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Moving Average Convergence / Divergence (MACD)

Created by Gerald Appel, MACD is a simple oscillator view of two converging / diverging exponential moving averages and their differences. [Discuss] 💬

chart for Moving Average Convergence / Divergence (MACD)

// C# usage syntax (with Close price)
IEnumerable<MacdResult> results =
  quotes.GetMacd(fastPeriods, slowPeriods, signalPeriods);

Parameters

fastPeriods int - Number of periods (F) for the faster moving average. Must be greater than 0. Default is 12.

slowPeriods int - Number of periods (S) for the slower moving average. Must be greater than fastPeriods. Default is 26.

signalPeriods int - Number of periods (P) for the moving average of MACD. Must be greater than or equal to 0. Default is 9.

Historical quotes requirements

You must have at least 2×(S+P) or S+P+100 worth of quotes, whichever is more, to cover the warmup and convergence periods. Since this uses a smoothing technique, we recommend you use at least S+P+250 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.

Response

IEnumerable<MacdResult>

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 S-1 slow periods will have null values since there’s not enough data to calculate.

⚞ Convergence warning: The first S+P+250 periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.

MacdResult

Date DateTime - Date from evaluated TQuote

Macd double - The MACD line is the difference between slow and fast moving averages (MACD = FastEma - SlowEma)

Signaldouble - Moving average of theMACDline

Histogram double - Gap between of the MACD and Signal line

FastEma double - Fast Exponential Moving Average

SlowEma double - Slow Exponential Moving Average

Utilities

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)
    .GetMacd(..);

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

// example
var results = quotes
    .GetMacd(..)
    .GetSlope(..);