MACD (Moving Average Convergence Divergence)

class src.lib.analysis.methods.macd.MACD(name)

Bases: src.lib.analysis.methods.lstm.LSTM, src.lib.analysis.basic.Basic, src.lib.analysis.arbitration.Arbitration, src.lib.analysis.performance_simulation.PerformanceSimulation, src.lib.analysis.report_analysis.ReportAnalysis, src.lib.analysis.summary.Summary

calc_MACD()

Calculate de MACD indicator. The MACD is based on the following steps:

\[\text{MACD Line} = EMA_{VC}^{(N=12)} - EMA_{VC}^{(N=26)}\]

where VC refers to the closing value of the stock, and where the exponential moving average is defined for a magnitude X (in the current application, \(X=VC\)) and length N by the self-recurring formular as follows:

\[\begin{split}EMA_{X}^{(N)}(k) = \begin{cases} EMA_{X}(0) = X(0) \\ EMA_{X}(k) = \alpha.X(k) + (1 - \alpha).EMA_{X}(k-1) \end{cases}\end{split}\]

where:

\[\alpha = \frac{2}{1 + N}\]

the result from \(\text{MACD Line}\) is used to calculate the \(\text{MACD Signal}\), determined by:

\[\text{MACD Signal} = EMA_{\text{MACD Line}}^{(N=9)}\]

and finally:

\[\text{MACD Histogram} = \text{MACD Line} - \text{MACD Signal}\]

The interpretation of the indicator (MACD Histogram) is that positive values indicate a buy recommendation, while negative indicate a sell position.