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Out of curiosity I decided to compare the accuracy of weekly EMA
calculations against other programs. I had a niggling feeling that I
would find a disagreement. Not to my surprise the EMA values
produced by AB did not agree with the values produced by three other
programs.
The other three programs produced EMA values that agreed with each
other but not with AB's results. I am now trying to find an
explanation for the discrepency.
Below,is the script I am using in AB to get weekly EMA values doing
an explore on selected equities. For this test I am calculating a 30-
week EMA.
Filter = 1;
ws = DayOfWeek() < Ref( DayOfWeek(), -1 );
we = DayOfWeek() > Ref( DayOfWeek(),1);
WCl = ValueWhen(we, Close);
wv = ValueWhen(we, Sum(V,5));
AddColumn(WCl, "Close");
AddColumn(EMA(WCl,150), "EMA");
AddColumn(Cross(WCl, EMA(WCl,150)), "Cross");
Do I have an error in the above? Is there an inherent error in the
process that I am unaware of? After I discovered this problem, I no
longer trust AB's results in so far as weekly calculations are
concerned. Note that what I am doing involves processing in both
weekly and daily timeframes so setting AB's periodicity to weekly is
not an option. Any comments would be appreiated.
Mike O.
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