OPEN-SOURCE SCRIPT
Polyphase MACD (PMACD)
The Polyphase MACD (PMACD) uses polyphase decimation to create a continuous estimate of higher timeframe MACD behavior. The number of phases represents the timeframe multiplier - for example, 3 phases approximates a 3x higher timeframe.
Traditional higher timeframe MACD indicators update only when each higher timeframe bar completes, creating stepped signals that can miss intermediate price action. The PMACD addresses this by maintaining multiple phase-shifted MACD calculations and combining them with appropriate anti-aliasing filters. This approach eliminates the discrete jumps typically seen in higher timeframe indicators, though the resulting signal may sometimes deviate from the true higher timeframe values due to its estimative nature.
The indicator processes price data through parallel phase calculations, each analyzing a different time-offset subset of the data. These phases are filtered and combined to prevent aliasing artifacts that occur in simple timeframe conversions. The result is a smooth, continuous signal that begins providing meaningful values immediately, without requiring a warm-up period of higher timeframe bars.
The PMACD maintains the standard MACD components - the MACD line (fast MA - slow MA), signal line, and histogram - while providing a more continuous view of higher timeframe momentum. Users can select between EMA and SMA calculations for both the oscillator and signal components, with all calculations benefiting from the same polyphase processing technique.
Traditional higher timeframe MACD indicators update only when each higher timeframe bar completes, creating stepped signals that can miss intermediate price action. The PMACD addresses this by maintaining multiple phase-shifted MACD calculations and combining them with appropriate anti-aliasing filters. This approach eliminates the discrete jumps typically seen in higher timeframe indicators, though the resulting signal may sometimes deviate from the true higher timeframe values due to its estimative nature.
The indicator processes price data through parallel phase calculations, each analyzing a different time-offset subset of the data. These phases are filtered and combined to prevent aliasing artifacts that occur in simple timeframe conversions. The result is a smooth, continuous signal that begins providing meaningful values immediately, without requiring a warm-up period of higher timeframe bars.
The PMACD maintains the standard MACD components - the MACD line (fast MA - slow MA), signal line, and histogram - while providing a more continuous view of higher timeframe momentum. Users can select between EMA and SMA calculations for both the oscillator and signal components, with all calculations benefiting from the same polyphase processing technique.
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