How to"freeze" mtrandom() refresh in chart mode

AFL Programming
1

I wish to simulate price action using mtrandom() and chart display.

However, each time focus of chart eg. select a bar for underlying symbol while scrolling, mtrandom() recalculates new values for whole array.

I’d like to generate random array only once and use now fixed values as I scroll across chart. Currently the chart constantly updates.

Tried semaphore and other set once code sections.

// --- contants ---
pi    = 3.14159265;
TWOPI = 6.28318530718;

// --- parameters ---
lb    = 63;
slb   = 63;

// --- variables ---
bi    = BarIndex();
fvb   = FirstVisibleValue( bi ); 
lvb   = LastVisibleValue( bi );
n     = lvb - fvb - 1;

// --- functions ---
function RandGauss_Get() {
	z  = cos( TWOPI * mtRandom() );
	z  = z * sqrt( -2 * log( 1 - mtRandom() ) );
	return z;
}

/******************************************************/
// --- simulate data with Geometric Brownian motion ---
data  = C;
mu    = MA(data, lb)*252/lb;  // annual mean (252 lookback)
SDD    = StDev(data, slb, False);                                        // annual SD
SD    = ( SDD - LLV(SDD,slb) ) / ( HHV(SDD,slb) - LLV(SDD,slb) + 1e-31 );// need annual SD fractional percent
SD    = SD*sqrt(252/slb);

// inputs
St[fvb] = C[fvb]; // initial value number
mu0   = mu[fvb];
SD0   = SD[fvb];
sSD   = SD0^2;
dt    = 1/252; // annual to daily conversion factor
sdt   = sqrt(dt);

// protected section here  
norm[fvb] = 0;
if( StaticVarCompareExchange( "semaphore", 1, 0 ) == 0 ) // obtain semaphore  
 { 
	for(i=fvb+1; i<BarCount; i++) { norm[i]  = RandGauss_Get();	}
    // semaphore isn't reset since this is run once
 }

// loop soln: S0 uses previous calculated St
part1[fvb] = part2[fvb] =0;
for(i=fvb+1; i<BarCount; i++) {
//    St = St * exp((mu-0.5*SD^2)*dt + SD*sdt*norm );
	part1[i] = (mu[i] - 0.5*SD[i]^2)*dt;
	part2[i] = SD[i] * sdt * norm[i];
    
	St[i] = St[i-1] * exp( part1[i] + part2[i] );
}

Plot( St, "St", colorAqua, styleNoTitle );

Thanks in advance
FE

2

If is very easy few lines:

rnd_data = StaticVarGet( "rnd_data" );

if( ParamTrigger("Generate random data", "Do it Now" ) )
{
	rnd_data = mtRandomA();
	StaticVarSet( "rnd_data", rnd_data );
}

Plot( rnd_data, "rnd_data", colorRed );

In the Parameter window you will have “Generate Random data” button that you can use to trigger generation.

2 Likes
3

@Tomasz
Neat idea.
Noted random generation by array rather than loop.
Thanks
FE