MACD 背離範例程式－w28822的部落格

>> Has anyone created a simple MACD divergence strategy or paintbar that does the following…

Ok…here’s some example code for an indicator that can be used to highlight a MACD divergence.

CODE:

inputs:

MACDFastLength( 12 ) ,

MACDSlowLength( 26 ) ,

MACDAvgLength( 9 ) ,

Strength( 5 ),

Length( 90 ) ,

PlotSeries( 1 ) ; // 1 for Plot Series Stream 1, 2 for Plot Series Stream 2

variables:

MACDVal( 0 ) ,

MACDAvg( 0 ) ,

MACDDiff( 0 ) ,

BullDivergence( False ),

BearDivergence( False ),

oSw1Series1( 0 ),

oSw1Series2( 0 ),

oSw2Series1( 0 ),

oSw2Series2( 0 ),

oSw1Series3( 0 ),

oSw1Series4( 0 ),

oSw2Series3( 0 ),

oSw2Series4( 0 ),

oSw1BarSeries1( 0 ) ,

oSw1BarSeries2( 0 ) ,

oSw2BarSeries1( 0 ) ,

oSw2BarSeries2( 0 ) ,

oSw1BarSeries3( 0 ) ,

oSw1BarSeries4( 0 ) ,

oSw2BarSeries3( 0 ) ,

oSw2BarSeries4( 0 ) ,

HiLo( 0 ) , { pass in 1 for BearishDiv (based on SwingHighs), -1 for

BullishDiv (based on SwingLows) }

TL_IDBull( 0 ) ,

TL_IDBear( 0 ) ;

MACDVal = MACD( Close , MACDFastLength, MACDSlowLength ) ;

MACDAvg = XAverage( MACDVal, MACDAvgLength ) ;

MACDDiff = MACDVal - MACDAvg ;

BullDivergence = False ;

BearDivergence = False ;

HiLo = 1 ;

//Most recent Price Pivot High

Value1 = Pivot( High, Length, Strength, Strength, 1, HiLo, oSw1Series1, oSw1BarSeries1 ) ;

//Most recent MACDDiff Pivot High

Value2 = Pivot( MACDDiff, Length, Strength, Strength, 1, HiLo, oSw1Series2, oSw1BarSeries2 ) ;

//Second most recent Price Pivot High

Value3 = Pivot( High, Length, Strength, Strength, 2, HiLo, oSw2Series1, oSw2BarSeries1 ) ;

//Second most recent MACDDiff Pivot High

Value4 = Pivot( MACDDiff, Length, Strength, Strength, 2, HiLo, oSw2Series2, oSw2BarSeries2 ) ;

HiLo = - 1 ;

//Most recent Price Pivot Low

Value5 = Pivot( Low, Length, Strength, Strength, 1, HiLo, oSw1Series3, oSw1BarSeries3 ) ;

//Most recent MACDDiff Pivot Low

Value6 = Pivot( MACDDiff, Length, Strength, Strength, 1, HiLo, oSw1Series4, oSw1BarSeries4 ) ;

//Second most recent Price Pivot Low

Value7 = Pivot( Low, Length, Strength, Strength, 2, HiLo, oSw2Series3, oSw2BarSeries3 ) ;

//Second most recent MACDDiff Pivot Low

Value8 = Pivot( MACDDiff, Length, Strength, Strength, 2, HiLo, oSw2Series4, oSw2BarSeries4 ) ;

//Plot divergence zones

if Value1 = 1 { most recent price pivot high found }

and Value2 = 1 { most recent MACD pivot high found } and

( High > oSw1Series1 and MACDDiff < oSw1Series2 ) and

AbsValue( oSw1BarSeries1 - oSw1BarSeries2) <= 5 then

if PlotSeries = 1 then

plot1( High )

else

plot1( MACDDiff ) ;

if Value5 = 1 { most recent price pivot low found }

and Value6 = 1 { most recent MACD pivot low found } and

( Low < oSw1Series3 and MACDDiff > oSw1Series4 ) and

AbsValue( oSw1BarSeries3 - oSw1BarSeries4) <= 5 then

if PlotSeries = 1 then

plot2( Low )

else

plot2( MACDDiff ) ;

if Value3 = 1 { pivot found; this automatically implies that Value1 also 1 }

and Value4 = 1 { pivot found; this automatically implies that Value2 also 1 } and

( oSw1Series1 > oSw2Series1 and oSw1Series2 < oSw2Series2 ) and

AbsValue( oSw2BarSeries1 - oSw2BarSeries2) <= 5 then

BearDivergence = True ;

if Value7 = 1 { pivot found; this automatically implies that Value5 also 1 }

and Value8 = 1 { pivot found; this automatically implies that Value6 also 1 } and

( oSw1Series3 < oSw2Series3 and oSw1Series4 > oSw2Series4 ) and

AbsValue( oSw2BarSeries3 - oSw2BarSeries4) <= 5 then

BullDivergence = True ;

if BearDivergence and BearDivergence[1] = False then

if PlotSeries = 1 then

begin

TL_IDBear = TL_New( Date[oSw2BarSeries1], Time[oSw2BarSeries1], oSw2Series1, Date[oSw1BarSeries1], Time[oSw1BarSeries1], oSw1Series1 ) ;

TL_SetColor(TL_IDBear, Red ) ;

TL_SetSize(TL_IDBear, 2 ) ;

end

else

begin

TL_IDBear = TL_New( Date[oSw2BarSeries2], Time[oSw2BarSeries2], oSw2Series2, Date[oSw1BarSeries2], Time[oSw1BarSeries2], oSw1Series2 ) ;

TL_SetColor(TL_IDBear, Red ) ;

TL_SetSize(TL_IDBear, 2 ) ;

end ;

if BullDivergence and BullDivergence[1] = False then

if PlotSeries = 1 then

begin

TL_IDBull = TL_New( Date[oSw2BarSeries3], Time[oSw2BarSeries3], oSw2Series3, Date[oSw1BarSeries3], Time[oSw1BarSeries3], oSw1Series3 ) ;

TL_SetColor(TL_IDBull, Cyan ) ;

TL_SetSize(TL_IDBull, 2 ) ;

end

else

begin

TL_IDBull = TL_New( Date[oSw2BarSeries4], Time[oSw2BarSeries4], oSw2Series4, Date[oSw1BarSeries4], Time[oSw1BarSeries4], oSw1Series4 ) ;

TL_SetColor(TL_IDBull, Cyan ) ;

TL_SetSize(TL_IDBull, 2 ) ;

end ;

if PlotSeries = 2 then

Plot3( MACDDiff, "MACDDiff" ) ;

{*************************************************************}

Since this indicator can be used to draw trendlines on a subgraph the setup is a bit involved. I’ve included an ELD file containing the indicator and a sample workspace already setup properly (the ELD file and workspace are for TradeStation 8.1).

Attachment:DATA/20060103181249MACD_DIVERGENCE.ELD 7801 bytes
Attachment:DATA/20050701120856MACD Divergence.tsw 39936 bytes

The symbol being used needs to be inserted into the chart in two subgraphs (e.g. both subgraph 1 and subgraph 2), and the indicator needs to be applied to the chart twice – in subgraph 1 with the PlotSeries input set to 1, and in subgraph 2 with the PlotSeries subgraph set to 2.

The scaling of the symbol in subgraph 2, needs to be set to Fixed with minimum and maximum values that are appropriate for the MACD (e.g., -.4 min to .4 max on a 60 minute chart of SPY).

The indicator draws blue dots to indicate potential bullish MACD divergence (lower low in prices, but higher low in MACD histogram), and red dots indicating potential bearish MACD divergence (higher high in prices, but lower high in MACD histogram). Trendlines are drawn after the second pivot is formed – i.e,. when the divergence is "confirmed" by the completion of the second pivot.