Smooth MTF MACD for earlier buy/sell signals

Hi Guys

Do You have any idea how to change this code to get this MTF MACD indicator to draw smoother?

Lets say the indicator is used on M1 to draw a M5 MACD (using default setting of 12, 26, 9), then the indicator will reference each close price used in the calculation 5 times until moving to the next closing value (which will be used 5 times again). Thereby You get the MTF MACD that are stair stepping itself higher or lower.

How can this be changed so the indicator at any given time references the next close price on the main timeframe?
Case:
We're on M1 with the MTF MACD set to 5 (the next higher TF). Now to get a smoother MACD value I will, at any time, use current price shift0 and the close price at shift5, shift10, 15, 20, 25 etc.
If on M5 and and MTF MACD set to M15, the indicator should reference current price shift0 and the close price of shift3, shift6, 9 etc.

I picture that the benefit is that a higher timeframe MACD value is being updated every time the lower timeframe draws a new bar. Of course it will not draw the exact higher-TF MACD value as if a MACD was plotted on that higher TF. But it will give an earlier zero line crossover, and potentially earlier trade signals.

I picked up the MTF MACD here: [url="http://codebase.mql4.com/5660"].

The code is pasted below. Can You help me? Some of the code in the start function must be changed to obtain my goal.

Cheers
Tomas

_______
//+------------------------------------------------------------------+
//| MTF MACD.mq4 |
//+------------------------------------------------------------------+
#property copyright "mqlservice.co.uk"
#property link "http://mqlservice.co.uk/"

#property indicator_separate_window
#property indicator_buffers 2
#property indicator_color1 Gray
#property indicator_color2 Red
//---- input parameters
extern int TimeFrame=0;
extern int FastEMA=12;
extern int SlowEMA=26;
extern int Signal=9;
extern int AppliedPrice=0;
extern int Shift=0;

extern string note0="Applied price 0-CLOSE | 1-OPEN | 2-HIGH | 3-LOW |";
extern string note1=" | 4-MEDIAN | 5-TYPICAL | 6-WEIGHTED |";
extern string note2 = "Time Frame 0=current time frame";
extern string note3 = "1=M1, 5=M5, 15=M15, 30=M30";
extern string note4 = "60=H1, 240=H4, 1440=D1";
extern string note5 = "10080=W1, 43200=MN1";
//---- buffers
double MainBuffer[];
double SignalBuffer[];

//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
int draw_begin=MathMax(FastEMA,SlowEMA);
string short_name="MTF MACD Price ";
//---- indicators
SetIndexStyle(0,DRAW_HISTOGRAM,0,2);
SetIndexBuffer(0,MainBuffer);
SetIndexStyle(1,DRAW_LINE);
SetIndexBuffer(1,SignalBuffer);
Print("MTF MACD.mq4, Ver.#2");
Print("Copyright 2009/05/26 MQL Service UK http://mqlservice.co.uk/");
switch(AppliedPrice){
case 1 : short_name=short_name+"| OPEN "; break;
case 2 : short_name=short_name+"| HIGH "; break;
case 3 : short_name=short_name+"| LOW "; break;
case 4 : short_name=short_name+"| MEDIAN "; break;
case 5 : short_name=short_name+"| TYPICAL "; break;
case 6 : short_name=short_name+"| WEIGHTED "; break;
default :
AppliedPrice=PRICE_CLOSE; short_name=short_name+"| CLOSE "; break;
}
if(TimeFrame<Period()) TimeFrame=Period();
string TFName="";
switch(TimeFrame)
{
case 1 : TFName="M1"; break;
case 5 : TFName="M5"; break;
case 15 : TFName="M15"; break;
case 30 : TFName="M30"; break;
case 60 : TFName="H1"; break;
case 240 : TFName="H4"; break;
case 1440 : TFName="D1"; break;
case 10080 : TFName="W1"; break;
case 43200 : TFName="MN1"; break;
default : TFName="Chart"; TimeFrame=Period(); break;
}

short_name=StringConcatenate(short_name," (TF "+TFName+","+FastEMA+","+SlowEMA+","+Signal+")");
IndicatorShortName(short_name);
SetIndexDrawBegin(0,draw_begin);
SetIndexDrawBegin(1,draw_begin);
SetIndexLabel(0,"Main");
SetIndexLabel(1,"Signal");
IndicatorDigits(6);
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
//----

//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start()
{
int limit, iChart, iTF, delta=0;
datetime TimeArray[];
if(TimeFrame>Period()) delta=MathCeil(TimeFrame/Period());
int counted_bars=IndicatorCounted();
//---- check for possible errors
if(counted_bars<0) return(-1);
//---- the last counted bar will be recounted
if(counted_bars>0) counted_bars--;
limit=Bars-counted_bars+delta;

ArrayCopySeries(TimeArray,MODE_TIME,Symbol(),TimeFrame);

iTF=0;
for(iChart=0; iChart<limit; iChart++)
{
while(Time[iChart]<TimeArray[iTF]) iTF++;
MainBuffer[iChart]=EMPTY_VALUE;
SignalBuffer[iChart]=EMPTY_VALUE;
MainBuffer[iChart]=iMACD(Symbol(),TimeFrame,FastEMA,SlowEMA,Signal,AppliedPrice,MODE_MAIN,iTF+Shift);
SignalBuffer[iChart]=iMACD(Symbol(),TimeFrame,FastEMA,SlowEMA,Signal,AppliedPrice,MODE_SIGNAL,iTF+Shift);
}
return(0);
}

//+------------------------------------------------------------------+

How do I collect and reference an array of prices where the array is defined from HigherTimeFrame/PresentTimeFrame=TFfactor and # of periods in MACD?

The array for the FastPeriod (in this case FastPeriod=12) is:
Shift0 and 11 periods with the TFfactor between each value (if PresentTimeFrame=M5 and HigherTimeFrame=M15 then the array referenced for the fast period is Shift0, 3, 6, 9, 12, 15, 18, 21, 24, 27, 30, 33 on M5).
And the same principle goes for the SlowPeriod array.

Think this goes some way towards what you want (no more time now).
May need tweaking?

(Not tried in real time).

HTH

Thanks - I'll test it, study the code and get back to You

Hi Futurespec

Got busy, but now I have tested it. The M1/M5 comparison looked promising since your version is actually leading.
Here the histogram crosses below the zeroline at 0317, where the other MTF MACD (a ordinary MACD) crosses the zeroline at 0320 - 3 minuttes later.
However it looks like the indicator is only doing the smoothing as it is being attached to a chart, not running in real time.

The M5/H1 comparison showed another problem.
It seems like it does not hold the higher timeframe value (on the lower timeframe) until 1 period before shifting to the next whole hour value.

An ordinary MACD on a H1 chart and the other MFT MACD referencing H1 has a MACD value of 0.000009 at time 1400. But the mnMTF MACD does not obtain this value until 1455 - so here it is lagging. The same goes for the 1500 hours vs. 1555 and 1600 hours vs. 1655 values.

Is it correct that your version smoothes out the values by averaging the values of the higher timeframe?

This is what I'm aiming for - In case of a 5M/H1 reference:
Can You mathematically define an array of closing prices 12 hours back for the FastPeriod value and 26 hours back for the SlowPeriod value? So at time 05 past the hour it references the closing prices at xx05 12 hours back and xx05 26 hours back... and at 10 min past the hour referencing all the values of xx10 for the last 12 and 26 hours respectively.

Thanks for helping.
Can't guarantee that this idea is worth while, but I think that You would gain the combination of stability of a higher timeframe reference and an earlier trade trigger.

Does MT4 have something equivalent to the modulus operator in C++?
I was notified that the modulus operator in C++ is excellent for omitting the values that are not needed.
Ref.: http://www.cprogramming.com/tutorial/modulus.html
YES, actually it does! I searched mql4.com and found out that the same function exists.

So if delta = TimeFrame/Period()
Then we can test the condition:

if (bar % delta == 0)
All the bars that will return true to this condition should be included in the new MTF array used for the MACD calculation.

If the chart timeframe is M5 and the higher reference timeframe is H1, then
delta = 60/5 = 12

if (bar % delta == 0) would then return the bars at shift 0, 12, 24, 36, 48 etc. because only these numbers will return a whole number when divided by 12 (delta). Any other bar (eg. bar 37) will return a decimal number when divided by 12.

In this way the bars that should be used for the MTF MACD calculation could easily be put in a separate bar sequence, that can be used for any period MACD.

Now the question is:
Can it be coded, and who can do this in MT4?

MathMod( double value, double value2) does it the same in MT4.

As to coding it ... not a problem but sorry I do not have the time at present.

Thanks a lot for Your help so far!