Using MACDSeries Histogram
Author: dag
Creation Date: 8/18/2009 12:48 PM
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JJJA

#1
How can I write a code to back-test the idea of using the slope(between bars)of the MACD histogram to enter and exit long and short trades ?
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Eugene

#2
Then we need to start with how do you define the slope?
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swuzy

#3
This is an idea I have toyed with as well.

If JJJA is agreeable, I would propose toying with (sorry, not a programmer) -

1. a sliding variable SellSlope to input the target to trigger a sell;
2. a sliding variable BuySlope to input the target to trigger a buy;
3. a sliding variable entry SlopeBars to specify the number of bars such that, TodaysBars - SlopeBars would generate StartSlopeBar

SlopeMACDHistogram = [(TodaysBarsMACDHistogram - StartSlopeBarsMACDHistogram) * SlopeBars] / 250 <? is 250 the number of trading days in a year?>

???
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Cone

#4
I don't think it makes a lot of sense to consider the slope of a 12/26-period MACD oscillator over 250 bars.

My take: smooth the historgram a little with a responsive filter, like Kalman, and take the 1 or 2-period difference -

CODE:
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JJJA

#5
Thank you for your help. I wish I knew enough about this programing to understand all that you have told me. I will study and try to see if this answers my question. In answer to Eugene's question, a line connecting one day's bar to the next creates a line with slope relative to the zero line on the histogram. It seems that buying long from zero on the bottom and selling at zero on top would be a good strategy. But I don't know whether the stock price corollates very well or whether whipsawing will cause to much buying and selling.