MACD Convergence Divergence by Popov

2602 downloads / 1288 views / Created: 24.08.2015
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Indicator Description

MACD Convergence Divergence indicator compares two MA lines calculated on the MACD Histogram value and the market price.

We have Divergence when both MA are moving in opposite directions:
- MACD MA rises and Market MA falls; or
- MACD MA falls and Market MA rises.

We have Convergence when both MA are moving in equal direction:
- MACD MA rises and Market MA rises; or
- MACD MA falls and Market MA falls.

This indicator gives equal signals for both long and short positions. For example, if there is a Convergence, it allows both opening long and short positions. It means that we can use this indicator for an additional filter. It cannot determine the position direction alone.

The indicator can be placed in Opening Logic Condition slot and in Closing Logic Condition.

Comments

Fixed MA Base Price.
using System; using System.Drawing; using ForexStrategyBuilder.Indicators.Store; using ForexStrategyBuilder.Infrastructure.Entities; using ForexStrategyBuilder.Infrastructure.Enums; using ForexStrategyBuilder.Infrastructure.Interfaces; namespace ForexStrategyBuilder.Indicators.Custom { public class MACDConvergenceDivergence : Indicator { public MACDConvergenceDivergence() { IndicatorName = "MACD Convergence Divergence"; PossibleSlots = SlotTypes.OpenFilter | SlotTypes.CloseFilter; SeparatedChart = true; IsDeafultGroupAll = false; IsGeneratable = true; IndicatorAuthor = "Miroslav Popov"; IndicatorVersion = "1.0"; IndicatorDescription = "Measures convergence/divergence between the market and MACD." + Environment.NewLine + "The indicator compares two MAs calculated on MACD and on bar Close."; } public override void Initialize(SlotTypes slotType) { SlotType = slotType; // The ComboBox parameters IndParam.ListParam[0].Caption = "Logic"; IndParam.ListParam[0].ItemList = new[] { "Convergence", "Divergence" }; IndParam.ListParam[0].Index = 0; IndParam.ListParam[0].Text = IndParam.ListParam[0].ItemList[IndParam.ListParam[0].Index]; IndParam.ListParam[0].Enabled = true; IndParam.ListParam[0].ToolTip = "Determines the entry conditions"; IndParam.ListParam[1].Caption = "MACD smoothing method"; IndParam.ListParam[1].ItemList = Enum.GetNames(typeof(MAMethod)); IndParam.ListParam[1].Index = (int)MAMethod.Exponential; IndParam.ListParam[1].Text = IndParam.ListParam[1].ItemList[IndParam.ListParam[1].Index]; IndParam.ListParam[1].Enabled = true; IndParam.ListParam[1].ToolTip = "The Moving Average method used for smoothing MACD value."; IndParam.ListParam[2].Caption = "Base price"; IndParam.ListParam[2].ItemList = Enum.GetNames(typeof(BasePrice)); IndParam.ListParam[2].Index = (int)BasePrice.Close; IndParam.ListParam[2].Text = IndParam.ListParam[2].ItemList[IndParam.ListParam[2].Index]; IndParam.ListParam[2].Enabled = true; IndParam.ListParam[2].ToolTip = "The price the indicator is based on."; // The NumericUpDown parameters IndParam.NumParam[0].Caption = "Slow MA period"; IndParam.NumParam[0].Value = 26; IndParam.NumParam[0].Min = 1; IndParam.NumParam[0].Max = 200; IndParam.NumParam[0].Enabled = true; IndParam.NumParam[0].ToolTip = "The period of Slow MA."; IndParam.NumParam[1].Caption = "Fast MA period"; IndParam.NumParam[1].Value = 12; IndParam.NumParam[1].Min = 1; IndParam.NumParam[1].Max = 200; IndParam.NumParam[1].Enabled = true; IndParam.NumParam[1].ToolTip = "The period of Fast MA."; IndParam.NumParam[2].Caption = "Signal line period"; IndParam.NumParam[2].Value = 9; IndParam.NumParam[2].Min = 1; IndParam.NumParam[2].Max = 200; IndParam.NumParam[2].Enabled = true; IndParam.NumParam[2].ToolTip = "The period of Signal line."; IndParam.NumParam[3].Caption = "Reference MA period"; IndParam.NumParam[3].Value = 14; IndParam.NumParam[3].Min = 1; IndParam.NumParam[3].Max = 200; IndParam.NumParam[3].Enabled = true; IndParam.NumParam[3].ToolTip = "Convergence/divergence reference MA period."; // The CheckBox parameters IndParam.CheckParam[0].Caption = "Use previous bar value"; IndParam.CheckParam[0].Enabled = true; IndParam.CheckParam[0].ToolTip = "Use the indicator value from the previous bar."; } public override void Calculate(IDataSet dataSet) { DataSet = dataSet; // Reading the parameters var basePrice = (BasePrice) IndParam.ListParam[2].Index; var referencePeriod = (int)IndParam.NumParam[3].Value; int previous = IndParam.CheckParam[0].Checked ? 1 : 0; // Calculation // --------------------------------------------------------- var macd = new MACD(); macd.Initialize(SlotType); macd.IndParam.ListParam[1].Index = IndParam.ListParam[1].Index; macd.IndParam.ListParam[2].Index = IndParam.ListParam[2].Index; macd.IndParam.ListParam[3].Index = 0; macd.IndParam.NumParam[0].Value = IndParam.NumParam[0].Value; macd.IndParam.NumParam[1].Value = IndParam.NumParam[1].Value; macd.IndParam.NumParam[2].Value = IndParam.NumParam[2].Value; macd.IndParam.CheckParam[0].Checked = IndParam.CheckParam[0].Checked; macd.Calculate(DataSet); double[] indicatorMa = MovingAverage(referencePeriod, previous, MAMethod.Simple, macd.Component[0].Value); double[] marketMa = MovingAverage(referencePeriod, previous, MAMethod.Simple, Price(basePrice)); // ---------------------------------------------------------- int firstBar = macd.Component[0].FirstBar + referencePeriod + 2; var cd = new double[Bars]; if (IndParam.ListParam[0].Text == "Convergence") for (int bar = firstBar; bar < Bars; bar++) cd[bar] = IsConvergence(indicatorMa, marketMa, bar); else if (IndParam.ListParam[0].Text == "Divergence") for (int bar = firstBar; bar < Bars; bar++) cd[bar] = IsDivergence(indicatorMa, marketMa, bar); // Saving the components Component = new IndicatorComp[4]; Component[0] = new IndicatorComp { CompName = "MACD Histogram", DataType = IndComponentType.IndicatorValue, ChartType = IndChartType.Line, ChartColor = Color.RoyalBlue, FirstBar = firstBar, Value = macd.Component[0].Value }; Component[1] = new IndicatorComp { CompName = "MACD MA", DataType = IndComponentType.IndicatorValue, ChartType = IndChartType.Line, ChartColor = Color.Red, FirstBar = firstBar, Value = indicatorMa }; Component[2] = new IndicatorComp { ChartType = IndChartType.NoChart, FirstBar = firstBar, Value = cd }; Component[3] = new IndicatorComp { ChartType = IndChartType.NoChart, FirstBar = firstBar, Value = cd }; // Sets the Component's type if (SlotType == SlotTypes.OpenFilter) { Component[2].DataType = IndComponentType.AllowOpenLong; Component[2].CompName = "Is long entry allowed"; Component[3].DataType = IndComponentType.AllowOpenShort; Component[3].CompName = "Is short entry allowed"; } else if (SlotType == SlotTypes.CloseFilter) { Component[2].DataType = IndComponentType.ForceCloseLong; Component[2].CompName = "Close out long position"; Component[3].DataType = IndComponentType.ForceCloseShort; Component[3].CompName = "Close out short position"; } } public override void SetDescription() { var logic = "There is a " + IndParam.ListParam[0].Text + " between the market's MA and the indicator's MA"; EntryFilterLongDescription = logic; EntryFilterShortDescription = logic; ExitFilterLongDescription = logic; ExitFilterShortDescription = logic; } private double IsConvergence(double[] ma1, double[] ma2, int bar) { double sigma = Sigma(); if (ma1[bar] > ma1[bar - 1] + sigma && ma2[bar] > ma2[bar - 1] + sigma) return 1; if (ma1[bar] < ma1[bar - 1] - sigma && ma2[bar] < ma2[bar - 1] - sigma) return 1; return 0; } private double IsDivergence(double[] ma1, double[] ma2, int bar) { double sigma = Sigma(); if (ma1[bar] > ma1[bar - 1] + sigma && ma2[bar] < ma2[bar - 1] - sigma) return 1; if (ma1[bar] < ma1[bar - 1] - sigma && ma2[bar] > ma2[bar - 1] + sigma) return 1; return 0; } } }
//+--------------------------------------------------------------------+ //| Copyright: (C) 2015 Forex Software Ltd. | //| Website: http://forexsb.com/ | //| Support: http://forexsb.com/forum/ | //| License: Proprietary under the following circumstances: | //| | //| This code is a part of Forex Strategy Builder. It is free for | //| use as an integral part of Forex Strategy Builder. | //| One can modify it in order to improve the code or to fit it for | //| personal use. This code or any part of it cannot be used in | //| other applications without a permission. | //| The contact information cannot be changed. | //| | //| NO LIABILITY FOR CONSEQUENTIAL DAMAGES | //| | //| In no event shall the author be liable for any damages whatsoever | //| (including, without limitation, incidental, direct, indirect and | //| consequential damages, damages for loss of business profits, | //| business interruption, loss of business information, or other | //| pecuniary loss) arising out of the use or inability to use this | //| product, even if advised of the possibility of such damages. | //+--------------------------------------------------------------------+ #property copyright "Copyright (C) 2015 Forex Software Ltd." #property link "http://forexsb.com" #property version "1.0" #property strict #include <Forexsb.com/Indicator.mqh> #include <Forexsb.com/Enumerations.mqh> #include <Forexsb.com/Indicators/MACD.mqh> //## Requires MACD.mqh //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ class MACDConvergenceDivergence : public Indicator { double IsConvergence(double &ma1[],double &ma2[],int bar); double IsDivergence(double &ma1[],double &ma2[],int bar); public: MACDConvergenceDivergence(SlotTypes slotType) { SlotType=slotType; IndicatorName="MACD Convergence Divergence"; WarningMessage = ""; IsAllowLTF = true; ExecTime = ExecutionTime_DuringTheBar; IsSeparateChart = true; IsDiscreteValues = false; IsDeafultGroupAll = false; } virtual void Calculate(DataSet &dataSet); }; //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void MACDConvergenceDivergence::Calculate(DataSet &dataSet) { Data=GetPointer(dataSet); // Reading the parameters BasePrice basePrice = (BasePrice)ListParam[2].Index; int referencePeriod=(int) NumParam[3].Value; int previous=CheckParam[0].Checked ? 1 : 0; // Calculation // --------------------------------------------------------- MACD *macd=new MACD(SlotType); macd.ListParam[1].Index = ListParam[1].Index; macd.ListParam[2].Index = ListParam[2].Index; macd.ListParam[3].Index = 0; macd.NumParam[0].Value = NumParam[0].Value; macd.NumParam[1].Value = NumParam[1].Value; macd.NumParam[2].Value = NumParam[2].Value; macd.CheckParam[0].Checked=CheckParam[0].Checked; macd.Calculate(dataSet); double indicatorMa[]; MovingAverage(referencePeriod,previous,MAMethod_Simple,macd.Component[0].Value,indicatorMa); double adBasePrice[]; Price(basePrice,adBasePrice); double marketMa[]; MovingAverage(referencePeriod,previous,MAMethod_Simple,adBasePrice,marketMa); // ---------------------------------------------------------- int firstBar=macd.Component[0].FirstBar+referencePeriod+2; double cd[]; ArrayResize(cd,Data.Bars); ArrayInitialize(cd,0); if(ListParam[0].Text=="Convergence") for(int bar= firstBar; bar<Data.Bars; bar++) cd[bar] = IsConvergence(indicatorMa,marketMa,bar); else if(ListParam[0].Text=="Divergence") for(int bar= firstBar; bar<Data.Bars; bar++) cd[bar] = IsDivergence(indicatorMa,marketMa,bar); // Saving the components Component[0].CompName = "MACD Histogram"; Component[0].DataType = IndComponentType_IndicatorValue; Component[0].FirstBar = firstBar; ArrayResize(Component[0].Value,Data.Bars); ArrayCopy(Component[0].Value,macd.Component[0].Value); delete macd; Component[1].CompName = "MACD MA"; Component[1].DataType = IndComponentType_IndicatorValue; Component[1].FirstBar = firstBar; ArrayResize(Component[1].Value,Data.Bars); ArrayCopy(Component[1].Value,indicatorMa); Component[2].FirstBar=firstBar; ArrayResize(Component[2].Value,Data.Bars); ArrayCopy(Component[2].Value,cd); Component[3].FirstBar=firstBar; ArrayResize(Component[3].Value,Data.Bars); ArrayCopy(Component[3].Value,cd); // Sets the Component's type. if(SlotType==SlotTypes_OpenFilter) { Component[2].DataType = IndComponentType_AllowOpenLong; Component[2].CompName = "Is long entry allowed"; Component[3].DataType = IndComponentType_AllowOpenShort; Component[3].CompName = "Is short entry allowed"; } else if(SlotType==SlotTypes_CloseFilter) { Component[2].DataType = IndComponentType_ForceCloseLong; Component[2].CompName = "Close out long position"; Component[3].DataType = IndComponentType_ForceCloseShort; Component[3].CompName = "Close out short position"; } } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ double MACDConvergenceDivergence::IsConvergence(double &ma1[],double &ma2[],int bar) { double sigma=Sigma(); if(ma1[bar]>ma1[bar-1]+sigma && ma2[bar]>ma2[bar-1]+sigma) return (1); if(ma1[bar]<ma1[bar-1]-sigma && ma2[bar]<ma2[bar-1]-sigma) return (1); return (0); } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ double MACDConvergenceDivergence::IsDivergence(double &ma1[],double &ma2[],int bar) { double sigma=Sigma(); if(ma1[bar]>ma1[bar-1]+sigma && ma2[bar]<ma2[bar-1]-sigma) return (1); if(ma1[bar]<ma1[bar-1]-sigma && ma2[bar]>ma2[bar-1]+sigma) return (1); return (0); } //+------------------------------------------------------------------+
Risk warning: Forex, spread bets and CFD are leveraged products. They may not be suitable for you as they carry a high degree of risk to your capital and you can lose more than your initial investment. You should ensure you understand all of the risks.
Copyright © 2006 - 2017, Miroslav Popov; Created by Yavor Kirov