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Professor MG, my guess is that either you're using one of those funny
copies of MetaStock, or your PC is choking on all those models you are
running, because I just can't replicate those errors in my pristine
laboratory environment using the latest geometric protractor
equipment.
This MS exploration yields zero errors on 1600 stocks with avg 10
years' data:
---8<---------------
x:=Sum(Cum(1),10)/10;
y:=Mov(Cum(1),10,S);
{ accumulate any x/y event differences }
Cum(x<>y)
---8<---------------
jose '-)
http://www.metastocktools.com
--- In equismetastock@xxxxxxxxxxxxxxx, "MG Ferreira" <quant@xxxx>
wrote:
>
> Hi Preston & Jose,
>
> Those two formulae for the geometric average should really give
> exactly the same answer. Unless you work with big numbers and
> loooong averages, the rounding should not affect either formula
> substantially.
> So I did a quick test. Here is what I entered as a test into MS
>
> Sum(Cum(1),10)/10;Mov(Cum(1),10,S)
>
> which both calculate a 10 period moving average of Cum(1) = 1, 2, 3,
...
>
> It calculates this in two ways, one using the sum and one using the
> Mov function. The first value, for both, should be 5.5 exactly,
> then 6.5, then 7.5 and so on. However, if I do this, I get two
> lines that appear to be slightly different! If I keep the pointer
> on this line, to get the two values, I get something like 5.5
> correctly for the first and 5.0, wrong, for the second! Also, the
> first seems to start at 5.5 and the second, one period later, at
> 7.0! It yields the same
> incorrect results if you swap it around, say
>
> Mov(Cum(1),10,S);Sum(Cum(1),10)/10
>
> From what I can gather, doing something like
>
> Mov(Cum(1),10,S);Sum(Cum(1),10)/10;1
>
> or funny things like
>
> 1.01;Mov(Cum(1),10,S);Sum(Cum(1),10)/10;1
>
> MS shows the value of the last in the yellow pop-up first, and it
> seems to round all subsequent (previous!?) values
>
> This bug could be annoying - it seems MS rounds everything but the
> final value in such an expression containing multiple values.
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://www.ferra4models.com
> http://fun.ferra4models.com
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