Moving Average Convergence

The Moving Average Convergence/Divergence (Macd) is the difference between two Exponential Moving Averages(Ema). The Signal line is an Exponential Moving Average of the Macd. The Macd signals trend changes and indicates the start of new trend direction. High values indicate overbought conditions, low values indicate oversold conditions. Divergence with the price indicates an end to the current trend, especially if the Macd is at extreme high or low values.

Market Signals

When the Macd line crosses above the signal line a buy signal is generated. When the Macd crosses below the signal line a sell signal is generated. It is also popular to buy/sell when the Macd goes above/below zero.

Calculation

Chart Example

Moving Average Convergence 004

Implementation and Usage

To calculate Macd in a strategy you can use the following constructors:

Macd – sets default values: fastPeriod = 12, slowPeriod = 26, signalPeriod = 9.

Macd(Int32, Int32, Int32) – sets periods for indicator

Use

MACD

Signal

Histogram

properties to get current value.

Example

Copy

 1// Create new instance
 2Macd macd = new Macd(14, 28, 9);
 3
 4// Number of stored values
 5macd.HistoryCapacity = 2;
 6
 7// Add new data point
 8macd.Add(CurrentPrice);
 9
10// Get indicator value
11double IndMACD = macd.MACD;
12double IndSignal = macd.Signal;
13double IndHistogram = macd.Histogram;
14
15// Get previous values
16double IndPrevMACD = macd[1].MACD;
17double IndPrevSignal = macd[1].Signal;
18double IndPrevHistogram = macd[1]. Histogram;
19Checks for Signal line crosses MACD line:
20using FinAnalysis.TA;
21using FinAnalysis.Base;
22Macd macd;
23
24public override void OnInit()
25{
26    //...
27    // Create new instance, MACD(14, 28, 9)
28    macd = new Macd(14, 28, 9);
29
30    // Store 2 indicator values
31    macd.HistoryCapacity = 2;
32    //...
33}
34
35public override void OnBarClose()
36{
37    //...
38    macd.Add(CurrentPrice);
39
40    // Checks for values in memory
41    if (macd.HistoryCount >= 2)
42    {
43        // Checks for cross
44        if (macd.MACD > macd.Signal && macd[1].MACD <= macd[1].Signal)
45        {
46            // Long position
47        }
48
49
50
51        if (macd.MACD < macd.Signal && macd[1].MACD >= macd[1].Signal)
52        {
53            // Short position
54        }
55    }
56    //...
57}