Watchlists results are not matching criteria

Watchlists results are not matching criteria

Ronen Poltek
2010-09-07 06:08:36

Dear Sirs
I am running the following filter on a static list and the results are in mismatch to the criteria, to my understanding.
var2 = close > 0.5;
var3 = open < Ma(4,_MaEma);
var4 = open < Ma(8,_MaEma);
var5 = open < Ma(21,_MaEma);
var6 = close > Ma(4,_MaEma);
var7 = close > Ma(8,_MaEma);
var8 = close > Ma(21,_MaEma);

filter = (var2) && (var3) && (var4) && (var5) && (var6) && (var7) && (var8);

Today Sep. 7 2010 I have run the filter and one of the stocks that passed the filter is GS with the following values:
Open 141.62
Close 147.29
While the values of the Moving Averages is:
EMA 4 - 142.5693
EMA 8 - 141.2124
EMA 21 - 144.3681
As can be seen the EMA 8 value is lower then the open value.
Thank you for a great product
Ronen Poltek

QuantShare
2010-09-07 10:13:08

Best Answer

Hi,

Please make sure that the screener date is the same as the date you used to check values.
If you use Bar n-0 then make sure the bar you are checking is the last bar.

I have created the same screen and GS passed filters.
However, when I checked the values of EMAs I found different results.

EMA 4 - 142.54 (Small difference)
EMA 8 - 142.1 (Big difference) -> Make sure your EMA 8 value is correct
EMA 21 - 144.14 (Small difference)

Note that the calculation of EMA depends on the number of bars and this is why there is a small difference. With more than 500-1000 bars (depends on the EMA period), EMA values should be the same.

So in order to have stable results you should have more than 500 bars (Again it depends on the EMA period)

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