Commentary, Methodology

12/7/20 – Current Signals

45 Strategies are now considered. WMA – Weighted moving average was dropped but it might come back. DEMA – Double exponential moving average wasn’t being calculated properly. That was fixed and TEMA – Triple exponential moving average was added.

Prior to the fix, DEMA was calculated as (for example) the 7 day exponential moving average of the 7 day exponential moving average. That makes the second EMA slower than the first, so what happens is DEMA = 2 * EMA – (EMA of EMA).

StockCharts.com has clear explanations: DEMA / TEMA

Patrick Mulloy’s original 1994 TASC article is available for free on the internet with a little searching. The idea of doing the subtraction is relatively profound.

The strategies starting with kzc are modified consenso zombies. Each one looks at 10 strategies based on length.

kzc3 = td3, te3, tm3, de3, dm3, em3, t3t7, d3d7, e3e7, m3m7

kzc7 = td7, te7, tm7, de7, dm7, em7, t7t13, d7d13, e7e13, m7m13

kzc13 = td13, te13, tm13, de13, dm13, em13, t7t21, d7d21, e7e21, m7m21

kzc21 = td21, te21, tm21, de21, dm21, em21, t13t21, d13d21, e13e21, m13m21

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