Stock Portfolio Organizer

The ultimate porfolio management solution.

Shares, Margin, CFD's, Futures and Forex
EOD and Realtime
Dividends and Trust Distributions
And Much More ....
For Portfolio Manager Click Here

WiseTrader Toolbox

#1 Selling Amibroker Plugin featuring:

Advanced Adaptive Indicators
Advanced Pattern Exploration
Neural Networks
And Much More ....
Find Out More Here

MACD and histogram divergence detection for Amibroker (AFL)
dpk23
about 14 years ago
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

Screenshots

Similar Indicators / Formulas

Jasons Indicator Convergence Divergence (JICD)
Submitted by kaiji almost 15 years ago
Williams %R Exploration
Submitted by kaiji over 14 years ago
Awesome Oscillator (AO)
Submitted by zaroldo over 14 years ago
Reversing MACD
Submitted by kelvinhand over 11 years ago
%MACD
Submitted by mavirk over 14 years ago
rsi<30 and sort
Submitted by ali32b over 10 years ago

Indicator / Formula

Copy & Paste Friendly
//------------------------------------------------------------------------------
//
//  This indicator and exploration detects MACD line divergences and
//  crossovers, and also detects MACD divergences.
//
//------------------------------------------------------------------------------

_SECTION_BEGIN("MACD Divergence");
//
// MACD divergence system
//
// This system detects MACD and MACD-H positive and negative divergences, and 
// crossovers.  

// This indicator/expansion is based completely on indicators/explorations written
// by other AFL contributors, all of them much cleverer than me. 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
//------

// 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) ); 


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 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
PlotShapes( 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();

2 comments

1. eurosiva

Line 513 shows “warning 501. assignment with conditional”

2. viet

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.

Leave Comment

Please login here to leave a comment.

Back