Join our facebook group for Amibroker afl code discussion https://www.facebook.com/groups/603980776889348

MACD Convergence Divergence Ultimate Crossover

MACD Convergence Divergence Ultimate Crossover
MACD Convergence Divergence Ultimate Crossover

//www.aflcode.com
//Formula:
_SECTION_BEGIN("MACD Divergence");
//Parameters


PeriodEMA=13;
MACDIndicatorRange =50;

// Volume filter
VolumeFilter = Param( "Volume MA filter", 100000, 50000, 500000, 100000 );
Timeframe = Interval(2);

// Adjust for weekly if necessary
if( 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 divergence
MACDDivMinWidth = 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 parameters
OpenPositions = 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 visibility
scMACDMax = 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) ); 

ColorHist=IIf(HistInd>0,colorGreen,colorRed);
Plot( HistInd, "", ColorHist, 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 limit
VolumeMA = MA( V, 50 );
if( IsIndex() ) {
  VolumeMABool = True;
}
else {
  VolumeMABool = IsTrue( VolumeMA > VolumeFilter );
}

// Get MACD-H, EMA, Stochastics and RSI arrays
DayHist = 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 bars
MACDLowBars = LLVBars( MACDInd, MACDDivMinWidth );

// Get array defining if the MACD's previous bar was the 
// minimum, AND if that MACD value < 0
MACDMinCond = 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 0
MACDLowVal = 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 number
PriceMACDLowVal = 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 values
MACDLowDiffs = MACDLowSteps - Ref(MACDLowSteps,-1); 

// Get array containing differences in price low bar values
PriceMACDLowDiffs = PriceMACDLowSteps - Ref(PriceMACDLowSteps,-1);

// Get array defining positive divergences
MACDLowBarDiffs = Ref( BarsSince(MACDMinCond ), -1 );

// Divergence signal
MACDPosDivergence = // 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 bars
MACDHighBars = HHVBars( MACDInd, MACDDivMinWidth );

// Get array defining if the MACD's previous bar was the 
// maximum, AND if that MACD value > 0
MACDMaxCond = 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 0
MACDHighVal = 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 0
PriceMACDHighVal = 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 values
MACDHighDiffs = MACDHighSteps - Ref(MACDHighSteps,-1);

// Get array containing differences in price high bar values
PriceMACDHighDiffs = PriceMACDHighSteps - Ref(PriceMACDHighSteps,-1);

// Get array defining negative divergences
MACDHighBarDiffs = Ref( BarsSince(MACDMaxCond), -1 );

// Divergence signal
MACDNegDivergence = // 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 occured
HistPosCrossover = 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 bars
HistLowBars = LLVBars( HistInd, MACDDivMinWidth );

// Get array defining if the MACD-H previous bar was the minimum
// AND if that MACD-H value was < 0 or > 0
HistMinCond = 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 0
HistLowVal = 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 0
BarsSincePrevNegCross = 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 values
HistMinDiffs = 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 number
PriceHistLowVal = 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 values
PriceHistLowDiffs = PriceHistLowSteps - Ref(PriceHistLowSteps,-1);

// Get array containing price low minimum value when MACD-H < 0, 
// all other bars filled with 0
PriceHistMinSteps = IIf( !BarsSinceNegCross, 
                          L, 
                          LLV( L , BarsSinceNegCross) );

// Get minimum from previous MACD-H negative wave
PrevPriceHistMinSteps = IIf( BarsSincePosCross - BarsSinceNegCross < 
                                HistMinWidth,
                             ValueWhen( HistNegCrossover, 
                                        Ref(PriceHistMinSteps,-1), 2 ),
                             ValueWhen( HistNegCrossover, 
                                        Ref(PriceHistMinSteps,-1), 1 ) );

// Divergence signal
HistPosDivergence = // 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 bars
HistHighBars = HHVBars( HistInd, MACDDivMinWidth );

// Get array defining if the MACD-H previous bar was the maximum, 
// AND if that MACD-H value was < 0 OR > 0
HistMaxCond = 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 0
HistHighVal = 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 values
HistHighDiffs = HistHighSteps - Ref(HistHighSteps,-1);

// Get array containing MACD-H max value when MACD-H > 0, all other
// bars filled with 0
BarsSincePrevPosCross = 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 values
HistMaxDiffs = IIf( HistInd > 0, 
                    HistMaxSteps - Ref(HistMaxSteps,-1),
                    0);

// Get high from pevious MACD-H positive wave
PrevHistMaxSteps = 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 0
PriceHistHighVal = 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 values
PriceHistHighDiffs = PriceHistHighSteps - Ref(PriceHistHighSteps,-1);

// Get array containing MACD-H max value when MACD-H > 0, all other
// bars filled with 0
PriceHistMaxSteps = IIf( !BarsSincePosCross, 
                         H, 
                         HHV( H , BarsSincePosCross) );

// Get high from pevious MACD-H positive wave
PrevPriceHistMaxSteps = IIf( BarsSinceNegCross - BarsSincePosCross < 
                                 HistMinWidth,
                             ValueWhen( HistPosCrossover, 
                                        Ref(PriceHistMaxSteps,-1), 2 ),
                             ValueWhen( HistPosCrossover, 
                                        Ref(PriceHistMaxSteps,-1), 1 ) );

// Divergence signal
HistNegDivergence = // 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 signals

Colorshape=colorLightBlue;
PlotShapes( IIf( HistPosDivergence , shapeSmallUpTriangle, shapeNone ),
            Colorshape, 0, 0 , -12  );
PlotShapes( IIf( HistNegDivergence , shapeSmallDownTriangle, shapeNone ),
            Colorshape, 0, 0, -12  );
PlotShapes( IIf( MACDPosDivergence , shapeUpArrow , shapeNone ),
            Colorshape, 0, Graph1, -12 );
PlotShapes( IIf( MACDNegDivergence , shapeDownArrow, shapeNone ),
            Colorshape, 0, Graph1, -12 );
PlotShapes( IIf( PosCrossover , shapeSmallCircle, shapeNone ),
            Colorshape, 0, Graph1 , 0  );
PlotShapes( IIf( NegCrossover , shapeSmallCircle, shapeNone ),
            Colorshape, 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();
Previous
Next Post »