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--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> Michael,
> do you use the same formula for other softwares?
No the script shown is only applicable to AB, The other software is
Quotes Plus Scan, MetaStock, and Excel S/S. The Quotes Plus Scan
allows you to specify daily and weekly modes within a scan and you
don't need any extra coding to derive weekly data from a daily data
set in order to calculate, say, a weekly EMA. I just used MS and
Excel as cross checks for calculated values.
> How do you compare EMA values ?
Just taking a specific week ending date and comparing the values from
the various sources for that date.
> Have you used directly the weekly mode to obtain weekly EMA values,
Yes - it appears to calculating the EMA correctly.
> instead of a non accurate daily formula ?
> Just curious...
> DT
> PS. Amibroker calculations are accurate, AFAIK.
> --- In amibroker@xxxxxxxxxxxxxxx, "Michael Orlyk" <bmwrider@xxxx>
> wrote:
> > 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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