PDF

INPUTS: INTERVAL(NUMERIC), M(NUMERIC), LOOKBACK(NUMERIC);

VARS: HMAX(0), LMIN(0), BL(0), BU(0), RX(0), PDFVAR(0);



{COMPUTE THE MAXIMUM HIGH & MINIMUM LOW}

HMAX=HIGHEST(HIGH,LOOKBACK);

LMIN=LOWEST(LOW,LOOKBACK);



{BOUNDRIES BL(LOWER) & BU(UPPER)}

RX=(HMAX-LMIN)/M;

BL=LMIN+(INTERVAL-1)*RX;

BU=LMIN+INTERVAL*RX;



{COMPUTE DISTRIBUTION FUNCTION PDF}

PDFVAR=0;

FOR VALUE1=0 TO LOOKBACK-1 BEGIN

	IF HIGH[VALUE1] <= BU THEN PDFVAR=PDFVAR+1;

	IF HIGH[VALUE1] <= BU OR LOW[VALUE1]>=BU THEN VALUE99=1

		ELSE PDFVAR=PDFVAR+(BU-LOW[VALUE1])/(HIGH[VALUE1]-LOW[VALUE1]);

	IF HIGH[VALUE1]<= BL THEN PDFVAR=PDFVAR-1;	

	IF HIGH[VALUE1]<= BL OR LOW[VALUE1]>= BL THEN VALUE99=1

		ELSE PDFVAR=PDFVAR-(BL-LOW[VALUE1])/(HIGH[VALUE1]-LOW[VALUE1]);

END;	 

PDF=PDFVAR/LOOKBACK;