The right formula for EMA, nonrecurrent (nonrecurrent) - MQL4 and MetaTrader 4

Петр 2010.04.18 15:18 #21

eddy >>:

ема=доля от клоз0 + "1-доля" от ема предыдущей

как это 1-доля?

EMA = 0.1*Close + (1-0.1)*EMAprevios; i.e. EMA=0.1*Close + 0.9*EMAprevios;

What is not clear here?

--- 2010.04.18 15:19 #22

http://edu.finam.ru/showthread.php?t=516

Sceptic Philozoff 2010.04.18 15:21 #23

EMA[i] = pr*Close[i] + EMA[i+1]*remainder of pr<br / translate="no">
pr=25.0/(1+period)

pr=25.0/(1+period) - where did it come from? The formula is different, with two instead of 25.
OK, here's the right formula for EMA, nonrecurrent - without any equivalent periods (as Svinozavr pointed out):

ema[i]=pr*Close[i] + (1-pr)*ema[i+1] =
pr*Close[i] + (1-pr)*(pr*Close[i+1] + (1-pr)*ema[i+2]) =
pr*Close[i] + pr*(1-pr)*Close[i+1] + (1-pr)^2*ema[i+2] =
pr*Close[i] + pr*(1-pr)*Close[i+1] + (1-pr)^2*(pr*Close[i+2] + (1-pr)*ema[i+3]) =
pr*Close[i] + pr*(1-pr)*Close[i+1] + pr*(1-pr)^2*Close[i+2] + (1-pr)^3*ema[i+3]) = ... =
pr*Sum( (1-pr)^(k-i) * Close[i+k] ; k = i..infinity)

Forget about the equivalent period, it's nonsense.

[ARCHIVE]Any rookie question, so EA_based Trailing Stop CatFx50

crom 2010.04.18 15:25 #24

:)

Files:

mema.mq4 1 kb

Roma 2010.04.18 15:25 #25

i.e. the weight of the cloz is ten times less than the previous one, which is also ten times less than the previous yema, right? but then it's nothing at all, is it?

Roma 2010.04.18 15:29 #26

the most important thing i need to understand is what share in EM[i] all other clozes make up. i can't imagine any way.

Roma 2010.04.18 15:30 #27

I can't imagine an OBJECTIVE))

Sceptic Philozoff 2010.04.18 15:33 #28

Well look at the last formula: ema[i] = pr*Sum( (1-pr)^(k-i) * Close[i+k] ; k = i..infinity)
The weight of each cloze decreases exponentially as it moves deeper into history, but still not very fast.
Let's say the weight of the first one is 0.2.
Then the second is 0.2*(1-0.2) = 0.2*0.8^1 = 0.16
the third is 0.2*0.8^2 = 0.128
the fourth is 0.2*0.8^3 = 0.1024 etc.

Weights of an EMA [ARCHIVE]Any rookie question, so Machine learning in trading:

Roma 2010.04.18 15:36 #29

Can we speed it up?))

Петр 2010.04.18 15:39 #30

eddy >>:
т.е. вес клоза в десять раз меньше предыдущей, вес которой тоже в 10 раз меньше предыдущей ема, так? но ведь тогда он вообще ничтожен, разве нет?

For what is negligible? Well, output the EMA in the terminal by converting 0.1 to a period and see.

Or here, a rectangular signal with a period of 100 bars is smoothed by the EMA with coefficient 0.1:

EMA weight calculation - page 3