Стратегия для турбо опционов «Vidya» используем индикатор MACD

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MACD All MAs 14 types

MACD All MAs-14 — это индикатор MACD, в котором помимо обычных параметров MACD (рассчитанного по EMA) можно указать один из 14 тип скользящих средних, который будет использоваться.

Для выбора доступно 9 стандартных MA из MetaTrader 5, — SMA, EMA, SMMA, LWMA, DEMA, TEMA, Frama, VIDYA, AMA, TRIX, а также 4 нестандартных — LRMA, HMA, JMA, AFIRMA.

Общие параметры

  • Method MA — тип скользящей средней, которая будет отображаться на графике.
  • Period slow MA — количество баров для расчета медленной MA для MACD.
  • Period fast MA — количество баров для расчета быстрой MA для MACD.
  • Period signal — период сглаживания сигнала (EMA (slowMA-fastMA)).
  • Applied Price — тип цены (close, high, low . ).
  • TimeFrame — показывать MA на разных таймфреймах графика.

Преимущества использования

Большинство ручных и автоматических систем используют пересечение скользящих средних или расстояние между ними. Индикатор MACD показывает расстояние между скользящими средними.

MACD All MAs-14 позволяет выбирать тип MA и использовать его как параметр для оптимизации. При использовании индикатора в своей стратегии выведите параметр «Method MA» как внешнюю переменную. Стратегия не будет работать с MACD по EMA, но будет прибыльна при использовании MACD VIDYA или AMA. Если вы разрабатываете советник, в его коде должно быть следующее перечисление: .

Variable Index Dynamic Average

Технический индикатор Скользящая Средняя с Динамическим Периодом Усреднения (Variable Index Dynamic Average, VIDYA) был разработан Тушаром Чендом (Tushar Chande) и представляет собой оригинальную методику расчета экспоненциальной скользящей средней (EMA) с динамически меняющимся периодом усреднения. Период усреднения зависит от волатильности рынка, в качестве меры волатильности был выбран осциллятор Chande Momentum Oscillator (CMO). Данный осциллятор измеряет отношение между суммой положительных приращений и суммой отрицательных приращений за определенный период (период CMO). Значение CMO используется в качестве коэффициента к сглаживающему фактору EMA. Таким образом, индикатор VIDYA имеет два параметра настройки: период осциллятора CMO и период сглаживания экспоненциальной скользящей средней (период EMA).


Применение

ТОП лучших брокеров для торговли бинарными опционами:
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Обычно в торговых системах применяют не сам индикатор VIDYA, а верхние и нижние границы (Upper band & Lower band), отстоящие на N% выше и ниже от VIDYA. Интерпретация индикатора для получения торговых сигналов в таком виде производится так же как и для индикатора Bollinger Bands®.

Расчет

Стандартная экспоненциальная скользящая средняя рассчитывается по формуле:

EMA(i) = Price(i) * F + EMA(i-1)*(1-F)

F = 2/(Period_EMA+1) — фактор сглаживания;
Period_EMA — период усреднения EMA;
Price(i) — текущая цена;
EMA(i-1) — предыдущее значение EMA.

Значение Variable Index Dynamic Average вычисляется аналогично с использованием CMO:

VIDYA(i) = Price(i) * F * ABS(CMO(i)) + VIDYA(i-1) * (1 — F* ABS(CMO(i)))

ABS(CMO(i)) — абсолютное текущее значение Chande Momentum Oscillator;
VIDYA(i—1) — предыдущее значение VIDYA.

Значение CMO вычисляется по формуле:

CMO(i) = (UpSum(i) — DnSum(i))/(UpSum(i) + DnSum(i))

UpSum(i) = текущая сумма положительных приращений цены за период;
DnSum(i) = текущая сумма отрицательных приращений цены за период.

MACD Indicator

Tutorial About moving averages and MACD indicator in Technical Analysis. How to use MACD on stock charts to generate signals. About MACD indicator and its role in technical analysis — chart examples of how it could be used in technical analysis to generate signals.

Technical Analysis and Proprietary Indicators

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Technical Analysis

Technical Analysis, Studies, Indicators:

Description

In technical analysis the MACD (Moving Average Convergence/Divergence) is a indicator that shows the relationship between two moving averages. It was first implemented by Gerald Appel in 1970s and later in 1986 MACD Histogram was added to MACD by Thomas Aspray.

The MACD is simple and reliable. It is calculated as a difference between the fast and slow moving averages. The historically popular is the difference between a security’s 26-day and 12-day Exponential Moving Averages (EMAs). However, the MACD setting may greatly differ from a stock to stock and from a timeframe to a timeframe. Different moving averages (simple, exponential, weighted and etc.) could be used as well.

MACD is an oscillator and is plotted as a line that moves above and below zero line (center line). On index and stock charts, MACD consists of three lines — MACD itself, exponential moving average applied to MACD and used as a signal line and MACD Histogram. The MACD-Histogram represents the difference between the MACD and its signals line (EMA). If the value of MACD is larger than the value of its EMA signal, then the value on the MACD-Histogram will be positive. Conversely, if the value of MACD is less than its EMA signal, then the value on the MACD-Histogram will be negative. The MACD histogram makes centerline crossovers and divergences more easily identifiable. On the Nasdaq 100 chart below you may see an example of MACD.

Chart 1: MACD (Moving Average Convergence/Divergence)

You have to understand that MACD is lagging indicator and the lag depends on the bar period setting. The lag could be reduced by selecting smaller MACD’s bar period setting, yet MACD line will become choppier. Controversially, MACD’s bar period setting could be increase to make MACD line smoother which will increase the lag. The art of technical analysis is to find setting that would satisfy you need.

Technical Analysis, Signals, Trading Systems

By measuring the difference between two Exponential Moving Averages (EMAs), MACD can be positive or negative. A positive MACD indicates that the Fast EMA is trending above the Slow EMA, indicating a bullish period. A negative MACD indicates that the fast EMA is trending below the slow EMA, indicating a bearish period. When the faster moving average crosses the slower moving average — MACD crosses over centerline.

The basic mechanics behind MACD is comparison of two moving averages. Fast MA (MA with smaller bar period setting) reacts faster on the changes in price by reflecting smaller shorter-term trends while Slow MA (MA with bigger bar period settings) has bigger lag and reveals longer-term trend. Since Fast MA reacts on the price move faster, during an up-trend it rises faster than the Slow MA and during a down-trend it slides down faster than the Slow MA. Basically, MACD compares shorter-term trend to the longer-term trend. Shorter-term trend (Fast MA) may move up and down, yet, while it fluctuates above Slow MA (MACD > 0) it is a sign of a longer-term bullish trend (trend defined by Slow MA). Respectfully, as long as Fast MA fluctuates below Slow MA (MACD Important: MACD is based on the moving averages and it is a lagging indicator. It follows the trend rather than predicting it. It is still a good indicator, yet, if it is does not react on the price trend’s reversal as you would expect, then you may consider changing this indicator’s bar period setting. During the periods of high volatility price makes trend changes faster and stronger. In periods of low volatility price tends to change its trend slower. Respectfully it should be logical to use different MACD settings for different periods of volatility. That is why it is highly recommended monitoring volatility when MACD is used to generated trading signals. ATR (Average True Rage) is one of the most used technical indicators to track volatility level.

There are two ways of adjusting MACD to volatility. As a rule during longer-term down-trends (on higher time-frames) when analyzed stock (index or ETF) becomes highly volatile, a trader may prefer to increase MACD’s bar period in order to avoid strong fluctuations and choppy trading. On the other hand, during the same longer-term down-trends when volatility is high, on smaller intraday timeframes, another trader could be willing to cache these small fluctuations in order to benefit from strong swings. In this case this trader could be considering reducing MACD’s bar period setting.

As was already mentioned above, MACD is a lagging indicator, however, there is a way to use it as a leading indicator to predict future trend reversals. In many cases technical analysis is looking for a divergence between an indicator and a stock (index, ETF) price movements. This method of analysis has become quite popular and my traders and analysts use MACD for this. Technical analysis would say to:

  • Expect a trend reversal down in the near future when negative divergence is noted — price makes new highs, yet, MACD fails to make a new high,
  • Expect a trend reversal up in the near future when positive divergence is noted — price drops to a new low, yet, MACD fails to make a new low.

On the DJI chart below (chart #4) you may see an illustration of the negative divergence with further trend reversal down and on the other DJI chart (chart #5) you may see an example of positive divergence with following trend reversal up.

Chart #4: DJI index and negative divergence of price and MACD Histogram

Chart #5: DJI index and positive divergence of price and MACD Histogram

In technical analysis also is looking for divergence between MACD and other technical indicators. It becomes more and more popular to compare MACD and Stochastics trends, to compare MACD and RSI (Relative Strength Index) trends and etc.

MACD Formula and Calculations

MACD consist of three components: MACD line, MACD Signal Line and MACD Histogram:

MACD = Fast Moving Average — Slow Moving Average

MACD Signal = EMA (MACD)

MACD Histogram= MACD — MACD Signal

By V. K. for MarketVolume.com

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