How to determine Rate of Change from MACD?
How to determine Rate of Change from MACD?
Does anyone have any suggestions?
Thanks in advance for any suggestions
Thanks in advance for any suggestions

 Roundtable Fellow
 Posts: 50
 Joined: Tue Jul 30, 2013 6:18 pm

 Roundtable Fellow
 Posts: 50
 Joined: Tue Jul 30, 2013 6:18 pm
if (instrument.macd  instrument.macd[5])/5 thenbradypreston wrote:Under indicators you make a macd indicator. I named my indicator macd. The macd[5] is the macd value 5 bars ago.
If using macd value (current)  mach value (5 bars ago), then could you please give me any suggestions on why it divided by 5?
Do you have any suggestions?
Thanks you very much for any suggestions

 Roundtable Fellow
 Posts: 50
 Joined: Tue Jul 30, 2013 6:18 pm

 Site Admin
 Posts: 8501
 Joined: Tue Apr 06, 2004 1:41 pm
 Location: Boston, MA
 Contact:
Using raw prices or raw price change like that does not allow for comparing across multiple markets, and is not volatility adjusted. We usually use the ATR as part of the formula for this purpose.It enables you to use the same measure to compare multiple markets.
Last edited by Tim Arnold on Thu Aug 15, 2013 8:20 am, edited 1 time in total.

 Site Admin
 Posts: 8501
 Joined: Tue Apr 06, 2004 1:41 pm
 Location: Boston, MA
 Contact:
I would like to know whether it is possible to use percentage change in measuring rate of change, but the following approach would get the problem on handling the change in percentage.bradypreston wrote:I divided by 5 because that is the formula for rate of change. 5 is the time parameter
the formula for rate of change is
vertical change/horizontal change
(instrument.macd  instrument.macd[5])/5
Does anyone have any suggestions?
Thanks everyone very much for any suggestions :>
technically
(instrument.macd  instrument.macd[5])/5
is not a "rate of change"... more like "velocity", how much macd goes up on average in the last five days
rate of change would be
instrument.macd
(   1 ) * 100
instrument.macd[5]
this is a proper % rather than a number linked to the level of the time series
(instrument.macd  instrument.macd[5])/5
is not a "rate of change"... more like "velocity", how much macd goes up on average in the last five days
rate of change would be
instrument.macd
(   1 ) * 100
instrument.macd[5]
this is a proper % rather than a number linked to the level of the time series

 Roundtable Knight
 Posts: 1946
 Joined: Wed Oct 06, 2004 10:52 am
 Location: San Jose, CA
MACD was designed as a directional indicator and it is implemented as an oscillation to improve its readability and reduce the lag that smoothed indicators suffer.
When trying to understand the state of an indicator sometimes it is often helpful to look at that indicator across a distributions of how it has generated results over a previous period of calculations.
When you asked about the percentage of change of an indicator it implied you are looking for something that might be unusual to see if a percentage change might have any predictive value, or unusual in terms of how it compared to other instruments. Discovering of unusual is often a useful and it is a process used in the Bollinger System as a trigger to send an order to get in, and or out.
When looking at results I find it helpful to understand if the current results are an aberration or just more of the usual results of an indicator. Unusual in a distribution is often viewed through the number of standard deviations a value is from the distribution's modal or central tendency. Trading Blox version 4.x provides a new ZScore function that can be seen as a indicator in the image below with the bands that a 2sigma from its central tendency.
Give your thoughts a little more time to think about what you are hoping to achieve and consider if the builtin ZScore might be a useful tool.
NOTE: 23Oct2013
ZScore Plot is a distribution display of the Average True Range Values. It could just as easily be the MACD values, or the MACD rate of movement values.
When trying to understand the state of an indicator sometimes it is often helpful to look at that indicator across a distributions of how it has generated results over a previous period of calculations.
When you asked about the percentage of change of an indicator it implied you are looking for something that might be unusual to see if a percentage change might have any predictive value, or unusual in terms of how it compared to other instruments. Discovering of unusual is often a useful and it is a process used in the Bollinger System as a trigger to send an order to get in, and or out.
When looking at results I find it helpful to understand if the current results are an aberration or just more of the usual results of an indicator. Unusual in a distribution is often viewed through the number of standard deviations a value is from the distribution's modal or central tendency. Trading Blox version 4.x provides a new ZScore function that can be seen as a indicator in the image below with the bands that a 2sigma from its central tendency.
Give your thoughts a little more time to think about what you are hoping to achieve and consider if the builtin ZScore might be a useful tool.
NOTE: 23Oct2013
ZScore Plot is a distribution display of the Average True Range Values. It could just as easily be the MACD values, or the MACD rate of movement values.
 Attachments

 Trading Blox 4.x ZScore Sigma Function.
 TB4_ZScore Indicator.png (18.54 KiB) Viewed 8952 times