Re: [GT] New EMA

["Robert A. Schmied" <ras AT acm.org>]

Weigert, Thomas wrote:
> With all these problems with EMA I decided to rewrite this indicator. I
> first tried to understand what the original authors were doing, but as
> coded it seems to do things differently from the definition of EMA and
> from what I see in other tools. In particular, it makes the data it
> depends on dynamically dependent on the series it works on. Then there
> are many more calculations that are not in the definition of the EMA, as
> far as I can tell.
>
> I took the straightforward approach and followed the text books.
>
> The EMA is computed in the following manner:
>
> alpha = 2 / ( N + 1 )
> EMA[n] = EMA[n-1] + alpha * ( INPUT - EMA[n-1] )
>
> Where EMA[n] refers to the EMA at period n, and INPUT is the value of
> the input series at period n.
>
> The starting point is usually computed as the SMA(n) over the period
> from start - n to start. (One could also start with the actual value of
> the series, in which case there would be no dependency on past data.
> Maybe I make that an option.

when operating at the start of data it complained:
ras [ 5148 ] %    ./display_indicator.pl --start 1993-01-04 --end 1993-07-01 I:EMA 13000
Indicator I:EMA has 1 value ... all values selected
       I:EMA/1  <=> EMA[20,{I:Prices CLOSE}]

       timeframe day, time periods 0 .. 123
Calculating indicator ...
Use of uninitialized value in subtraction (-) at ../GT/Indicators/EMA.pm line 126.
Use of uninitialized value in addition (+) at ../GT/Indicators/EMA.pm line 126.
EMA[20,{I:Prices CLOSE}][1993-01-05 00:00:00] = 1.9978
EMA[20,{I:Prices CLOSE}][1993-01-06 00:00:00] = 3.7676
EMA[20,{I:Prices CLOSE}][1993-01-07 00:00:00] = 5.3456

so i hacked around and came up with

   my $ema;    
   for (my $i = $first+1; $i <= $last; $i++) {
       my $oldema = $indic->get($name, $i - 1);
       ( defined($oldema) )
         ? $ema = $alpha * ($self->{'args'}->get_arg_values($calc, $i, 2) - $oldema) + $oldema
         : $ema = $alpha * ($self->{'args'}->get_arg_values($calc, $i, 2));
       $indic->set($name, $i, $ema);
   }

you may have a better option, but it solves the issue noted above and i think
the answers remain the same.

but it falls on its face when attempting the emaema:
ras [ 5172 ] %    ./display_indicator.pl --start 1993-01-04 --end 1993-07-01 I:EMA 13000 20 '{I:EMA 20 {I:Prices CLOSE}'
Indicator I:EMA has 1 value ... all values selected
       I:EMA/1  <=> EMA[20,{I:EMA 20 {I:Prices CLOSE}}]

       timeframe day, time periods 0 .. 123
Calculating indicator ...
Use of uninitialized value in multiplication (*) at ../GT/Indicators/EMA.pm line 127.
Use of uninitialized value in multiplication (*) at ../GT/Indicators/EMA.pm line 127.
Use of uninitialized value in subtraction (-) at ../GT/Indicators/EMA.pm line 127.
Use of uninitialized value in multiplication (*) at ../GT/Indicators/EMA.pm line 127.
Use of uninitialized value in subtraction (-) at ../GT/Indicators/EMA.pm line 127.
Use of uninitialized value in multiplication (*) at ../GT/Indicators/EMA.pm line 127.

to fix the warning, one could cheat and put
no warnings "uninitialized";
inside that for statement, or block the trinary statement and put the pragma in the block
       {
       no warnings "uninitialized";
       ( defined($oldema) )
         ? $ema = $alpha * ($self->{'args'}->get_arg_values($calc, $i, 2) - $oldema) + $oldema
         : $ema = $alpha * ($self->{'args'}->get_arg_values($calc, $i, 2));
       }


this is excellent work
i think major progress has been made, little thanks to me

aloha

ras

ps -- i added the 1; at end of file, have yet to know why -- but all cpan
modules have it. -- ras

pps -- ema is used in a slue (bunch) of indicators:
../GT/Indicators/AT3.pm:18
../GT/Indicators/CHAIKIN.pm:4
../GT/Indicators/DSS.pm:8
../GT/Indicators/ENV.pm:6
../GT/Indicators/ElderRay.pm:2
../GT/Indicators/KirshenbaumBands.pm:5
../GT/Indicators/MACD.pm:10
../GT/Indicators/MASS.pm:4
../GT/Indicators/PFE.pm:5
../GT/Indicators/PGO.pm:5
../GT/Indicators/REMA.pm:17
../GT/Indicators/RMI.pm:1
../GT/Indicators/SMI.pm:4
../GT/Indicators/T3.pm:18
../GT/Indicators/TRIX.pm:8
../GT/Indicators/TRIXkw.pm:8
../GT/Indicators/WWMA.pm:1
-- sure wish there was a good way to validate them -- ras


> Please find this indicator attached. I compared it with the output from
> TA_lib and metastock. I also ran my tests. It depends only on the past n
> data points (if we use the SMA start computation). It is not affected
> whether called directly or in another indicator.
>
> Please do your own testing. But I think it works better and faster than
> the existing EMA.
>
> Cheers, Th.