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MACD and histogram divergence detection for Amibroker (AFL)
Rating:
5 / 5 (Votes 3)
Tags:
oscillator, macd, amibroker, exploration
This indicator and exploration detects MACD line divergences and crossovers, and also detects MACD divergences.
By: Paul Moore
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There is very // little original work here.// As an indicator, it displays the usual MACD and MACD-H indicators. It also // displays a shape indicating where a divergence or crossover occurs.// As an exploration, simply select n = 1, define the stock universe to be// examined, and press the "Explore" button. The detected stocks are listed// together with a red/green color-coded indication of the divergence or// crossover// Several parameters can be configured, including the minimum divergence and // histogram widths. Configure to suit your own requirements.// This is still a work in progress, so if you have any suggestions or improvements,// please let me know via the forum.//----------------------------------------------------------------------------------//------// Setup//------// ParametersPeriodEMA = 13;MACDIndicatorRange = 50;// Volume filterVolumeFilter = Param( "Volume MA filter", 100000, 50000, 500000, 100000 );Timeframe = Interval(2);// Adjust for weekly if necessaryif( Timeframe == "5-day" || Timeframe == "Weekly" ) { VolumeFilter = VolumeFilter * 5;}else if( Timeframe == "Monthly") { VolumeFilter = VolumeFilter * 20;}else if( Timeframe != "Daily" ) { VolumeFilter = 0;}// Minimum number of bars required to form a divergence pattern. For a// positive divergence, this is the number of falling bars in the context// of a rising MACD or MACD-H pattern. Vice versa for negative divergenceMACDDivMinWidth = Param("Divergence min width", 4, 1, 10, 1 ); // Minimum width of negative projecting wave between two positive MACD-H waves, // otherwise two positive waves will be considered as one single wave. This// minimises invalid divergences, to ensure that "back of bears is broken".// The same applies for a positive wave between two negative waves.HistMinWidth = Param("Histogram min width", 4, 1, 10, 1 ); PeriodEMA = Optimize( "PeriodEMA ", 13, 5, 23, 1 );// Other parametersOpenPositions = 10;ATRPeriod = 5;InitialCapital = 100000;PeriodFast = Param( "Fast EMA", 12, 2, 200, 1 );PeriodSlow = Param( "Slow EMA", 26, 2, 200, 1 );PeriodSignal = Param( "Signal EMA", 9, 2, 200, 1 );MACDInd = MACD(PeriodFast, PeriodSlow );SigInd = Signal(PeriodFast, PeriodSlow , PeriodSignal );HistInd = MACDInd - SigInd ;_N( macdStr = WriteVal( PeriodFast, 1.0 )+","+WriteVal( PeriodSlow , 1.0 ) );_N( sigStr = macdStr + ","+WriteVal( PeriodSignal , 1.0 ) );// Get displayed min and max value of MACD and MACD-H, to rescale it for better visibilityscMACDMax = LastValue(HHV(Max(MACDInd, sigInd), BarsSince( Status("barvisible") AND NOT Ref(Status("barvisible"),-1) ))); scMACDMin = LastValue(LLV(Min(MACDInd, sigInd), BarsSince( Status("barvisible") AND NOT Ref(Status("barvisible"),-1) ))); scaleMACD = Max( abs(scMACDMax), abs(scMACDMin) ); scHistMax = LastValue(HHV(HistInd, BarsSince( Status("barvisible") AND NOT Ref(Status("barvisible"),-1) ))); scHistMin = LastValue(LLV(HistInd, BarsSince( Status("barvisible") AND NOT Ref(Status("barvisible"),-1) ))); scaleHist = Max( abs(scHistMax), abs(scHistMin) ); Plot( HistInd, "", colorLightBlue, styleHistogram | styleOwnScale | styleThick , -scaleHist * 1.2, scaleHist * 1.2);Plot( MACDInd, "", colorGreen);Plot( SigInd , "", colorRed);Plot( scaleMACD * 1.2,"",colorRed,styleNoDraw);Plot( -scaleMACD* 1.2 ,"",colorRed,styleNoDraw); GraphXSpace = 0;Title = EncodeColor(colorBlue) + Name() + " - MACD: M(" + macdStr + ") = " + WriteVal(MACDInd,1.3) + ", S(" + sigStr + ") = " + WriteVal(SigInd,1.3) + ", H = " + WriteVal(HistInd,1.3);// If current symbol is NOT an index, compare volume MA to filter limitVolumeMA = MA( V, 50 );if( IsIndex() ) { VolumeMABool = True;}else { VolumeMABool = IsTrue( VolumeMA > VolumeFilter );}// Get MACD-H, EMA, Stochastics and RSI arraysDayHist = MACD( PeriodFast, PeriodSlow ) - Signal( PeriodFast, PeriodSlow, PeriodSignal );DayEMA = EMA( Close, PeriodEMA );DaySTO = StochK( 14 );DayRSI = RSI( 14 );DayBuyBool = IsTrue( ( // DayEMA > Ref(DayEMA,-1) // EMA rising DaySTO < 70 // STO not overbought // AND DayRSI > Ref(DayRSI,-1) // RSI rising AND MACD( PeriodFast, PeriodSlow ) < 0 ) OR Timeframe == "5-day" OR Timeframe == "Weekly" );DaySellBool = IsTrue( ( // DayEMA < Ref(DayEMA,-1) // EMA falling DaySTO > 30 // STO not oversold // AND DayRSI < Ref(DayRSI,-1) // RSI falling AND MACD( PeriodFast, PeriodSlow ) > 0 ) OR Timeframe == "5-day" OR Timeframe == "Weekly" );//--------------------------// Positive MACD divergences//--------------------------// Get array containing for each element, when the MACD's lowest// value occur, within the specified number of barsMACDLowBars = LLVBars( MACDInd, MACDDivMinWidth );// Get array defining if the MACD's previous bar was the // minimum, AND if that MACD value < 0MACDMinCond = MACDLowBars > 0 AND Ref(MACDLowBars,-1) == 0 AND Ref(MACDInd,-1) < 0;// Get array containing MACD low bar values where lows// occured, all other bars filled with 0MACDLowVal = IIf( MACDMinCond , Ref(MACDInd,-1), 0 );// Get array containing MACD low bar value at bar where MACD // low occured, all other bars filled with preceding MACD // low value (chandelier)MACDLowSteps = ValueWhen( Ref(MACDMinCond,0), Ref(MACDInd,-1), 1 );// Get array containing price low bar values where lows// occured, all other bars filled with huge numberPriceMACDLowVal = IIf( MACDMinCond, Ref(LLV(L,MACDDivMinWidth ),-1), 2000000 );// Get array containing local price low bar value at bar // where MACD low occured, all other bars filled with preceding // price low value (chandelier)PriceMACDLowSteps = ValueWhen( Ref(MACDMinCond ,0), LLV(L,MACDDivMinWidth ) );// Get array containing differences in MACD low bar valuesMACDLowDiffs = MACDLowSteps - Ref(MACDLowSteps,-1); // Get array containing differences in price low bar valuesPriceMACDLowDiffs = PriceMACDLowSteps - Ref(PriceMACDLowSteps,-1);// Get array defining positive divergencesMACDLowBarDiffs = Ref( BarsSince(MACDMinCond ), -1 );// Divergence signalMACDPosDivergence = // MACDLowDiffs > 0 AND MACDLowVal < 0 AND MACDLowVal > LLV(MACDLowVal, MACDIndicatorRange ) AND PriceMACDLowVal < LLV(Ref(PriceMACDLowVal,-1), MACDIndicatorRange ) AND PriceMACDLowDiffs < 0 AND MACDLowBarDiffs < MACDIndicatorRange AND VolumeMABool AND C > 1.0 // AND WeekBuyBool ;//--------------------------// Negative MACD divergences//--------------------------// Get array containing for each element, when the MACD's highest// value occur, within the specified number of barsMACDHighBars = HHVBars( MACDInd, MACDDivMinWidth );// Get array defining if the MACD's previous bar was the // maximum, AND if that MACD value > 0MACDMaxCond = MACDHighBars > 0 AND Ref(MACDHighBars,-1) == 0 AND Ref(MACDInd,-1) > 0;// Get array containing MACD high bar values where highs// occured, all other bars filled with 0MACDHighVal = IIf( MACDMaxCond, Ref(MACDInd,-1), 0);// Get array containing MACD high bar value at bar where MACD // high occured, all other bars filled with preceding MACD // high value (chandelier)MACDHighSteps = ValueWhen( Ref(MACDMaxCond,0), Ref(MACDInd,-1), 1 );// Get array containing MACD high bar values where highs// occured, all other bars filled with 0PriceMACDHighVal = IIf( MACDMaxCond, Ref(HHV(H,MACDDivMinWidth),-1), 0);// Get array containing local price high bar value at bar // where MACD high occured, all other bars filled with preceeding // price high value (chandelier)PriceMACDHighSteps = ValueWhen( Ref(MACDMaxCond,0), HHV(H,MACDDivMinWidth) );// Get array containing differences in MACD high bar valuesMACDHighDiffs = MACDHighSteps - Ref(MACDHighSteps,-1);// Get array containing differences in price high bar valuesPriceMACDHighDiffs = PriceMACDHighSteps - Ref(PriceMACDHighSteps,-1);// Get array defining negative divergencesMACDHighBarDiffs = Ref( BarsSince(MACDMaxCond), -1 );// Divergence signalMACDNegDivergence = // MACDHighDiffs < 0 AND MACDHighVal > 0 AND PriceMACDHighVal > HHV( Ref(PriceMACDHighVal,-1), MACDIndicatorRange ) AND MACDHighVal < HHV( MACDHighVal, MACDIndicatorRange ) AND PriceMACDHighDiffs > 0 AND MACDHighBarDiffs < MACDIndicatorRange AND VolumeMABool AND C > 1.0 // AND WeekBuyBool ;//------------------------------------// Positive MACD Histogram divergences//------------------------------------// Get array containing when positive and negative and positive // crossovers occuredHistPosCrossover = Cross( HistInd, 0 ) ;HistNegCrossover = Cross( 0, HistInd ) ;BarsSinceNegCross = BarsSince( HistNegCrossover );BarsSincePosCross = BarsSince( HistPosCrossover );// Get arrays containing for each element, when the MACD-H lowest// values occur, within the specified number of barsHistLowBars = LLVBars( HistInd, MACDDivMinWidth );// Get array defining if the MACD-H previous bar was the minimum// AND if that MACD-H value was < 0 or > 0HistMinCond = HistLowBars > 0 AND BarsSinceNegCross >= HistLowBars AND Ref(HistLowBars,-1) == 0 AND Ref(HistInd,-1) < 0;// Get array containing MACD-H low bar values where lows// occured, all other bars filled with 0HistLowVal = IIf( HistMinCond , Ref(HistInd,-1), 0 );// Get array containing MACD-H low bar value at bar where MACD-H // low occured, all other bars filled with preceding MACD-H // low value (chandelier)HistLowSteps = ValueWhen( Ref(HistMinCond,0), Ref(HistInd,-1), 1 );// Get array containing differences between MACD-H low bar value and the value// at previous MACD-H zero positive crossing// HistLowDiffs = HistLowSteps - ValueWhen( HistPosCrossover, HistLowSteps, 1 );HistLowDiffs = HistLowSteps - Ref(HistLowSteps,-1); // Get array containing MACD-H min value when MACD-H < 0, all other// bars filled with 0BarsSincePrevNegCross = ValueWhen( HistNegCrossover, Ref(BarsSinceNegCross ,-1), 1 );BarsSinceWideNegCross = IIf( HistInd < 0 AND BarsSincePosCross - BarsSinceNegCross < HistMinWidth, BarsSincePrevNegCross + BarsSinceNegCross + 1, BarsSinceNegCross );HistMinSteps = IIf( !BarsSinceWideNegCross, HistInd, LLV( HistInd , BarsSinceWideNegCross + 1) ); // Get array containing differences in MACD-H max bar valuesHistMinDiffs = IIf( HistInd < 0, HistMinSteps - Ref(HistMinSteps,-1), 0);// Get minumum from previous MACD-H negative wave// Plot( ValueWhen( HistNegCrossover, Ref(HistMinSteps,-1), 1 ),"PrevHistMinSteps-1", colorGreen );// Plot( ValueWhen( HistNegCrossover, Ref(HistMinSteps,-1), 2 ),"PrevHistMinSteps-1", colorGreen );PrevHistMinSteps = IIf( HistInd < 0 AND BarsSincePosCross - BarsSinceNegCross < HistMinWidth, ValueWhen( HistNegCrossover, Ref(HistMinSteps,-1), 2 ), ValueWhen( HistNegCrossover, Ref(HistMinSteps,-1), 1 ) );// Get array containing price low bar values where lows// occured, all other bars filled with huge numberPriceHistLowVal = IIf( HistMinCond, Ref(LLV(L,MACDDivMinWidth),-1), 2000000 );// Get array containing local price low bar value at bar // where MACD-H low occured, all other bars filled with preceding // price low value (chandelier)PriceHistLowSteps = ValueWhen( Ref(HistMinCond ,0), LLV(L,MACDDivMinWidth) );// Get array containing differences in price low bar valuesPriceHistLowDiffs = PriceHistLowSteps - Ref(PriceHistLowSteps,-1);// Get array containing price low minimum value when MACD-H < 0, // all other bars filled with 0PriceHistMinSteps = IIf( !BarsSinceNegCross, L, LLV( L , BarsSinceNegCross) );// Get minimum from previous MACD-H negative wavePrevPriceHistMinSteps = IIf( BarsSincePosCross - BarsSinceNegCross < HistMinWidth, ValueWhen( HistNegCrossover, Ref(PriceHistMinSteps,-1), 2 ), ValueWhen( HistNegCrossover, Ref(PriceHistMinSteps,-1), 1 ) );// Divergence signalHistPosDivergence = // HistLowDiffs > 0 AND // AND PriceHistLowDiffs < 0 HistMinSteps > PrevHistMinSteps AND PriceHistMinSteps < PrevPriceHistMinSteps AND HistLowVal < 0 AND VolumeMABool AND C > 1.0 ;//------------------------------------// Negative MACD Histogram divergences//------------------------------------// Get arrays containing for each element, when the MACD-H highest values // occur, within the specified number of barsHistHighBars = HHVBars( HistInd, MACDDivMinWidth );// Get array defining if the MACD-H previous bar was the maximum, // AND if that MACD-H value was < 0 OR > 0HistMaxCond = HistHighBars > 0 AND BarsSincePosCross >= HistHighBars AND Ref(HistHighBars,-1) == 0 AND Ref(HistInd,-1) > 0 ;// Get array containing MACD-H high bar values where highs// occured, all other bars filled with 0HistHighVal = IIf( HistMaxCond, Ref(HistInd,-1), 0);// Get array containing MACD-H high bar value at bar where MACD-H // high occured, all other bars filled with preceding MACD-H // high value (chandelier)HistHighSteps = ValueWhen( Ref(HistMaxCond,0), Ref(HistInd,-1), 1 );// Get array containing differences in MACD-H high bar valuesHistHighDiffs = HistHighSteps - Ref(HistHighSteps,-1);// Get array containing MACD-H max value when MACD-H > 0, all other// bars filled with 0BarsSincePrevPosCross = ValueWhen( HistPosCrossover, Ref(BarsSincePosCross ,-1), 1 );BarsSincePrevNegCross = ValueWhen( HistNegCrossover, Ref(BarsSinceNegCross ,-1), 1 );BarsSinceWidePosCross = IIf( HistInd > 0 AND BarsSinceNegCross - BarsSincePosCross < HistMinWidth, BarsSincePrevPosCross + BarsSincePosCross + 1, BarsSincePosCross );HistMaxSteps = IIf( !BarsSinceWidePosCross, HistInd, HHV( HistInd , BarsSinceWidePosCross + 1) );// Get array containing differences in MACD-H max bar valuesHistMaxDiffs = IIf( HistInd > 0, HistMaxSteps - Ref(HistMaxSteps,-1), 0);// Get high from pevious MACD-H positive wavePrevHistMaxSteps = IIf( HistInd > 0 AND BarsSinceNegCross - BarsSincePosCross < HistMinWidth, ValueWhen( HistPosCrossover, Ref(HistMaxSteps,-1), 2 ), ValueWhen( HistPosCrossover, Ref(HistMaxSteps,-1), 1 ) );// Get array containing MACD-H high bar values where highs// occured, all other bars filled with 0PriceHistHighVal = IIf( HistMaxCond, Ref(HHV(H,MACDDivMinWidth),-1), 0);// Get array containing local price high bar value at bar // where MACD-H high occured, all other bars filled with preceeding // price high value (chandelier)PriceHistHighSteps = ValueWhen( Ref(HistMaxCond,0), HHV(H,MACDDivMinWidth) );// Get array containing differences in price high bar valuesPriceHistHighDiffs = PriceHistHighSteps - Ref(PriceHistHighSteps,-1);// Get array containing MACD-H max value when MACD-H > 0, all other// bars filled with 0PriceHistMaxSteps = IIf( !BarsSincePosCross, H, HHV( H , BarsSincePosCross) );// Get high from pevious MACD-H positive wavePrevPriceHistMaxSteps = IIf( BarsSinceNegCross - BarsSincePosCross < HistMinWidth, ValueWhen( HistPosCrossover, Ref(PriceHistMaxSteps,-1), 2 ), ValueWhen( HistPosCrossover, Ref(PriceHistMaxSteps,-1), 1 ) );// Divergence signalHistNegDivergence = // HistHighDiffs < 0 AND // AND PriceHistHighDiffs > 0 HistMaxSteps < PrevHistMaxSteps AND PriceHistMaxSteps > PrevPriceHistMaxSteps AND HistHighVal > 0 AND VolumeMABool AND C > 1.0 ;//-----------------------// MACD crossover signals//-----------------------PosCrossover = Cross( DayHist, 0 ) AND DayBuyBool AND VolumeMABool AND C > 1.0 ;NegCrossover = Cross( 0, DayHist ) AND DaySellBool AND VolumeMABool AND C > 1.0 ;// Plot signalsPlotShapes( IIf( HistPosDivergence , shapeSmallUpTriangle, shapeNone ), colorBlue, 0, 0 , -12 );PlotShapes( IIf( HistNegDivergence , shapeSmallDownTriangle, shapeNone ), colorBlue, 0, 0, -12 );PlotShapes( IIf( MACDPosDivergence , shapeUpArrow , shapeNone ), colorBlue, 0, Graph1, -12 );PlotShapes( IIf( MACDNegDivergence , shapeDownArrow, shapeNone ), colorBlue, 0, Graph1, -12 );PlotShapes( IIf( PosCrossover , shapeSmallCircle, shapeNone ), colorBlue, 0, Graph1 , 0 );PlotShapes( IIf( NegCrossover , shapeSmallCircle, shapeNone ), colorBlue, 0, Graph1 , 0 );Filter = HistPosDivergence OR HistNegDivergence OR PosCrossover OR NegCrossover OR MACDPosDivergence OR MACDNegDivergence ;if( Sector = SectorID( 0 ) >= 0 ){ Sector = SectorID( 1 ); Industry = IndustryID( 1 );}else{ Sector = "MG"; Industry = "MG";}AddColumn( 32, "H-PD", formatChar, colorDefault, IIf(Filter && HistPosDivergence,colorBrightGreen,colorDefault) );AddColumn( 32, "M-PD", formatChar, colorDefault, IIf(Filter && MACDPosDivergence,colorBrightGreen,colorDefault) );AddColumn( 32, "M-PC", formatChar, colorDefault, IIf(Filter && PosCrossover,colorBrightGreen,colorDefault) );AddColumn( 32, "H-ND", formatChar, colorDefault, IIf(Filter && HistNegDivergence,colorRed,colorDefault) );AddColumn( 32, "M-ND", formatChar, colorDefault, IIf(Filter && MACDNegDivergence,colorRed,colorDefault) );AddColumn( 32, "M-NC", formatChar, colorDefault, IIf(Filter && NegCrossover,colorRed,colorDefault) );AddTextColumn( Sector , "Sector" );AddTextColumn( Industry , "Industry" );_SECTION_END(); |
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Line 513 shows “warning 501. assignment with conditional”
This is a great code for exploring divergence between prices and MACD. Can anyone upgrade or improve the results of the exploration since the code is quite complicated and is not easy for a novice like me? Many thanks! Please share your ideas.