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Unless
you are prescient you should use delay 1, open.
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<FONT
face=Tahoma size=2>-----Original Message-----From: Barry
Scarborough [mailto:RazzBarry1@xxxxxxx] Sent: Wednesday, December
10, 2003 12:04 PMTo: amibroker@xxxxxxxxxxxxxxxSubject:
[amibroker] MACD and EMA - HelpI 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, isBuy =
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,BarrySend
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