hello everyone, as know I've recently shown results to an XLE
mechanical system that is partially based on the BPENER.
However one problem is that I need to know what the BPENER is
going to close at as well as the 9 day EMA. The BPENER
technically doesn't update on Stockcharts.com until 2 hrs after the
market closes (or 6 pm EST). Ideally I need to know what the
BPENER will close at as well a the 9 day EMA before the close vs
waiting 2 hrs after the close. It wouldn't be a problem for
me as I have no problem entering a trade after hrs, however most of
you would probably like signals before the market closes.
I currently have a scan that I can run intra day on the
components of the BPENER so that I can know what the BPENER will
close at before the market - so that's not a problem, however where
I'm having problems is calculating the 9 day EMA! I've looked
up the equation to Exponential MA's and I still cannot get the
correct answer to the BPENER 9 day EMA at least what is shown by
Stockcharts.com, this is important. Thus, if any of
you would like to do a
little
math projectand have a go at calculating
the 9 day EMA for the BPENER, that would be a big help especially
if you can find what I'm doing wrong.
Here's some data for you to try, here's the last 12 days of the
BPENER close, with this data you should be able to calculate what
the 9 day EMA should be. Stockcharts.com shows the currently
9 day EMA from yesterday as 58.53, however I can't seem to get this
number by my calculations, I must be doing something wrong.
Therefore your math assignment is to try and calculate the 9
day EMA for yesterday and get it to match the 58.53 number.
If you are able to calculate it correctly, please send me a
pm or email me at: bptrades@gmail.com with an excel spreadsheet.
thanks
hi matt, i have never calculated ema's before but i like a math
challenge so i had a play and i get 58.97 for tues ema, so no help
so far but will think about it for a bit.
Hello everyone, first off regarding the EMA calculation thanks
for all the effort put in by everyone! We finally figured it out
with the help of a couple members! Here's the deal
so apparently the EMA needs a lot more past data before you
smooth out the data and get a proper result. For example when
you calculate a 9 day SMA, you simply average the last 9 day
closing prices, however when calculating a 9 day EMA, you might
need to use the past 30 data points before it smooths out enough to
get a proper answer.
here's an answer I got back from Stockcharts and this
basically explains it
Stockcharts provides the answer:
Because an
EMA
begins with a simple moving average, its true value will not
be realized until 20 or so periods later. In other words, the value
on the excel spreadsheet may differ from the chart value because of
the short look-back period. This spreadsheet only goes back 30
periods, which means the affect of the simple moving average has
had 20 periods to dissipate.
Stockcharts
.com goes back at least 250-periods (typically much further) for
its calculations so the effects of the simple moving average in the
first calculation have fully dissipated.
So, you probably need to go back at least 30 BPENER values,
possibly more, before getting a precise (i.e. sufficiently
dissipated) calculation...
Posted by jlevinthal on 28th of Nov 2012 at 06:02 pm
The results of the XLE system look so good that I can't imagine
buying or selling the next day opening would result in a
significantly different equity curve. It also makes the system
easier for those that are not by the computer all day.
Why not just substitute the XLE 9 ema for the
$bpener 9 ema, since that is the underlying anyway.
Would probably give you a more accurate picture anyway. Ie,
When you think its near a turning point, substitute it instead to
make the call.
I use that 9 on XLE as well, however the 9 EMA is also important
for the BPENER in this case, so I need to be able to match
Stockcharts.com's calculation, the 9 EMA on XLE itself is not
enough
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Question - need your help with something
Posted by matt on 28th of Nov 2012 at 01:38 pm
hello everyone, as know I've recently shown results to an XLE mechanical system that is partially based on the BPENER.
However one problem is that I need to know what the BPENER is going to close at as well as the 9 day EMA. The BPENER technically doesn't update on Stockcharts.com until 2 hrs after the market closes (or 6 pm EST). Ideally I need to know what the BPENER will close at as well a the 9 day EMA before the close vs waiting 2 hrs after the close. It wouldn't be a problem for me as I have no problem entering a trade after hrs, however most of you would probably like signals before the market closes.
I currently have a scan that I can run intra day on the components of the BPENER so that I can know what the BPENER will close at before the market - so that's not a problem, however where I'm having problems is calculating the 9 day EMA! I've looked up the equation to Exponential MA's and I still cannot get the correct answer to the BPENER 9 day EMA at least what is shown by Stockcharts.com, this is important. Thus, if any of you would like to do a little math projectand have a go at calculating the 9 day EMA for the BPENER, that would be a big help especially if you can find what I'm doing wrong.
Here's some data for you to try, here's the last 12 days of the BPENER close, with this data you should be able to calculate what the 9 day EMA should be. Stockcharts.com shows the currently 9 day EMA from yesterday as 58.53, however I can't seem to get this number by my calculations, I must be doing something wrong. Therefore your math assignment is to try and calculate the 9 day EMA for yesterday and get it to match the 58.53 number. If you are able to calculate it correctly, please send me a pm or email me at: bptrades@gmail.com with an excel spreadsheet. thanks
hi matt, i have never
Posted by morgan8 on 28th of Nov 2012 at 11:09 pm
hi matt, i have never calculated ema's before but i like a math challenge so i had a play and i get 58.97 for tues ema, so no help so far but will think about it for a bit.
Hello everyone, first off regarding
Posted by matt on 28th of Nov 2012 at 11:53 pm
Hello everyone, first off regarding the EMA calculation thanks for all the effort put in by everyone! We finally figured it out with the help of a couple members! Here's the deal
so apparently the EMA needs a lot more past data before you smooth out the data and get a proper result. For example when you calculate a 9 day SMA, you simply average the last 9 day closing prices, however when calculating a 9 day EMA, you might need to use the past 30 data points before it smooths out enough to get a proper answer.
here's an answer I got back from Stockcharts and this basically explains it
Stockcharts provides the answer:
Because an EMA begins with a simple moving average, its true value will not be realized until 20 or so periods later. In other words, the value on the excel spreadsheet may differ from the chart value because of the short look-back period. This spreadsheet only goes back 30 periods, which means the affect of the simple moving average has had 20 periods to dissipate. Stockcharts .com goes back at least 250-periods (typically much further) for its calculations so the effects of the simple moving average in the first calculation have fully dissipated.
So, you probably need to go back at least 30 BPENER values, possibly more, before getting a precise (i.e. sufficiently dissipated) calculation...
Results with next day transactions
Posted by jlevinthal on 28th of Nov 2012 at 06:02 pm
The results of the XLE system look so good that I can't imagine buying or selling the next day opening would result in a significantly different equity curve. It also makes the system easier for those that are not by the computer all day.
xle
Posted by roger on 28th of Nov 2012 at 02:58 pm
Why not just substitute the XLE 9 ema for the $bpener 9 ema, since that is the underlying anyway. Would probably give you a more accurate picture anyway. Ie, When you think its near a turning point, substitute it instead to make the call.
I use that 9 on
Posted by matt on 28th of Nov 2012 at 03:36 pm
I use that 9 on XLE as well, however the 9 EMA is also important for the BPENER in this case, so I need to be able to match Stockcharts.com's calculation, the 9 EMA on XLE itself is not enough