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Hello,
Your formula looks ahead.
You are using todays CLOSE price (in avarages)
but trade on today's open (NOT POSSIBLE).
Turn on delays (set delays to 1), turn on the commissions
and you will be back in the real world.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Barry Scarborough" <RazzBarry1@xxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Wednesday, December 10, 2003 6:04 PM
Subject: [amibroker] MACD and EMA - Help
> I ran a back test using EMA 5/20 on the R2K buying and shorting as
> the averages crossed. I used a $50,000 initial investment, Stop set
> at 15% loss and bought/sold on the open, delay 0. I am not sure
> which day open value was used with a delay of 0. The results I got
> was a 3.7 billion dollar profit since Dec of 1987. Is that for
> real??? If so why aren't we all billionaires?
>
> What really made me wonder is that if I use a delay of 1 day, trying
> to point to the next day's open, the results were drastically
> different. Ditto if I use a close and delay of 0. In some cases it
> went from a huge profit to a loss just by changing the trading day.
> What is going on? I am not sure how to use the delay option.
>
> The formula I used is against index RUT, from 9/10/87 to 12/9/03, is
>
> Buy = Cross( EMA(C,5), EMA(C, 20));
> Sell = Cross( EMA(C, 20), EMA(C, 5));
> Cover = Buy;
> Short = Sell;
> Filter = 1;
>
> A friend does not believe these results either and wanted to run a
> separate program it verify the results. Can anyone tell me the C
> formula for EMA?
>
> The EMA adds a percentage of the last close, or whatever, to the
> current day. But what percentage does it add to each day when a lot
> of days are used? This comes into play when you are using many days,
> 5 and 20 or whatever number of days. MACD using the EMA but with
> three different periods.
>
> If someone already has a function that calculates the EMA in C or
> some other language that would be even better.
>
> Thanks,
> Barry
>
>
>
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