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] 💬

// C# usage syntax (with Close price)
IReadOnlyList<MacdResult> results =
  bars.ToMacd(fastPeriods, slowPeriods, signalPeriods);

Parameters

param	type	description
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 price bars requirements

You must have at least 2×(S+P) or S+P+100 worth of bars, 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.

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

Response

IReadOnlyList<MacdResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• 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

property	type	description
Timestamp	DateTime	Date from evaluated TBar
Macd	double	The MACD line is the difference between slow and fast moving averages (MACD = FastEma - SlowEma)
Signal	double	Moving average of the MACD line
Histogram	double	Gap between the MACD and Signal line
FastEma	double	Fast Exponential Moving Average
SlowEma	double	Slow Exponential Moving Average

Utilities

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

See Utilities and helpers for more information.

Chaining

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

// example
var results = bars
    .Use(CandlePart.HL2)
    .ToMacd(..);

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

// example
var results = bars
    .ToMacd(..)
    .ToSlope(..);

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

MacdList macdList = new(fastPeriods, slowPeriods, signalPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  macdList.Add(bar);
}

// based on `ICollection<MacdResult>`
IReadOnlyList<MacdResult> results = macdList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
MacdHub observer = barHub.ToMacdHub(fastPeriods, slowPeriods, signalPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<MacdResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.