Help with Do Loop dynamic range

[hhchenfx]

Hi,

I fail to find the bug in my code and I appreciate it if you could help.

It is a stock data with tic, Open, High, Low, Close price.

The sequence is that:

For a given day, focus on that day and the last 3 day (_n_ to _n_ -3)

- take the High and Low of day (_n_ -3) and assign to Highest = high(_n_ -3) and lowest = Low(_n_ -3)

- Move to day _n_-2, if  Low(_n_ -3) < open(_n_ - 2) <High(_n_ -3) Then it is a qualify day and DO;

# count = count +1;

# update the range by: Highest = MAX(current highest, high(_n_ -2)); Lowest= MIN(current lowest, low(_n_ -2));

- Move to day _n_-1 ....

- If anyday is not qualify, exit the loop and create day_leave.

So in my sample data, for day2: day 0,1  should be a qualify day. so the Count should be 2 instead of 3. Day_leave of 2 is correct.

for day4, count=0 is correct but day_leave should be day2.

for day 5, the count =4, should be 3

Thank you,

HHC

data h;
input day tic $ open	close	high	low ;
datalines;
-1	a	40	30	45	10
-2	a	40	30	46	9
-3	a	40	30	47	20
0	a	40	30	60	7
1	a	55	30	50	10
2	a	100	30	160	20
3	a	50	61	70	40
4	a	40	30	60	20
5	a	30	10	40	10
6	a	66	15	80	5
7	a	75	9	100	5
8	a	120	55	120	5
9	b	40	30	50	10
10	b	40	30	60	20
11	b	50	61	70	40
12	b	50	61	70	40

;
run;


data w;
keep day tic open	close	high	low 	count 		highest lowest location day_leave;
set h;

highest = lag3(high); *assign the first hig/low;
lowest =lag3(low);
count=0;	

do n = max(_n_-3,1) to _n_  by 1;
	set h (rename = (day = i tic=t  open=o  high=h  low=l  close=c)) point=n;
		if lowest < o < highest then do;
			count=count+1; 
			highest = max(highest, h);
			lowest  = min(lowest, l);
			location= i;
		end;
		else do; day_leave=i; leave;end;
end;
run;

[hhchenfx · Accepted solution]

I need to use do n = max(_n_-3+1,1) to _n_ by 1;

+1 because the beginning (_N_-3) is the start and shouldn't be check.

data w;
keep day tic open	close	high	low 	count 		highest lowest day_leave;
set h;

highest = lag3(high); *assign the first hig/low;
lowest =lag3(low);
count=0;	

do n = max(_n_-3+1,1) to _n_  by 1;
	set h (rename = (day = i tic=t  open=o  high=h  low=l  close=c)) point=n;
		if lowest < o < highest then do;
			count=count+1; 
			highest = max(highest, h);
			lowest  = min(lowest, l);
			day_leave=i;
		end;
		else do; day_leave=i; leave;end; *good;
end;
run;