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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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