EWMAC Speeds

Quick Reference

Parametri standard per EWMAC (Exponentially Weighted Moving Average Crossover) trend-following rules.

EWMAC 16/64: - Fast MA: 16 giorni span - Slow MA: 64 giorni span - Uso: Starter system, trend veloce

EWMAC 32/128: - Fast MA: 32 giorni span - Slow MA: 128 giorni span - Uso: Balanced speed

EWMAC 64/256: - Fast MA: 64 giorni span - Slow MA: 256 giorni span - Uso: Long-term trend capture

Speed N → Lambda:

λ = 2 / (N + 1)

EWMAC 16/64: - Fast λ = 2/17 = 0.1176 - Slow λ = 2/65 = 0.0308

Raw Forecast = (EWMA_fast - EWMA_slow) / σ_price

Poi scala a average absolute = 10.

Usare multiple speeds aumenta Sharpe Ratio: - Solo 16/64: SR typical - Add 32/128: +10-15% SR - Add 64/256: +5-10% SR addizionale

Optimal: Portfolio di 3-4 speeds diverse.

16/64: - Quick reaction - Higher turnover - Better in trending markets

64/256: - Smooth signals - Lower costs - Better in choppy markets

Portfolio: Combina tutti per diversification!