OPEN-SOURCE SCRIPT
Volatility Adjusted MACD
Mis à jour
MACD, short for moving average convergence/divergence, is a trading indicator used in technical analysis of securities prices, created by Gerald Appel in the late 1970s.[1] It is designed to reveal changes in the strength, direction, momentum, and duration of a trend in a stock's price.
The MACD indicator[2] (or "oscillator") is a collection of three time series calculated from historical price data, most often the closing price. These three series are: the MACD series proper, the "signal" or "average" series, and the "divergence" series which is the difference between the two. The MACD series is the difference between a "fast" (short period) exponential moving average (EMA), and a "slow" (longer period) EMA of the price series. The average series is an EMA of the MACD series itself.
This version of MACD follows the work of Alex Spiroglou, DipTA(ATAA), CFTe in his 2022 paper that was awarded Charles H. Dow Award by CMT Association . The paper is available on https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4099617 or on website.of CMT Association.
Please refer to the paper for details on construction and trading rules . I personally find the volatility adjusted version as described in this paper more responsive in terms of signals and divergences.
The MACD indicator[2] (or "oscillator") is a collection of three time series calculated from historical price data, most often the closing price. These three series are: the MACD series proper, the "signal" or "average" series, and the "divergence" series which is the difference between the two. The MACD series is the difference between a "fast" (short period) exponential moving average (EMA), and a "slow" (longer period) EMA of the price series. The average series is an EMA of the MACD series itself.
This version of MACD follows the work of Alex Spiroglou, DipTA(ATAA), CFTe in his 2022 paper that was awarded Charles H. Dow Award by CMT Association . The paper is available on https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4099617 or on website.of CMT Association.
Please refer to the paper for details on construction and trading rules . I personally find the volatility adjusted version as described in this paper more responsive in terms of signals and divergences.
Notes de version
MACD, short for moving average convergence/divergence, is a trading indicator used in technical analysis of securities prices, created by Gerald Appel in the late 1970s. It is designed to reveal changes in the strength, direction, momentum, and duration of a trend in a stock's price.
The MACD indicator (or "oscillator") is a collection of three time series calculated from historical price data, most often the closing price. These three series are: the MACD series proper, the "signal" or "average" series, and the "divergence" series which is the difference between the two. The MACD series is the difference between a "fast" (short period) exponential moving average (EMA), and a "slow" (longer period) EMA of the price series. The average series is an EMA of the MACD series itself.
This version of MACD follows the work of Alex Spiroglou, DipTA(ATAA), CFTe in his 2022 paper that was awarded Charles H. Dow Award by CMT Association . The paper is available on papers.ssrn.com/sol3/papers.cfm?abstract_id=4099617 or on website.of CMT Association.
Please refer to the paper for details on construction and trading rules . I personally find the volatility adjusted version as described in this paper more responsive in terms of signals and divergences.
This is the updated version of my MACD- V Indicator. I have now added divergences ( both hidden and regular). Dr Alexander Elder refers to weekly MACD Divergences as one of the strongest momentum Divergence signals in his book New Trading for Living.
Also added the levels as per comment from Alex Spiroglou, author of this indicator
Script open-source
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