I am playing around with MACD. It is described here in German.
How does it looks like?
Macd consists of three signals: macd, macd signal and macd_buy_sell_signal.
To calculate it you need EMA(Period, yAbsolute):
double lastEma = yAbsolute[i];
if (i > 0)
lastEma = values[i - 1];
values[i] = yAbsolute[i] * 2.0 / (_Period + 1.0) + lastEma * (1.0 - 2.0/(_Period + 1.0));
To calculate MACD you need to make something like this:
MACD(period_slow, period_fast) is calulcated by:
double[] values1 = EMA(period_slow, yAbsolute);
double[] values1 = EMA(period_fast, yAbsolute);
return Enumerable.Range(0, values1.Length).Select(i => values1[i] - values2[i]).ToArray();
Next let's create code for an implementation of MACD_SIGNAL:
MACD_SIGNAL(period_slow, period_fast, period_signal, yAbsolute) is calculated by:
double[] values1 = MACD(period_slow, period_fast, yAbsolute)
return new EMA(period_signal, values1);
When to buy and when to sell? There is a strategy for that. When MACD hits MACD_Signals you buy or sell depending what hit first:
double values1 = MACD(period_slow, period_fast, yAbsolute)
double values 2= MACD_SIGNAL(period_slow, period_fast, period_signal, yAbsolute)
double[] values = new double[y.Length];
for (int i = 0; i < y.Length; i++)
{
values[i] = 0;
if (i > 0)
{
bool buy = values1[i - 1] < values2[i - 1] && values1[i] > values2[i];
bool sell = values1[i - 1] > values2[i - 1] && values1[i] < values2[i];
if (buy)
values[i] = 1;
else if (sell)
values[i] = -1;
}
}
That's how you implement MACD. Have fun!
What do you implement this in? It looks like JavaScript...
It is pseudocode but based on C# which I have used.
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