ReverseEMAStrat

Description

Reverse EMA strategy is based on a modification of the regular exponential moving average (EMA). This modification contains signal processing technique Z-transform, which is said to eliminate the indicator lag and make the indicator suitable for trend and market data cycle analysis.

The strategy calculates two Reverse EMAs. The Reverse EMA with a greater length is used to analyze trend conditions while the shorter Reverse EMA is used to analyze market data cycles. Based on behavior of these two values, simulated buy and sell orders are added according to the following rules:

  • Buy to open: shorter Reverse EMA crosses above the zero level while longer Reverse EMA is positive.
  • Sell to close: either Reverse EMA falls below zero.
  • Sell to open (short entry): shorter Reverse EMA crosses below zero while longer Reverse EMA is negative.
  • Buy to close (short exit): either Reverse EMA crosses above the zero level.

Input Parameters

Parameter

Description

price The type of price to apply the Reverse EMAs to.
trend length The length of the Reverse EMA to analyze trends with.
cycle length The length of the Reverse EMA to analyze market data cycles with.

Backtesting is the evaluation of a particular trading strategy using historical data. Results presented are hypothetical, and there is no guarantee that the same strategy implemented today would produce similar results.

Technical analysis is not recommended as a sole means of investment research.

For educational purposes only. Not a recommendation of a specific security or investment strategy.

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