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Attachments: Traditional MACD histograms vs MT4's MACD Coding
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Traditional MACD histograms vs MT4's MACD Coding

  • Post #1
  • Quote
  • First Post: Feb 3, 2011 4:47pm Feb 3, 2011 4:47pm
Hi, everyone,

I am trying to code an EA for a trading system in a classical book, and need to use the Traditional MACD histograms. However, the backtest seems to be very slow when I use the Traditional MACD histograms. The code is

Inserted Code
double MACDLineBuffer[100];
double SignalLineBuffer[100];
double HistogramBuffer[100];
alpha = 2.0 / (SignalMAPeriod + 1.0);
alpha_1 = 1.0 - alpha;
for(int i=100; i>=0; i--)
   {
      MACDLineBuffer[i] = iMA(NULL,10080,FastMAPeriod,0,MODE_EMA,PRICE_CLOSE,i) - iMA(NULL,10080,SlowMAPeriod,0,MODE_EMA,PRICE_CLOSE,i);
      SignalLineBuffer[i] = alpha*MACDLineBuffer[i] + alpha_1*SignalLineBuffer[i+1];
      HistogramBuffer[i] = MACDLineBuffer[i] - SignalLineBuffer[i];
   }

Could someone let me know which is better for predicting a trend, traditional MACD histograms or MT4's MACD?

Many thanks!
Quoting dogberry
I am trying to code an EA for a trading system in a classical book, and need to use the Traditional MACD histograms. However, the backtest seems to be very slow when I use the Traditional MACD histograms. The code is ....
This is how you can call the MACD in MT4:
PHP Code
 dMACD[i]=iMACD(NULL,0,FastEMA,SlowEMA,Signal,PRICE_CLOSE, MODE_MAIN,i);
dSignal[i]=iMACD(NULL,0,FastEMA,SlowEMA,Signal,PRICE_CLOSE, MODE_SIGNAL,i); 
The iMACD is a traditional MACD, it is only the presentation in the chart that differs. Ie MT4 does not show the signal line in the chart.
You mean dMACD[i] i.e. MODE_MAIN is the traditional MACD?
Many thanks!


Quoting Xaphod
This is how you can call the MACD in MT4:
PHP Code
 dMACD[i]=iMACD(NULL,0,FastEMA,SlowEMA,Signal,PRICE_CLOSE, MODE_MAIN,i);
dSignal[i]=iMACD(NULL,0,FastEMA,SlowEMA,Signal,PRICE_CLOSE, MODE_SIGNAL,i); 
The iMACD is a traditional MACD, it is only the presentation in the chart that differs. Ie MT4 does not show the signal line in the chart.
Did you read the links I posted explaining the MACD?
Attached Image (click to enlarge)
Click to Enlarge Name: macd-exp.png Size: 35 KB
  • Post #5
  • Quote
  • Edited 6:10am Feb 4, 2011 4:18am | Edited 6:10am
What I need is the mainstream MACD Histogram. Correct me if I am wrong. Many thanks!

Inserted Code
[color=#000000][color=#0000bb]dMACD[/color][color=#007700][[/color][color=#0000bb]i[/color][color=#007700]]=[/color][color=#0000bb]iMACD[/color][color=#007700]([/color][color=#0000bb]NULL[/color][color=#007700],[/color][color=#0000bb]0[/color][color=#007700],[/color][color=#0000bb]FastEMA[/color][color=#007700],[/color][color=#0000bb]SlowEMA[/color][color=#007700],[/color][color=#0000bb]Signal[/color][color=#007700],[/color][color=#0000bb]PRICE_CLOSE[/color][color=#007700], [/color][color=#0000bb]MODE_MAIN[/color][color=#007700],[/color][color=#0000bb]i[/color][color=#007700]);
[/color][color=#0000bb]dSignal[/color][color=#007700][[/color][color=#0000bb]i[/color][color=#007700]]=[/color][color=#0000bb]iMACD[/color][color=#007700]([/color][color=#0000bb]NULL[/color][color=#007700],[/color][color=#0000bb]0[/color][color=#007700],[/color][color=#0000bb]FastEMA[/color][color=#007700],[/color][color=#0000bb]SlowEMA[/color][color=#007700],[/color][color=#0000bb]Signal[/color][color=#007700],[/color][color=#0000bb]PRICE_CLOSE[/color][color=#007700], [/color][color=#0000bb]MODE_SIGNAL[/color][color=#007700],[/color][color=#0000bb]i[/color][color=#007700]);  
Histogram[i]=[/color][/color][color=#000000][color=#0000bb]dMACD[/color][color=#007700][[/color][color=#0000bb]i[/color][color=#007700]][/color][/color]-[color=#000000][color=#0000bb]dSignal[/color][color=#007700][[/color][color=#0000bb]i[/color][color=#007700]][/color][/color];
Quoting Xaphod
Did you read the links I posted explaining the MACD?
Info on MACD calculation here - how MT4 version differs from the mainstream. Not sure if it answers your question, however.

[EDIT] There's a (factory supplied) MT4 indy called 'Moving Average of Oscillator', which attempts to plot the mainstream MACD histogram.
As pointed out by hanover (see links in the above post) the MT4 MACD's signal uses the SMA method and the Traditional which uses the EMA method. So try this for a traditional MACD:
PHP Code
 dMACD[i]=iMACD(NULL,0,FastEMA,SlowEMA,Signal,PRICE_CLOSE, MODE_MAIN,i);
dSignal[i]=iMAOnArray(dMACD,Bars,Signal,0,MODE_EMA,i);
dHisto=dMACD[i]-dSignal[i]; 
Quoting Xaphod
As pointed out by hanover (see links in the above post) the MT4 MACD's signal uses the SMA method and the Traditional which uses the EMA method. So try this for a traditional MACD:
PHP Code
 dMACD[i]=iMACD(NULL,0,FastEMA,SlowEMA,Signal,PRICE_CLOSE, MODE_MAIN,i);

dSignal[i]=iMAOnArray(dMACD,Bars,Signal,0,MODE_EMA,i);

dHisto=dMACD[i]-dSignal[i]; 
I'm trying to use this code in an EA to represent a traditional MACD Histogram. While I've done a lot of programming, I've recently got involved with MT4.

The built-in OsMA indicator executes each of "those" lines within a separate For loop. Namely,

PHP Code
 //---- macd counted in the 1-st additional buffer

   for(int i=0; i<limit; i++)

      MacdBuffer[i]=iMA(NULL,0,FastEMA,0,MODE_EMA,PRICE_CLOSE,i)-iMA(NULL,0,SlowEMA,0,MODE_EMA,PRICE_CLOSE,i);

//---- signal line counted in the 2-nd additional buffer

   for(i=0; i<limit; i++)

      SignalBuffer[i]=iMAOnArray(MacdBuffer,Bars,SignalSMA,0,MODE_SMA,i);

//---- main loop

   for(i=0; i<limit; i++)

      OsmaBuffer[i]=MacdBuffer[i]-SignalBuffer[i]; 
Do I need the 3 loops in the EA as well? It seems terribly inefficient to recompute over the whole chart for each EA update. It seems like I ought to be able to just update the most recent value.

What am I missing?

Any insights greatly appreciated.
  • Post #9
  • Quote
  • Last Post: Edited 2:58am Oct 2, 2011 2:22am | Edited 2:58am
Quoting mt4fx
I'm trying to use this code in an EA to represent a traditional MACD Histogram. While I've done a lot of programming, I've recently got involved with MT4.

The built-in OsMA indicator executes each of "those" lines within a separate For loop. Namely
...
Do I need the 3 loops in the EA as well? It seems terribly inefficient to recompute over the whole chart for each EA update. It seems like I ought to be able to just update the most recent value.
What am I missing?
Any insights greatly appreciated.
Yes, each of the loops is dependant on the data calculated in the previous loop. How else would one do it?

MT4 uses the indicator buffers to store previously calculated data, however one does not have access them in an EA. You can emulate the indicator buffers using the Array functions. ArraySetAsSeries(), ArrayResize() etc. That way you do not have to recalculate data. See this article for more help:
http://articles.mql4.com/501

Otherwise, the 'limit' variable in the for loop is used to calculate ahead of time the amount of bars you will be processing. You can limit this to only what is needed if you are using only the most recent bar(s) in the EA. For example, a 21 MA will need at least 21 bars to be correct.
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