How to determine Rate of Change from MACD?

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oem7110
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How to determine Rate of Change from MACD?

Post by oem7110 » Wed Jul 31, 2013 11:38 pm

Does anyone have any suggestions?

Thanks in advance for any suggestions

bradypreston
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Post by bradypreston » Wed Aug 14, 2013 6:54 am

if (instrument.macd - instrument.macd[5])/5 then

Endif

oem7110
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Post by oem7110 » Wed Aug 14, 2013 7:40 am

bradypreston wrote:if (instrument.macd - instrument.macd[5])/5 then

Endif
Could you please describe more about what instrument.macd[5] is ?

Thanks you very much for any suggestions

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Post by bradypreston » Wed Aug 14, 2013 7:43 am

Under indicators you make a macd indicator. I named my indicator macd. The macd[5] is the macd value 5 bars ago.

oem7110
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Post by oem7110 » Wed Aug 14, 2013 8:57 am

bradypreston wrote:Under indicators you make a macd indicator. I named my indicator macd. The macd[5] is the macd value 5 bars ago.
if (instrument.macd - instrument.macd[5])/5 then

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

fab1usa1
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Post by fab1usa1 » Wed Aug 14, 2013 1:47 pm

I think that division by five changes the measurement units to "per day".

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Post by fab1usa1 » Wed Aug 14, 2013 2:48 pm

Move along, nothing to see here.
Last edited by fab1usa1 on Thu Aug 15, 2013 8:27 am, edited 1 time in total.

bradypreston
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Post by bradypreston » Wed Aug 14, 2013 3:19 pm

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

fab1usa1
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Post by fab1usa1 » Wed Aug 14, 2013 4:10 pm

Yatta

Tim Arnold
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Post by Tim Arnold » Thu Aug 15, 2013 7:46 am

It enables you to use the same measure to compare multiple markets.
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.
Last edited by Tim Arnold on Thu Aug 15, 2013 8:20 am, edited 1 time in total.

fab1usa1
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Post by fab1usa1 » Thu Aug 15, 2013 7:48 am

Yes, I realized that truth after I posted it. I tried to revoke my post but was not able to find a way to do that.

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Post by Tim Arnold » Thu Aug 15, 2013 8:25 am

I tried to revoke my post but was not able to find a way to do that.
You probably can't delete the post, but you should be able to edit.

oem7110
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Post by oem7110 » Sun Sep 22, 2013 2:55 am

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
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.

(instrument.macd - instrument.macd[5])/5

Does anyone have any suggestions?

Thanks everyone very much for any suggestions :>

doubleR
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Post by doubleR » Tue Oct 22, 2013 3:41 pm

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

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Post by Roger Rines » Tue Oct 22, 2013 4:15 pm

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 Z-Score function that can be seen as a indicator in the image below with the bands that a 2-sigma from its central tendency.

Give your thoughts a little more time to think about what you are hoping to achieve and consider if the built-in Z-Score might be a useful tool.

NOTE: 23-Oct-2013
Z-Score 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.
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Trading Blox 4.x ZScore Sigma Function.
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