Exponential Moving average as Support and or Resistance levels

Let's have a look at the exponential moving average(EMA) lines as support and resistance level for EUR/USD spot price.

The EMA(200), is considered by many technical analysis practioners to play a key role of support and resistance. I'm not certain if this is considered only for daily datasets, so that 200 is 200 days, or if it's so in general.

I've run a simmulation of 30 second data of EUR/USD spot data, and counting the number of major turning points that are in the vincinity of the EMA(200), then comparing to the number of major turning points in the vincinity of the EMA(200) for a Wiener process mimicking the EUR/USD spot price.

The dataset is from 29.11.2009 to 26.08.2010.





and here are the results:

t.test(res.tot,res.tot.bm)



	Welch Two Sample t-test



data:  res.tot and res.tot.bm 

t = 3.0632, df = 346.579, p-value = 0.002361

alternative hypothesis: true difference in means is not equal to 0 

95 percent confidence interval:

 0.1251721 0.5742814 

sample estimates:

mean of x mean of y 

 1.508197  1.158470 

edit:

res.tot(X) is the number of major turning points at the EMA line, and res.tot.bm(Y) is the number of major turning points at the EMA line.

It is significantly more major turning points to the EMA(200) level in the observed EURUSD price, than in a random process.

First entry

Hi,

this is an attempt to share some thoughts on trading ideas, and statistics linked to it.

I'll put out some sample code in R also, which is my main programming language.

cheers

A