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Roy,
"However on bar two it makes a lot of sense to use 75% of the value
from bar one and add that to 25% of the value of bar two."
Exponential Moving Averages are weighted towards the latest data.
The above logic places the majority of the weight on the previous bar.
"Personally I think that starting the EMA at zero would be a nonsense,
and seeding with the bar one data array value is exactly the way it
should be."
I prefer to think that any average needs at least two values to
compute. There can be no average for bar one.
Compare the EMA plot below on the first seven bars of any chart:
===
EMA
===
---8<--------------------
{ Exponential Moving Average v2.0 }
{ EMA periodicity shortens on low bar count }
{ ©Copyright 2003 Jose Silva }
{ http://users.bigpond.com/prominex/pegasus.htm#metastock }
pds:=Input("EMA periods",1,2520,7);
x:=Input("use Open=1 High=2 Low=3 Close=4 Volume=5 P=6",1,6,4);
shift:=Input("EMA vertical shift %",
-100,100,0)/100+1;
plot:=Input("EMA=1, Crossover signals=2",1,2,1);
x:=If(x=1,O,If(x=2,H,If(x=3,L,If(x=5,V,If(x=6,P,C)))));
pds:=If(pds>Cum(x<>-101),Cum(x<>-101),pds);
Ema:=x*2/(pds+1)+PREV*(1-2/(pds+1));
Ema:=Ema*shift;
signals:=Cross(x,Ema)+-Cross(Ema,x);
If(plot=2,signals,Ema)
---8<--------------------
jose '-)
--- In Metastockusers@xxxxxxxxxxxxxxx, "Roy Larsen" <rlarsen@xxxx>
wrote:
> Ron, Larry
>
> MS does indeed "seed" an EMA with the first data point as in the
following example..
>
> {Exponential Moving Average}
> n:=Input("Periods",1,999,7);
> R:=2/(n+1); {ratio of new data added each bar}
> M:=If(Cum(1)=1,C,PREV*(1-R)+C*R);
> M;
>
> Failure to do so will give a severely distorted plot at the
beginning of the EMA as per this code..
>
> {Exponential Moving Average}
> n:=Input("Periods",1,999,7);
> R:=2/(n+1); {ratio of new data added each bar}
> M:=PREV*(1-R)+C*R;
> M;
>
> It makes perfect sense to me that it should be done the way it is,
though I see no reason for MS
> inhibiting the plot (canned version) until the specified number of
periods have passed. In this
> function the "periods" value is only a convenient way of expressing
the proportions of old data
> retained and new data added on each bar - it has little relevance to
actual periods.
>
> A "seven period" EMA will add 25% of new data and retain 75% of old
data on each bar. Any variable
> using PREV cannot plot on bar one for the obvious reason that there
is no available previous bar of
> data. However on bar two it makes a lot of sense to use 75% of the
value from bar one and add that
> to 25% of the value of bar two. If the EMA is not seeded with the
value of bar one the result from
> bar two will be zero (PREVious value of EMA) plus 25% of bar the bar
two value.
>
> Personally I think that starting the EMA at zero would be a
nonsense, and seeding with the bar one
> data array value is exactly the way it should be.
>
> Roy
>
>
> ----- Original Message -----
> From: "Ron" <ronber@xxxx>
> To: <Metastockusers@xxxxxxxxxxxxxxx>
> Sent: Monday, May 10, 2004 8:54 AM
> Subject: Re: [Metastockusers] Exponential Moving Average in Excel
>
>
> > I looked more closely at the values. It appears that what MS is
doing is
> > taking the first data point and treating it as though it was the
simple
> > average (i.e. start point) and then calculates EMAs based on that
point.
> > However, it only displays data starting with the 5th day. That
method
> > will lead to a small difference in the two methods.
> >
> >
> > Ron wrote:
> >
> > > Larry,
> > >
> > > I ran a tiny experiment. I loaded only the number of days data
in MS
> > > that I was going to use for my calculation in Excel. Then copied
and
> > > pasted the MS data into Excel. The EMA numbers were the same to
4
> > > decimal places when I did that.
> > >
> > > Ron
> > >
> > >
> > > Ron wrote:
> > >
> > >>Larry,
> > >>
> > >>I'm guessing the issue is the starting point.
> > >>
> > >>The numbers will be different depending on from where the moving
average
> > >>is calculated (started) which is dependent on the days loaded in
MS. You
> > >>can see this for yourself by applying an EMA to a ticker, then
note the
> > >>value for the most recent date when you have very few days
loaded vs.
> > >>the value when you have many more days loaded.
> > >>
> > >>I believe the numbers should match up, if they are fed exactly
the same
> > >>data.
> > >>
> > >>Try loading only the most recent 10 days in MS (those are the
days on
> > >>which you're basing your Excel calculation) and see if the
numbers match
> > >>up then.
> > >>
> > >>Ron
> > >>
> > >>lseldin wrote:
> > >>
> > >>
> > >>
> > >>>Ron,
> > >>>
> > >>>I was able to get your spreadsheet from Yahoo files.
> > >>>
> > >>>I am not getting the same results from MetaStock.
> > >>>
> > >>>My data file has these inputs:
> > >>>
> > >>>Close EMA PERIODS 5
> > >>>1098.7 EXPONENT 0.333333333
> > >>>1113.98999 1-Exponent 0.666666667
> > >>>1121.530029
> > >>>1119.550049
> > >>>1117.48999 1114.252012 Starts with 5 period SMA
> > >>>1107.300049 1111.934691
> > >>>1113.890015 1112.586465
> > >>>1122.410034 1115.860988
> > >>>1138.109985 1123.277321
> > >>>1135.530029 1127.361557
> > >>>
> > >>>If I am reading your spreadsheet correct, your MA exp (5) is:
> > >>>1127.36
> > >>>
> > >>>MetaStock says 5 period EXP is: 1111.51
> > >>>MetaStock says 10 period EXP is: 1116.99
> > >>>
> > >>>Can you help me get the numbers to match?
> > >>>
> > >>>Thanks for your patience.
> > >>>
> > >>>larryTAKEOUT@xxxx
> > >>>
> > >>>
> > >>>
> > >>>
> > >>>
> > >>>Yahoo! Groups Links
> > >>>
> > >>>
> > >>>
> > >>>
> > >>>
> > >>>
> > >>>
> > >>>
> > >>>
> > >>>
> > >>
> > >>
> > >>
> > >>
> > >>
> > >>
> > >>Yahoo! Groups Links
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----------
>
>
> > I looked more closely at the values. It appears that what MS is
doing is taking the first data
> point and treating it as though it was the simple average (i.e.
start point) and then calculates
> EMAs based on that point. However, it only displays data starting
with the 5th day. That method will
> lead to a small difference in the two methods.
> >
> >
> > Ron wrote:
> >
> > Larry,
> >
> > I ran a tiny experiment. I loaded only the number of days data
in MS that I was going to use for
> my calculation in Excel. Then copied and pasted the MS data into
Excel. The EMA numbers were the
> same to 4 decimal places when I did that.
> >
> > Ron
> >
> >
> > Ron wrote:
> >
> > Larry,
> >
> > I'm guessing the issue is the starting point.
> >
> > The numbers will be different depending on from where the moving
average
> > is calculated (started) which is dependent on the days loaded in
MS. You
> > can see this for yourself by applying an EMA to a ticker, then
note the
> > value for the most recent date when you have very few days loaded
vs.
> > the value when you have many more days loaded.
> >
> > I believe the numbers should match up, if they are fed exactly the
same
> > data.
> >
> > Try loading only the most recent 10 days in MS (those are the days
on
> > which you're basing your Excel calculation) and see if the numbers
match
> > up then.
> >
> > Ron
> >
> > lseldin wrote:
> >
> > Ron,
> >
> > I was able to get your spreadsheet from Yahoo files.
> >
> > I am not getting the same results from MetaStock.
> >
> > My data file has these inputs:
> >
> > Close EMA PERIODS 5
> > 1098.7 EXPONENT 0.333333333
> > 1113.98999 1-Exponent 0.666666667
> > 1121.530029
> > 1119.550049
> > 1117.48999 1114.252012 Starts with 5 period SMA
> > 1107.300049 1111.934691
> > 1113.890015 1112.586465
> > 1122.410034 1115.860988
> > 1138.109985 1123.277321
> > 1135.530029 1127.361557
> >
> > If I am reading your spreadsheet correct, your MA exp (5) is:
> > 1127.36
> >
> > MetaStock says 5 period EXP is: 1111.51
> > MetaStock says 10 period EXP is: 1116.99
> >
> > Can you help me get the numbers to match?
> >
> > Thanks for your patience.
> >
> > larryTAKEOUT@xxxx
> >
> >
> >
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
> >
> >
> >
> >
> >
> >
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