Manually calculated EMA not matching expected value?

new_spy123

New member
Hello All,

I am on a quest to work around the problem of referencing secondary aggregation in scan custom alerts.

What I am trying to solve: Receive alert when hourly candle crosses below 150 day ema in scan alert.

This is what I am doing in the below script without referencing aggregation constants and calculating the ema manually. I feel like I am close but missing something hence the values are not matching. Appreciate any input on this.

Ruby:
def smoothing = (2/150 + 1);

def today = GetDay() == GetLastDay();

def ydayClose = if today then ydayClose[1] else close;

input n = 150;
def emaForLast150Days = fold index = 1 to 150 with p = ydayClose do if index == 1 then ydayClose else (smoothing*ydayClose[index] + (1 - smoothing)*p);

plot emaForLast150DaysPlot = if today then emaForLast150Days else close;

Here is the chart, showing the gap with what I am computing vs what the actual value should be.

GkLMi9q.jpg
 
Solution
have a look at this page
https://school.stockcharts.com/doku.php?id=technical_indicators:moving_averages

...the first value in a EMA series is a simple moving average
maybe something like this?
def displace2 = n;
def SMA = Average(price2[displace2], n);
...adjust the loop count , start or stop , accordingly

...on the do formula, need to calc a reverse count of index, to generate an offset that points at the farthest bar first and ends with the closest. ( n - index )
actually the 2nd bar in the series. the first bar will be the SMA

changes i would make
...fold loop , index = 1 to n . replace constants (150) when possible
...move smoothing formula to be after the input, and use n instead of constant (150).
input n =
def...
have a look at this page
https://school.stockcharts.com/doku.php?id=technical_indicators:moving_averages

...the first value in a EMA series is a simple moving average
maybe something like this?
def displace2 = n;
def SMA = Average(price2[displace2], n);
...adjust the loop count , start or stop , accordingly

...on the do formula, need to calc a reverse count of index, to generate an offset that points at the farthest bar first and ends with the closest. ( n - index )
actually the 2nd bar in the series. the first bar will be the SMA

changes i would make
...fold loop , index = 1 to n . replace constants (150) when possible
...move smoothing formula to be after the input, and use n instead of constant (150).
input n =
def smoothing = (2/n + 1);


misc
...fold loops don't process the end count number. if you need to use the end number, use index = 1 to ( n+1)
test code
def x = fold i = 1 to 20 with k do k + 1;
addlabel(1, "fold loop 20 " + x, color.cyan);
# x will equal 19
 
Last edited:
Solution
have a look at this page
https://school.stockcharts.com/doku.php?id=technical_indicators:moving_averages

...the first value in a EMA series is a simple moving average
maybe something like this?
def displace2 = n;
def SMA = Average(price2[displace2], n);
...adjust the loop count , start or stop , accordingly

...on the do formula, need to calc a reverse count of index, to generate an offset that points at the farthest bar first and ends with the closest.
example, rev_cnt = ( n - index )
actually the 2nd bar in the series. the first bar will be the SMA

changes i would make
...fold loop , index = 1 to n . replace constants (150) when possible
...move smoothing formula to be after the input, and use n instead of constant (150).
input n =
def smoothing = (2/n + 1);


misc
...fold loops don't process the end count number. if you need to use the end number, use index = 1 to ( n+1)
test code
def x = fold i = 1 to 20 with k do k + 1;
addlabel(1, "fold loop 20 " + x, color.cyan);
# x will equal 19
Thank you for these inputs. Honestly, I was expecting someone to call me crazy for trying something like this :)
 
Hello All,

I am on a quest to work around the problem of referencing secondary aggregation in scan custom alerts.

What I am trying to solve: Receive alert when hourly candle crosses below 150 day ema in scan alert.

This is what I am doing in the below script without referencing aggregation constants and calculating the ema manually. I feel like I am close but missing something hence the values are not matching. Appreciate any input on this.

Ruby:
def smoothing = (2/150 + 1);

def today = GetDay() == GetLastDay();

def ydayClose = if today then ydayClose[1] else close;

input n = 150;
def emaForLast150Days = fold index = 1 to 150 with p = ydayClose do if index == 1 then ydayClose else (smoothing*ydayClose[index] + (1 - smoothing)*p);

plot emaForLast150DaysPlot = if today then emaForLast150Days else close;

Here is the chart, showing the gap with what I am computing vs what the actual value should be.


here is one way to calculate an EMA, instead of using the ExpAverage() function.
the first data point is derived from a simple average.
i cheated and used the average() function instead of using a fold loop for it.
barnumber 1 is the SMA value, then the following bars are the calculated EMA.

test bubbles can be displayed, while the price difference is greater that $0.005

this isn't perfect, but close. the first dozen bars may be off by 0.1% , on average or so.

i followed the rules on this page
https://school.stockcharts.com/doku.php?id=technical_indicators:moving_averages

Ruby:
# ema_create_01

# create formulas to find an EMA
# https://school.stockcharts.com/doku.php?id=technical_indicators:moving_averages
#
# 1.  Initial SMA: 10-period sum / 10
# 2.  Multiplier: (2 / (Time periods + 1) ) = (2 / (10 + 1) ) = 0.1818 (18.18%)
# 3.  EMA: {Close - EMA(previous day)} x multiplier + EMA(previous day).

# ---------------------------------------------
def na = double.nan;
def bn = barnumber();
# ---------------------------------------------
# ema parameters

# TD - MovAvgExponential
def price = close;
input exponential_avg_len = 9;
def ema_len = exponential_avg_len;

# default AME, for comparing to calculated value
def AvgExp = ExpAverage(price, ema_len);

input show_actual_exp_line = yes;
plot z1 = if show_actual_exp_line then AvgExp else na;
z1.SetStyle(Curve.MEDIUM_DASH);
z1.SetDefaultColor(Color.cyan);
# z1.setlineweight(1);
z1.hidebubble();

addlabel(1, "EMA length " + ema_len, color.yellow);

# ---------------------------------------------
# calc EMA - step 1
#  use SMA, from x bars back, for the 1st value in the EMA series

# SimpleMovingAvg
def sma_length = ema_len;
# this is ema length ,
#def sma_displace = ema_len;
def sma_displace = 0;
def SMA = Average(price[sma_displace], sma_length);

# ---------------------------------------------
# calc EMA - step 2
# 2.  Multiplier: (2 / (Time periods + 1) ) = (2 / (10 + 1) ) = 0.1818 (18.18%)

def multi = 2 / (ema_len + 1);

# ---------------------------------------------
# calc EMA - step 3
# 3.  EMA: {Close - EMA(previous day)} x multiplier + EMA(previous day).

def ema_calc;
if  bn == 1 then {
   ema_calc = sma;
} else {
   ema_calc = (( price - ema_calc[1] ) * multi ) + ema_calc[1];
}


plot z2 = ema_calc;
z2.SetDefaultColor(Color.yellow);
# z1.setlineweight(1);
z2.hidebubble();

# ------------
def ema_z = ema_calc;
# ---------------------------------------------

def diff_tol = 0.005;
def ema_diff = avgexp - ema_z;
def diff_big = (absvalue(ema_diff) > diff_tol);
input show_test_price_diff_from_actual = no;
def diff_ok_bn = if (diff_big[1] and !diff_big) then bn else diff_ok_bn[1];
def avg_diff_per = round((ema_diff / avgexp)*100, 3);

# test_price_diff_from_actual and diff_big
addchartbubble(show_test_price_diff_from_actual and diff_big[0], low*0.98, "bar# " + bn + "\n" + avgexp + "\n" + ema_z + "\n" + ema_diff + "\n" + avg_diff_per + "%", color.yellow, no);

addlabel(1, "calculated EMA is within $" + diff_tol + " after bar# " + diff_ok_bn, color.yellow);
#


a label shows at what barnumber, the calculated EMA is within $0.005 of the actual EMA.
a bubble lists the: barnumber, ema, calc ema, $ diff, % diff
Hd3LiTD.jpg
 

Join useThinkScript to post your question to a community of 21,000+ developers and traders.

Not the exact question you're looking for?

Start a new thread and receive assistance from our community.

87k+ Posts
345 Online
Create Post

The Market Trading Game Changer

Join 2,500+ subscribers inside the useThinkScript VIP Membership Club
  • Exclusive indicators
  • Proven strategies & setups
  • Private Discord community
  • ‘Buy The Dip’ signal alerts
  • Exclusive members-only content
  • Add-ons and resources
  • 1 full year of unlimited support

Frequently Asked Questions

What is useThinkScript?

useThinkScript is the #1 community of stock market investors using indicators and other tools to power their trading strategies. Traders of all skill levels use our forums to learn about scripting and indicators, help each other, and discover new ways to gain an edge in the markets.

How do I get started?

We get it. Our forum can be intimidating, if not overwhelming. With thousands of topics, tens of thousands of posts, our community has created an incredibly deep knowledge base for stock traders. No one can ever exhaust every resource provided on our site.

If you are new, or just looking for guidance, here are some helpful links to get you started.

What are the benefits of VIP Membership?
VIP members get exclusive access to these proven and tested premium indicators: Buy the Dip, Advanced Market Moves 2.0, Take Profit, and Volatility Trading Range. In addition, VIP members get access to over 50 VIP-only custom indicators, add-ons, and strategies, private VIP-only forums, private Discord channel to discuss trades and strategies in real-time, customer support, trade alerts, and much more. Learn all about VIP membership here.
How can I access the premium indicators?
To access the premium indicators, which are plug and play ready, sign up for VIP membership here.
Back
Top