared and added to the cumulative sum of squares, the Shannon proba-
bility, P, calculated using:
avg
--- + 1
rms
P = -------
2
where rms is the root mean square of the marginal returns, and avg is
the average of the marginal returns, and the gain, G, calculated using:
P P - 1
G = (1 + rms) * (1 - rms)
to make a new time series. The new time series is printed to stdout.
The input file structure is a text file consisting of records, in tem-
poral order, one record per time series sample. Blank records are
ignored, and comment records are signified by a '#' character as the
first non white space character in the record. Data records must con-
tain at least one field, which is the data value of the sample, but may
contain many fields-if the record contains many fields, then the first
field is regarded as the sample's time, and the last field as the sam-
ple's value at that time.
OPTIONS
-a avg avg = average value of marginal returns.
-P P P = Shannon probability.
-p Don't output the time series, only the root mean square value.
-r rms rms = root mean square value of marginal returns.
-t Sample's time will be included in the output time series.
-v Print the version and copyright banner of the program.
filename
Input filename.
WARNINGS
There is little or no provision for handling numerical exceptions.
SEE ALSO
tsderivative(1), tshcalc(1), tshurst(1), tsintegrate(1), tslogre-
turns(1), tslsq(1), tsnormal(1), tsshannon(1), tsblack(1), tsbrown-
ian(1), tsdlogistic(1), tsfBm(1), tsfractional(1), tsgaussian(1), tsin-
tegers(1), tslogistic(1), tspink(1), tsunfairfractional(1), tswhite(1),
tscoin(1), tsunfairbrownian(1), tsfraction(1), tsshannonmax(1),
tschangewager(1), tssample(1), tsrms(1), tscoins(1), tsavg(1),
tsXsquared(1), tsstockwager(1), tsshannonwindow(1), tsmath(1), tsavg-
window(1), tspole(1), tsdft(1), tsbinomial(1), tsdeterministic(1),
tsnumber(1), tsrmswindow(1), tsshannonstock(1), tsmarket(1),
tsstock(1), tsstatest(1), tsunfraction(1), tsshannonaggregate(1), tsin-
stant(1), tsshannonvolume(1), tsstocks(1), tsshannonfundamental(1),
tstrade(1), tstradesim(1), tsrunlength(1), tsunshannon(1), tsroot-
mean(1), tsrunmagnitude(1), tskurtosis(1), tskurtosiswindow(1), tsroot-
meanscale(1), tsscalederivative(1), tsgain(1), tsgainwindow(1)
tscauchy(1), tslognormal(1), tskalman(1), tsroot(1), tslaplacian(1)
DIAGNOSTICS
Error messages for incompatible arguments, failure to allocate memory,
inaccessible files, and opening and closing files.
AUTHORS
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A license is hereby granted to reproduce this software source code and
to create executable versions from this source code for personal,
non-commercial use. The copyright notice included with the software
must be maintained in all copies produced.
THIS PROGRAM IS PROVIDED "AS IS". THE AUTHOR PROVIDES NO WARRANTIES
WHATSOEVER, EXPRESSED OR IMPLIED, INCLUDING WARRANTIES OF
MERCHANTABILITY, TITLE, OR FITNESS FOR ANY PARTICULAR PURPOSE. THE
AUTHOR DOES NOT WARRANT THAT USE OF THIS PROGRAM DOES NOT INFRINGE THE
INTELLECTUAL PROPERTY RIGHTS OF ANY THIRD PARTY IN ANY COUNTRY.
Copyright (c) 1994-2006, John Conover, All Rights Reserved.
Comments and/or bug reports should be addressed to:
john@email.johncon.com (John Conover)
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January 18, 2006 TSGAIN(1)