TRADERS’ TIPS
For this month’s Traders’ Tips, the focus is Vitali Apirine’s article in this issue, “Weekly & Daily MACD.” Here, we present the December 2017 Traders’ Tips code with possible implementations in various software.
The Traders’ Tips section is provided to help the reader implement a selected technique from an article in this issue or another recent issue. The entries here are contributed by software developers or programmers for software that is capable of customization.
In the article “Weekly & Daily MACD” in this issue, author Vitali Apirine introduces a novel approach to using the classic MACD indicator in a way that simulates calculations based on different timeframes while using just a daily-interval chart. He describes a number of ways to use this new indicator that allows traders to adapt it to differing markets and conditions.
Here, we are providing some TradeStation EasyLanguage code for an indicator based on the author’s ideas.
Indicator: WeeklyAndDailyMACD // TASC DEC 2017 // Weekly And Daily MACD // Vitali Apirine inputs: DailyFastLength( 12 ), DailySlowLength( 26 ), WeeklyFastLength( 60 ), WeeklySlowLength( 130 ) ; variables: DailyMACD( 0 ), WeeklyMACD( 0 ), RelativeDailyLine( 0 ) ; DailyMACD = MACD( Close, DailyFastLength, DailySlowLength ) ; WeeklyMACD = MACD( Close, WeeklyFastLength, WeeklySlowLength ) ; RelativeDailyLine = WeeklyMACD + DailyMACD ; if RelativeDailyLine Crosses over WeeklyMACD then Alert( "Relative Crossing Over Weekly" ) else if RelativeDailyLine Crosses under WeeklyMACD then Alert( "Relative Crossing Under Weekly" ) ; Plot1( WeeklyMACD, "Weekly MACD" ) ; Plot2( RelativeDailyLine, "Relative MACD" ) ; Plot3( 0, "Zero Line" ) ;
To download the EasyLanguage code, please visit our TradeStation and EasyLanguage support forum. The files for this article can be found here: https://community.tradestation.com/Discussions/Topic.aspx?Topic_ID=142776. The filename is “TASC_DEC2017.ZIP.” For more information about EasyLanguage in general, please see https://www.tradestation.com/EL-FAQ.
A sample chart is shown in Figure 1.
FIGURE 1: TRADESTATION. Here is a daily chart of Apple (AAPL) with the WeeklyAndDailyMACD indicator applied.
This article is for informational purposes. No type of trading or investment recommendation, advice, or strategy is being made, given, or in any manner provided by TradeStation Securities or its affiliates.
For this month’s Traders’ Tip, we’ve provided the study WD_MACD.efs based on Vitali Apirine’s article in this issue, “Weekly & Daily MACD.”
The study contains formula parameters that may be configured through the edit chart window (right-click on the chart and select edit chart). A sample chart is shown in Figure 2.
FIGURE 2: eSIGNAL. Here is an example of the study plotted on a daily chart of $NYA.
To discuss this study or download a complete copy of the formula code, please visit the EFS library discussion board forum under the forums link from the support menu at www.esignal.com or visit our EFS KnowledgeBase at www.esignal.com/support/kb/efs/. The eSignal formula script (EFS) is also available for copying & pasting here:
/*********************************
Provided By:
eSignal (Copyright c eSignal), a division of Interactive Data
Corporation. 2016. All rights reserved. This sample eSignal
Formula Script (EFS) is for educational purposes only and may be
modified and saved under a new file name. eSignal is not responsible
for the functionality once modified. eSignal reserves the right
to modify and overwrite this EFS file with each new release.
Description:
Weekly & Daily MACD by Vitali Apirine
Version: 1.00 10/11/2017
Formula Parameters: Default:
Fast Length 12
Slow Length 26
Multiplier 5
Notes:
The related article is copyrighted material. If you are not a subscriber
of Stocks & Commodities, please visit www.traders.com.
**********************************/
var fpArray = new Array();
function preMain(){
setPriceStudy(false);
setCursorLabelName("WMACD", 0);
setCursorLabelName("W&D MACD", 1);
setDefaultBarFgColor(Color.RGB(255,106,0), 1);
var x = 0;
fpArray[x] = new FunctionParameter("fast", FunctionParameter.NUMBER);
with(fpArray[x++]){
setLowerLimit(1);
setDefault(12);
setName("Fast Length");
}
fpArray[x] = new FunctionParameter("slow", FunctionParameter.NUMBER);
with(fpArray[x++]){
setLowerLimit(1);
setDefault(26);
setName("Slow Length");
}
fpArray[x] = new FunctionParameter("mult", FunctionParameter.NUMBER);
with(fpArray[x++]){
setLowerLimit(1);
setDefault(5);
setName("Multiplier");
}
}
var bInit = false;
var bVersion = null;
var xMACDD = null;
var xMACDW = null;
function main(fast, slow, mult){
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
if (getBarState() == BARSTATE_ALLBARS){
bInit = false;
}
if (!bInit){
xMACDD = macd(fast, slow, 1);
xMACDW = macd(fast * mult, slow * mult, 1);
addBand(0, PS_DASH, 1, Color.grey, 2);
bInit = true;
}
nMACDD = xMACDD.getValue(0);
nMACDW = xMACDW.getValue(0);
if (nMACDD != null && nMACDW != null){
return [nMACDW, (nMACDW + nMACDD)];
}
}
function verify(){
var b = false;
if (getBuildNumber() < 779){
drawTextAbsolute(5, 35, "This study requires version 10.6 or later.",
Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
null, 13, "error");
drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL=https://www.esignal.com/download/default.asp",
Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
null, 13, "upgrade");
return b;
}
else
b = true;
return b;
}
The W&D MACD oscillator discussed by Vitali Apirine in his article in this issue, “Weekly & Daily MACD,” combines the two MACD oscillators (weekly and daily) on a daily chart. The author suggests that relative daily MACD line crossovers, weekly and daily centerline crossovers, and divergences can be used to generate trading signals.
The latter (divergence detection) is the basis of our example trading system (Figure 3). A bearish divergence forms when a security records a higher high (or a series of them) and the weekly W&D MACD line forms a lower high (and vice versa for a bullish divergence). As Apirine notes in his article, weekly MACD divergences are more important than daily MACD divergences.
FIGURE 3: WEALTH-LAB. This example chart shows a divergence in Procter & Gambler stock (PG) with three tops that formed in a year.
After you update the TASCIndicators library to v2017.11 (or higher) in Wealth-Lab, the RelativeDailyMACD and WeeklyMACD indicators can be found under the TASC Magazine Indicators group. You can plot them on a chart or use them as an entry or exit condition in a rule-based strategy without having to program any code yourself.
You can run the C# strategy code provided here to make your own conclusions regarding the efficiency of indicator’s application to spot medium-term divergences on the chart.
C# Code
using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using TASCIndicators;
namespace WealthLab.Strategies
{
/*
Divergence: price sets a lowest low but the indicator fails to confirm the new low and turns up
*/
public class WDMACD_Divergence : WealthScript
{
private StrategyParameter paramHighest;
private StrategyParameter paramExitDays;
private StrategyParameter paramDailyLength1;
private StrategyParameter paramDailyLength2;
private StrategyParameter paramWeeklyLength1;
private StrategyParameter paramWeeklyLength2;
public WDMACD_Divergence()
{
paramHighest = CreateParameter("Highest high of", 130, 60, 300, 10);
paramExitDays = CreateParameter("Exit after", 20, 1, 50, 1);
paramDailyLength1 = CreateParameter("Daily Length 1",12,2,300,20);
paramDailyLength2 = CreateParameter("Daily Length 2",26,2,300,20);
paramWeeklyLength1 = CreateParameter("Weekly Length 1",60,2,300,20);
paramWeeklyLength2 = CreateParameter("Weekly Length 2",130,2,300,20);
}
protected override void Execute()
{
if( Bars.Scale != BarScale.Daily )
{
DrawLabel(PricePane, "Switch to Daily scale");
Abort();
}
bool peak = false; int peakBar = -1;
int high = paramHighest.ValueInt;
bool trough = false; int troughBar = -1;
int low = paramHighest.ValueInt;
int days = paramExitDays.ValueInt;
var RDM = RelativeDailyMACD.Series(Close,paramDailyLength1.ValueInt,
paramDailyLength2.ValueInt, paramWeeklyLength1.ValueInt,paramWeeklyLength2.ValueInt);
var WM = WeeklyMACD.Series(Close,paramWeeklyLength1.ValueInt,
paramWeeklyLength2.ValueInt);
HideVolume(); LineStyle solid = LineStyle.Solid;
ChartPane paneWDMACDPane1 = CreatePane(40,true,true);
PlotSeries( paneWDMACDPane1,RDM,Color.FromArgb(255,0,100,0),LineStyle.Solid,2);
PlotSeries( paneWDMACDPane1,WM,Color.FromArgb(255,0,0,0),LineStyle.Solid,2);
DrawHorzLine( paneWDMACDPane1,0,Color.Blue,LineStyle.Solid,1);
Lowest indicatorLowest = Lowest.Series( WM, low );
Lowest hLow = Lowest.Series( Low, low );
for(int bar = GetTradingLoopStartBar( 130 ); bar < Bars.Count; bar++)
{
if (!IsLastPositionActive)
{
/* 1st peak: both price and indicator */
if( peak == false )
{
if( ( High[bar-1] == Highest.Series( High, high )[bar-1] )
& ( WM[bar-1] == Highest.Series( WM, high )[bar-1] )
& TurnDown( bar, High ) & TurnDown( bar, WM ) )
{
peak = true; peakBar = bar-1;
}
}
if( peak == true )
{
if( ( High[bar] != Highest.Series( High, high )[bar] )
& ( WM[bar] == Highest.Series( WM, high )[bar] ) )
peak = false;
}
/* 2nd peak: price high not confirmed by the indicator */
if( peak == true )
{
if( ( High[bar-1] == Highest.Series( High, high )[bar-1] )
& ( High[bar-1] >= High[peakBar] )
& ( WM[bar-1] != Highest.Series( WM, high )[bar-1] )
& ( WM[bar-1] < WM[peakBar] ) &
TurnDown( bar, High ) & TurnDown( bar, WM ) )
{
peak = false;
ShortAtMarket( bar+1 );
/* Highlight divergence */
for (int b = peakBar; b <= bar; b++)
SetPaneBackgroundColor( paneWDMACDPane1, b, Color.FromArgb( 30, Color.LightCoral ) );
DrawLine( PricePane, peakBar, High[peakBar], bar-1, High[bar-1], Color.Red, solid, 2 );
DrawLine( paneWDMACDPane1, peakBar, WM[peakBar], bar-1, WM[bar-1], Color.Blue, solid, 2 );
}
}
/* 1st trough: both price and indicator */
if( trough == false )
{
if( ( Low[bar-1] == Lowest.Series( Low, low )[bar-1] )
& ( WM[bar-1] == Lowest.Series( WM, low )[bar-1] )
& TurnUp( bar, Low ) & TurnUp( bar, WM ) )
{
trough = true; troughBar = bar-1;
}
}
if( trough == true )
{
if( ( Low[bar] != Lowest.Series( Low, low )[bar] )
& ( WM[bar] == Lowest.Series( WM, low )[bar] ) )
trough = false;
}
/* 2nd trough: price low not confirmed by the indicator */
if( trough == true )
{
if( ( Low[bar-1] == Lowest.Series( Low, low )[bar-1] )
& ( Low[bar-1] <= Low[troughBar] )
& ( WM[bar-1] != Lowest.Series( WM, low )[bar-1] )
& ( WM[bar-1] > WM[troughBar] ) &
TurnUp( bar, Low ) & TurnUp( bar, WM ) )
{
trough = false;
BuyAtMarket( bar+1 );
/* Highlight divergence */
for (int b = troughBar; b <= bar; b++)
SetPaneBackgroundColor( paneWDMACDPane1, b,
Color.FromArgb( 30, Color.LightGreen ) );
DrawLine( PricePane, troughBar, Low[troughBar],
bar-1, Low[bar-1], Color.Blue, solid, 2 );
DrawLine( paneWDMACDPane1, troughBar, WM[troughBar],
bar-1, WM[bar-1], Color.Red, solid, 2 );
}
}
} else
{
/* Exit after N days */
Position p = LastPosition;
if ( bar+1 - p.EntryBar >= days )
ExitAtMarket( bar+1, p, "Timed" );
}
}
}
}
}
The weekly and daily MACD discussed in Vitali Apirine’s article in this issue can be easily implemented with a few of NeuroShell Trader’s 800+ indicators. Simply select new indicator from the insert menu and use the indicator wizard to create the following indicators:
Add2( MACD(Close,60,130), MACD(Close,12,26) )
Users of NeuroShell Trader can go to the Stocks & Commodities section of the NeuroShell Trader free technical support website to download a copy of this or any previous Traders’ Tips.
A sample chart is shown in Figure 4.
FIGURE 4: NEUROSHELL TRADER. This example NeuroShell Trader chart shows the weekly and daily MACD.
The AIQ code based on Vitali Apirine’s article in this issue, “Weekly & Daily MACD,” is provided at www.TradersEdgeSystems.com/traderstips.htm.
Figure 5 shows the daily & weekly MACD indicator on a chart of Apple Inc. (AAPL) during 2016 and 2017, when there was a change from a downtrend to an uptrend.
FIGURE 5: AIQ. Here is an example of the daily & weekly MACD on a chart of AAPL.
The code and EDS file can be downloaded from www.TradersEdgeSystems.com/traderstips.htm, or copied here:
!WEEKLY & DAILY MACD !Author: Vitali Apirine, TASC Dec 2017 !Coded by: Richard Denning 10/13/17 !www.TradersEdgeSystems.com !INPUTS: S is 12. L is 25. EMA1 is expavg([Close],S). EMA2 is expavg([Close],L). EMA3 is expavg([Close],S*5). EMA4 is expavg([Close],L*5). MACD is EMA1 - EMA2. MACDW is EMA3 - EMA4. rdMACD is MACD + MACDW.
The TradersStudio code based on Vitali Apirine’s article in this issue, “Weekly & Daily MACD,” is provided at www.TradersEdgeSystems.com/traderstips.htm.
Figure 6 shows the daily & weekly MACD indicator on a chart of Apple Inc. (AAPL) during 2013 and 2014, when there was a change from a downtrend to an uptrend.
FIGURE 6: TRADERSSTUDIO. The daily & weekly MACD is shown on a chart of AAPL. White line = daily MACD, yellow line = weekly MACD, and green line = relative daily MACD.
The code is shown here:
'WEEKLY & DAILY MACD 'Author: Vitali Apirine, TASC Dec 2017 'Coded by: Richard Denning 10/13/17 'www.TradersEdgeSystems.com function RD_MACD(len1,len2) Dim DMACD As BarArray Dim WMACD As BarArray DMACD = macd(C,len1,len2,0) WMACD = macd(C,len1*5,len2*5,0) RD_MACD = DMACD + WMACD End Function '------------------------------------ sub RD_MACD_IND(len1,len2) plot1(macd(C,len1,len2,0)) plot2(macd(C,len1*5,len2*5,0)) plot3(RD_MACD(len1,len2)) Plot4(0) End Sub '------------------------------------
The weekly & daily MACD strategy, as discussed in the article “Weekly & Daily MACD” by Vitali Apirine in this issue, is available for download at the following links for NinjaTrader 8 and NinjaTrader 7:
Once you have downloaded the file, you can import the strategy into NinjaTader 8 from within the Control Center by selecting Tools → Import → NinjaScript Add-On and then selecting the downloaded file for NinjaTrader 8. To import into NinjaTrader 7, from within the Control Center window, select the menu File → Utilities → Import NinjaScript and select the downloaded file.
You can review the strategy’s source code in NinjaTrader 8 by selecting the menu New → NinjaScript Editor → Strategies from within the Control Center window and selecting the WeeklyAndDailyMACDStrategy file. You can review the strategy’s source code in NinjaTrader 7 by selecting the menu Tools → Edit NinjaScript → Strategy from within the Control Center window and selecting the WeeklyAndDailyMACDStrategy file.
NinjaScript uses compiled DLLs that run native, not interpreted, which provides you with the highest performance possible.
A sample chart implementing the strategy is shown in Figure 7.
FIGURE 7: NINJATRADER. Here is the weekly & daily MACD strategy taking bullish divergence trades on a daily FDAX 12–17 chart between February 2014 and December 2016.
This month’s Traders’ Tip is based on the article by Vitali Apirine in this issue, “Weekly & Daily MACD.”
In the article, the author proposes a technical indicator comprised of linearly adding a long-term and short-term MACD to better capture divergences with price action and periods’ persistence momentum. Periods for the indicator above the central line when approaching identified resistance might imply continued momentum through those levels, and vice versa when below the line.
The Updata code based on this article is in the Updata library and may be downloaded by clicking the custom menu and indicator library. Those who cannot access the library due to a firewall may paste the code shown here into the Updata custom editor and save it.
'Weekly & Daily MACD 'Ref : Stocks & Commodities Magazine, Dec 17 DISPLAYSTYLE 2LINES INDICATORTYPE CHART NAME MACD PARAMETER "MACD Period 1" #PERIOD1=12 PARAMETER "MACD Period 2" #PERIOD2=26 PARAMETER "MACD Period 3" #PERIOD3=60 PARAMETER "MACD Period 4" #PERIOD4=130 @MACD1=0 @MACD2=0 COLOUR2 RGB(200,0,0) FOR #CURDATE=#PERIOD1+#PERIOD2 TO #LASTDATE 'INDICATORS @MACD1=MACD(#PERIOD1,#PERIOD2,E) @MACD2=MACD(#PERIOD3,#PERIOD4,E) @PLOT=@MACD1+@MACD2 @PLOT2=0 NEXT
FIGURE 8: UPDATA. Here, the weekly & daily MACD is applied to the SPY ETF of daily resolution.
In “Weekly & Daily MACD” in this issue, Vitali Apirine presents another article about MACD. The code listing here shows a ready-to-use formula. To adjust parameters, right-click on the chart and select parameters from the context menu.
LISTING 1.
l1 = Param("Length1", 60, 1, 100 );
l2 = Param("Length2", 130, 1, 100 );
l3 = Param("Length3", 12, 1, 100 );
l4 = Param("Length4", 26, 1, 100 );
wm = EMA( C, l1 ) - EMA( C, l2 );
dm = EMA( C, l3 ) - EMA( C, l4 );
Plot( wm, "WM"+_PARAM_VALUES(), colorREd );
Plot( wm+dm, "WM+DM", colorGreen );
Plot( 0, "", colorBlue, styleNoLabel );
A sample chart is shown in Figure 9.
FIGURE 9: AMIBROKER. Here is a daily chart of the S&P 500 (upper pane) with the WM-MACD shown in the lower pane, replicating the chart from Vitali Apirine’s article in this issue.
We’re making available a file for download within the Trade Navigator library to make it easy for users to implement the strategy discussed in “Weekly & Daily MACD” by Vitali Apirine in this issue. The file name is “SC201712.” To download it, click on Trade Navigator’s blue telephone button, select download special file, and replace the word “upgrade” with “SC201712” (without the quotes). Then click the start button. When prompted to upgrade, click the yes button. If prompted to close all software, click on the continue button. Your library will now download.
This library contains two indicators: “W&D MACD” and “Weekly MACD.” The TradeSense code for each of these indicators is shown in Figures 10 and 11, respectively.
FIGURE 10: TRADE NAVIGATOR, W&D MACD. TradeSense code is shown for recreating the W&D MACD indicator.
FIGURE 11: TRADE NAVIGATOR, WEEKLY MACD. TradeSense code is shown for recreating the weekly MACD indicator.
Manually creating indicators
If you would like to create these indicators manually, click on the edit dropdown
menu, open the trader’s toolbox (or use CTRL + T) and click on the functions tab.
Next, click on the new button, and a new function dialog
window will open. In its text box, input the code for the indicator. Ensure
that there are no extra spaces at the end of each line. When completed, click
on the verify button. You may be presented with an add inputs pop-up
message if there are variables in the code. If so, click the yes button,
then enter a value in the default value column. If all is well, when
you click on the function tab, the code you entered will convert to
italic font. Click on the save button and type a name for the indicator.
Adding to your chart
Once you have the indicators created, you can insert them onto your chart by
opening the charting dropdown menu, selecting the add to chart command,
then, on the indicators tab, find your named indicator, select it,
then click on the add button. Repeat this procedure for additional
indicators as well if you wish.
Users may contact our technical support staff by phone or by live chat if any assistance is needed in creating or using the indicators.
A sample chart implementing the indicator is shown in Figure 12.
FIGURE 12: TRADE NAVIGATOR. The W&D MACD is shown on a sample chart.
Vitali Apirine’s article in this issue, “Weekly & Daily MACD,” starts with two MACD series created with different lookback lengths. He then compares and combines these MACD series to investigate their ability to track trend strength, provide early warning of trend changes, and perhaps predict trend strength after the trend change.
The chart clutter controls in Excel allow us to mix and match these MACD series similar to what Apirine has done in his article (see Figure 13).
FIGURE 13: EXCEL. This sample chart approximates Figure 4 from Vitali Apirine’s article in this issue.
The user controls area can be used to investigate other MACD lookback intervals.
In his article in this issue, Apirine has wrung a lot of potential untapped power out of a simple concept. Enjoy!
The spreadsheet file for this Traders’ Tip can be downloaded here. To successfully download it, follow these steps:
Postscript: Changes to the Yahoo Finance website impacted the history download interface on which these Traders’ Tips spreadsheets depended. The old Yahoo history interface ceased to exist and with its demise, the VBA code that performed the necessary historical price data retrieval could no longer function.
The spreadsheet I’m presenting this month incorporates a first working cut at clearing the hurdles necessary to access the redesigned Yahoo history download interface.
This spreadsheet will not download data for Excel on a Macintosh platform. I am hoping to get these Traders’ Tips working for Excel in the Macintosh environment for future Traders’ Tips.