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exponential moving averages are highly dependent on the data, starting from
the beginning of the
data series. If the data is defined as X bars back, say 300 bars then every
3 minutes you loose
the oldest bar and the exponential averages will change since the
calcuations use a different set of data.
Also effecting this could be the number of bars back for each study or
system. This will give
different starting points for each of the exponential averages.
----- Original Message -----
From: "Alex Matulich" <alex@xxxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, August 06, 2003 1:59 PM
Subject: Totally bizarre xAverage results
> I'm completely mystified. I wonder if anyone else has ever observed
> this with TS2000i. Here's what happened.
>
> Situation: e-mini contract, day session only, 3-minute bars.
>
> I plot the built-in "Moving Average Exponential" indicator with the
> parameters (close,90,0), and I check the value of a specific bar.
> Say it's 934.21.
>
> I write my own rather complex indicator, which, among other things,
> has a statement MA=xAverage(c,90). The value of MA on the same
> bar is 934.04. Different, but close. Still within a tick. They
> shouldn't be different though. Both my indicator and TS's use the
> xAverage() function as the underlying calculation.
>
> Then I paste my indicator code into a signal, comment out all the
> plot statements, and append a couple buy and sell conditions.
> Otherwise the signal code is identical to my indicator code. The
> value of MA on the same bar is now 931.56 - several points different
> from the other two results!
>
> Has anyone noticed such dramatic inconsistencies from the same
> calculation between indicators and signals? From code that's
> essentially identical?
>
> --
> ,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
> // +__> Director of Research and Development
> // \
> // __) Unicorn Research Corporation -- http://unicorn.us.com
>
>
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