EMA Proximity Filter Returning Inconsistent Results

• 07/22/2025 at 2:45 PM #249019
  David1998P

  EMA Proximity Filter Issue in Stock Screener — Help Needed

  I’m encountering inconsistent results with my EMA proximity filter in a stock screener. The filter should only show stocks within a specified distance (in nATR units) from the 200EMA, but some stocks pass while others don’t—even when they meet the criteria.

  Examples (Scanning NASDAQ):
  $SERV
  ATR: 7.6%
  Distance from EMA: 15%
  nATR distance ≈ 1.97 → Should fail, but appears in scan

  $GRRR
  ATR: 11.6%
  Distance from EMA: 4%
  nATR distance ≈ 0.34 → Should pass, but missing from scan

  Would appreciate your help on this, thank you.

  Current ProScreener Code

  // --- Main Parameters --- atrPeriod = 14 // ATR calculation period volumePeriod = 50 // Volume averaging period emaPeriod = 200 // EMA period for proximity check smaPeriod = 200 // SMA period for proximity check // --- Moving Average Proximity Parameters --- ONCE EnableMovingAverageCheck = 1 // Set to 1 to enable the EMA proximity check, 0 to disable ONCE MaxNATRDistanceFromEMA = 1.0 // Maximum distance from EMA in nATR units ONCE EnableSMACheck = 0 // Set to 1 to enable the SMA proximity check, 0 to disable ONCE MaxNATRDistanceFromSMA = 1.0 // Maximum distance from SMA in nATR units // --- Filter Parameters --- minVolatility = 5 // Minimum acceptable volatility (nATR %) maxVolatility = 99 // Maximum acceptable volatility (nATR %) minLiquidity = 15000000 // Minimum avg currency volume maxLiquidity = 10000000000000000 // Maximum avg daily currency volume // --- Calculations --- // 1. Volatility measurement (nATR) atr = AverageTrueRange[atrPeriod](Close) nATR = 100 * atr / Close // nATR as percentage of price // 2. Liquidity measurement avgVolume = Average[volumePeriod](Close * Volume) // 3. Moving average calculations emaX = ExponentialAverage[emaPeriod](Close) smaX = Average[smaPeriod](Close) // Calculate distances in nATR units distanceFromEMA = 100 * ABS(Close - emaX) / Close // Distance as percentage nATRDistEmaX = distanceFromEMA / nATR // Convert to nATR units distanceFromSMA = 100 * ABS(Close - smaX) / Close nATRDistSmaX = distanceFromSMA / nATR // --- Apply All Filters --- // Ensure we have enough data for calculations IF BarIndex < volumePeriod OR BarIndex < emaPeriod THEN valid = 0 ELSE // 1. Volatility filter with range cond1 = nATR >= minVolatility AND nATR <= maxVolatility // 2. Liquidity filter with range cond2 = avgVolume >= minLiquidity AND avgVolume <= maxLiquidity // 3. Moving Average proximity checks IF EnableMovingAverageCheck = 1 THEN emaFilter = nATRDistEmaX <= MaxNATRDistanceFromEMA ELSE emaFilter = 1 // Always pass if disabled ENDIF IF EnableSMACheck = 1 THEN smaFilter = nATRDistSmaX <= MaxNATRDistanceFromSMA ELSE smaFilter = 1 // Always pass if disabled ENDIF // Combined condition - ALL must be true valid = cond1 AND cond2 AND emaFilter AND smaFilter ENDIF // Output result sorted by volatility SCREENER[valid] SORT BY nATR AS "Volatility (%)"

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  // --- Main Parameters --- atrPeriod = 14 // ATR calculation period volumePeriod = 50 // Volume averaging period emaPeriod = 200 // EMA period for proximity check smaPeriod = 200 // SMA period for proximity check   // --- Moving Average Proximity Parameters --- ONCE EnableMovingAverageCheck = 1 // Set to 1 to enable the EMA proximity check, 0 to disable ONCE MaxNATRDistanceFromEMA = 1.0 // Maximum distance from EMA in nATR units ONCE EnableSMACheck = 0 // Set to 1 to enable the SMA proximity check, 0 to disable ONCE MaxNATRDistanceFromSMA = 1.0 // Maximum distance from SMA in nATR units   // --- Filter Parameters --- minVolatility = 5 // Minimum acceptable volatility (nATR %) maxVolatility = 99 // Maximum acceptable volatility (nATR %) minLiquidity = 15000000 // Minimum avg currency volume maxLiquidity = 10000000000000000 // Maximum avg daily currency volume   // --- Calculations --- // 1. Volatility measurement (nATR) atr = AverageTrueRange[atrPeriod](Close) nATR = 100 * atr / Close // nATR as percentage of price   // 2. Liquidity measurement avgVolume = Average[volumePeriod](Close * Volume)   // 3. Moving average calculations emaX = ExponentialAverage[emaPeriod](Close) smaX = Average[smaPeriod](Close)   // Calculate distances in nATR units distanceFromEMA = 100 * ABS(Close - emaX) / Close  // Distance as percentage nATRDistEmaX = distanceFromEMA / nATR              // Convert to nATR units   distanceFromSMA = 100 * ABS(Close - smaX) / Close nATRDistSmaX = distanceFromSMA / nATR   // --- Apply All Filters --- // Ensure we have enough data for calculations IF BarIndex < volumePeriod OR BarIndex < emaPeriod THEN valid = 0 ELSE // 1. Volatility filter with range cond1 = nATR >= minVolatility AND nATR <= maxVolatility   // 2. Liquidity filter with range cond2 = avgVolume >= minLiquidity AND avgVolume <= maxLiquidity   // 3. Moving Average proximity checks IF EnableMovingAverageCheck = 1 THEN emaFilter = nATRDistEmaX <= MaxNATRDistanceFromEMA ELSE emaFilter = 1 // Always pass if disabled ENDIF   IF EnableSMACheck = 1 THEN smaFilter = nATRDistSmaX <= MaxNATRDistanceFromSMA ELSE smaFilter = 1 // Always pass if disabled ENDIF   // Combined condition - ALL must be true valid = cond1 AND cond2 AND emaFilter AND smaFilter ENDIF   // Output result sorted by volatility SCREENER[valid] SORT BY nATR AS "Volatility (%)"

  

  David1998P

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  07/22/2025 at 4:16 PM #249021
  Iván

  The problem may be that you’re trying to calculate a 200-period exponential moving average with the free version of PRT. In the free version the screener has a capacity of 256 bars and in the premium 1024. Therefore the exponential moving average won’t be calculated correctly. You can easily check it:

  // --- Main Parameters --- emaPeriod = 200 // EMA period for proximity check smaPeriod = 200 // SMA period for proximity check ema=average[emaPeriod,1](close) sma=average[smaPeriod,0](close) // Output result sorted by volatility screener(ema as "EMA", sma as "SMA")

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  // --- Main Parameters --- emaPeriod = 200 // EMA period for proximity check smaPeriod = 200 // SMA period for proximity check   ema=average[emaPeriod,1](close) sma=average[smaPeriod,0](close)   // Output result sorted by volatility screener(ema as "EMA", sma as "SMA")

  Check the values obtained for the EMA and you’ll see that they’re not correct, whereas those for the SMA are.
  Solution: reduce the number of periods…

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  robertogozzi

  

  Iván

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  07/23/2025 at 11:43 AM #249048
  David1998P

  Since I compute distance between last close and its EMA with a period smaller than the 256 capacity, I do not understand why there is not enough data for accurate results.

  I could use a higher timeframe with lower MA period or purshase the premium version if capacity is the problem but I would like to understand why it is the problem in the first place.

  Can you clarify this please?

  Thank you

  

  David1998P

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  07/23/2025 at 12:02 PM #249049
  JS

  Hi,

  
  An EMA is a recursive filter where each value is calculated using previous EMA values…

  To achieve a stabilized and reliable calculation, approximately 3 times the chosen period is needed — in this case, 3 × 200 = 600 (history)candles…

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  Iván

  

  JS

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