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Tomasz,
Thank you for pointing out where my problem was and making me aware
of the timeframe.dll module. I quickly looked at the dll at it
indeed appears to provide me with the functionality that I need for
my project. As I had mentioned in my post I need to do processing
using both daily and weekly data and using a weekly chart
periodicity is not an option for me.
Mike O.
--- In amibroker@xxxxxxxxxxxxxxx, "Tomasz Janeczko" <amibroker@xxxx>
wrote:
> Hello,
>
> Yes you are doing the error.
>
> You should switch the chart to weekly interval
> to calculate weekly EMA.
> ====================================
>
> Weekly EMA must be calculated from weekly data
> ======================================
> and only then you can compare it to output of other programs.
> Also -- different programs differently "initialize" EMA.
> Since EMA is recursive the first value (after the first period-
elements)
> must be initialized somehow. MS and AB use simple MA to initialize
> first element of EMA, but some other packages work differently.
>
> Calculating weekly EMA from daily data without switching
> to weekly interval is possible however requires much more complex
> code that yours. It is better for you to take a look at
TimeFrame.dll
> that will do this for you:
> http://www.amibroker.net/3rdparty.php
>
> Best regards,
> Tomasz Janeczko
> amibroker.com
> ----- Original Message -----
> From: "Michael Orlyk" <bmwrider@xxxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, March 14, 2003 11:59 AM
> Subject: [amibroker] Accuracy of weekly ema calculation
>
>
> > 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.
> >
> >
> > Send BUG REPORTS to bugs@xxxx
> > Send SUGGESTIONS to suggest@xxxx
> > -----------------------------------------
> > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > --------------------------------------------
> > Check group FAQ at:
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> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
> >
Send BUG REPORTS to bugs@xxxxxxxxxxxxx
Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
-----------------------------------------
Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
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