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Couple things to check:
- What are your trade delays set to? If zero, and you're buying at the open
while testing the close, you're looking into the future by most of a day.
- Do you have realistic commission settings? That's probably not sufficient
to produce that much phantom gain, but especially over a 15 year test, it
does matter, and not a little.
Dave
> 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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