Re: ELA Question: Entry as soon as MA xover vs at the close

["Gary Fritz" <fritz@xxxxxxxx>]

> Bob Fulks suggested an option of reverse engineering an indicator.
> But I am not 'fit and able' in this department. If anyone has the
> expertise, and is willing to reverse engineer say a MACD
> crossover.........? 

MACD(X,Y) = xaverage(c, X) - xaverage(c,Y)

xaverage(c, X) = Factor * C + (1 - Factor) * xaverage[1]

so MACD(X,Y) = 
  FactorX*C + (1-FactorX)*xavgX[1] - FactorY*C + (1-FactorY)*xavgY[1]

 = C*(FactorX-FactorY) + (1-FactorX)*xavgX[1] - (1-FactorY)*xavgY[1]

FactorX = 2/(X+1)
FactorY = 2/(Y+1)

At the close of bar N, you know xavgX and xavgY for bar N.  Those 
values will be the xavgX[1] and xavgY[1] on bar N+1.  So at the close 
of bar N you can calculate the value of C that will cause MACD to 
cross zero on bar N+1:

  0 = C*(FactorX-FactorY) + (1-FactorX)*xavgX - (1-FactorY)*xavgY
  (1-FactorY)*avgY - (1-FactorX)*avgX = C*(FactorX-FactorY)

so C =    (1-FactorY)*avgY - (1-FactorX)*avgX 
          -----------------------------------
                   (FactorX-FactorY)

is the value of Close that will cause the MACD to cross.

Somebody should check my math, but I think that's right.

Now if what you wanted was the *smoothed* MACD, that's another level 
of xaverage around the whole MACD definition above.  That will make 
the derivation a bit messier, and unfortunately I'm late for an 
appointment.  So I'll leave the derivation of that as an exercise for 
the student.  :-)

Gary