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McGinley Dynamic

Created by John R. McGinley, the McGinley Dynamic is a more responsive variant of exponential moving average. [Discuss] 💬

// C# usage syntax (with Close price)
IEnumerable<DynamicResult> results =
  quotes.GetDynamic(lookbackPeriods, kFactor);

Parameters

lookbackPeriods int - Number of periods (N) in the moving average. Must be greater than 0.

kFactor double - Optional. Range adjustment factor (K). Must be greater than 0. Default is 0.6

Historical quotes requirements

You must have at least 2 periods of quotes, to cover the warmup and convergence periods. Since this uses a smoothing technique, we recommend you use at least 4×N data points prior to the intended usage date for better precision.

quotes is a collection of generic TQuote historical price quotes. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Pro tips

Use a kFactor value of 1 if you do not want to adjust the N value.

McGinley suggests that using a K value of 60% (0.6) allows you to use a N equivalent to other moving averages. For example, DYNAMIC(20,0.6) is comparable to EMA(20); conversely, DYNAMIC(20,1) uses the raw 1:1 N value and is not equivalent.

Response

IEnumerable<DynamicResult>

• This method returns a time series of all available indicator values for the quotes provided.
• It always returns the same number of elements as there are in the historical quotes.
• It does not return a single incremental indicator value.
• The first period will have a null value since there’s not enough data to calculate.

⚞ Convergence warning: The first 4×N periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.

DynamicResult

Date DateTime - Date from evaluated TQuote

Dynamic double - McGinley Dynamic

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods(qty)

See Utilities and helpers for more information.

Chaining

This indicator may be generated from any chain-enabled indicator or method.

// example
var results = quotes
    .Use(CandlePart.HL2)
    .GetDynamic(..);

Results can be further processed on Dynamic with additional chain-enabled indicators.

// example
var results = quotes
    .GetDynamic(..)
    .GetRsi(..);