Z-score from EMA difference with Ratio Model

[svkuz]

Hello!

Firtly, congratulate with all work done, it's really helpful.

I have done some own tests to do backtests, and I found that your z-score its different than mine, using this backtest as a reference: https://www.pairtradinglab.com/backtests/Y-33ItOP-XTOENSI

Details:

• I am using Python to calculate all necessary values
• I am using library pandas_ta library to do the calculations of EMA and STD DEV (https://github.com/twopirllc/pandas-ta)

What could be wrong in my calculations of z-score to be near of yours?

I attached my dataframe exported to excel to compare.

Thank you again,
Best Regards.

[admin]

Probably the unstable period of EMA. EMA is an infinite-response filter, so you have to set the unstable period to "cut" the history.
https://ta-lib.org/d_api/ta_setunstableperiod.html

[svkuz]

Thank you for your answer.

I have tried this with 34 or 100 unstable period and it gives me the same z-score result.

Also, I tried changing compability and no way: https://github.com/TA-Lib/ta-lib/blob/main/src/ta_func/ta_EMA.c#L285

What else can be?

Thank you again,
Best Regards.

[admin]

You can take a look to PTL Trader implementation: https://github.com/quantverse/ptltrader