Question - need your help with something

    Posted by matt on 28th of Nov 2012 at 01:38 pm
    Title: click to expand and show comments

    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

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