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Hi cav
For your interest here's a 5-bar rolling frame MACD. Frame boundaries are based on the last bar of
data.
{Rolling 5-Bar-Frame MACD}
{2005 Roy Larsen, rlarsen@xxxxxxxxxxxxxx}
N:=Input("MACD Signal Frames",1,19,9);
BarCount:=LastValue(Cum(1))-Cum(1);
J:=Frac(BarCount/5)=0; {end of frame}
K:=ValueWhen(1,J,C); {frame CLOSE}
X:=0.15; Y:=0.075; N:=2/(N+1);
X:=If(Cum(J>0)=1,K,ValueWhen(1,J,PREV)*(1-X)+K*X);
Y:=If(Cum(J>0)=1,K,ValueWhen(1,J,PREV)*(1-Y)+K*Y);
R:=X-Y;
Z:=If(Cum(J>0)=1,R,ValueWhen(1,J,PREV)*(1-N)+R*N);
R; {MACD}
Z; {Signal}
Change the BarCount variable to this to tie frame boundaries to the first bar of data in a chart or
exploration.
BarCount:=Cum(1);
> Thanks for the input. Understand what you mean about "most of the
> code defining the weekly timeframe" .. lol, tried unpicking it, but
> haven't done it right.
Defining frame boundries for weekly data means identifying the first and last bar of each week, and
compensating when the last bar is other than Friday. To replicate MetaStock's weekly data the last
week must also be dynamic - i.e. the end of the frame rolls from Monday to Friday. That in itself is
something of a problem. Consider the Easter holiday weekend when both Friday and Monday are
non-trading days. Calculating an EMA, for example, is a little tricky when both Thursday and the
following Tuesady must each be regarded as the end of their respective weeks, assuming Tuesday is
the last bar of data. Just using Tuesday to signal a new week, and looking back to the previous bar
for the end of the previous week isn't sufficient to retrieve the two data samples required.
Would a commented Weekly MACD code help your understanding of how the weekly timing mechanism works?
> I take your point about tying the frame to the first bar - no
> point. Sorry if this sounds dumb, but by tying the frame to the
> last bar - yes, every new bit of data will change the picture every
> day, but isn't this what happens in a moving average anyway?
No it isn't what happens with a moving average. Existing values in a moving average stay fixed as
new data is added, regardless of the periodicity, because the contents of each frame (bar or week)
stays fixed. A rolling frame keeps moving the start and end points of each frame. It's quite
different.
> I guess where my thinking is leading me is that a Mon-Fri MACD is a
> bit artificial? Fridays trend change is relevant to the following
> Monday? So why set up the frame as Mon-Fri, rather than the last 5
> trading days? Any views would be most welcome ..
Maybe, but I think not. I guess most of the worlds population base their activity on a very rigid
7-day cycle. Everyone has a start of the week, and everyone has a finish of the week. This is so
deeply ingrained into our psyche that it has a huge influence on how traders and everyone else acts.
Kind regards
Roy
www.metstocktips.co.nz
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