OPEN-SOURCE SCRIPT
Updated Volatility Adjusted MACD
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.
Release Notes
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
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
For quick access on a chart, add this script to your favorites — learn more here.
RayonMarkets
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.
Open-source script
In true TradingView spirit, the creator of this script has made it open-source, so that traders can review and verify its functionality. Kudos to the author! While you can use it for free, remember that republishing the code is subject to our House Rules.
For quick access on a chart, add this script to your favorites — learn more here.
RayonMarkets
Disclaimer
The information and publications are not meant to be, and do not constitute, financial, investment, trading, or other types of advice or recommendations supplied or endorsed by TradingView. Read more in the Terms of Use.