Fast BB MACD

[simterann22 10]

Here is a fast MACD using a Hull Moving Average and a Fractal Moving Average. The FastMACD dots change color when they breach outside their Bollinger Bands (which you can't see).

 

I have taken from other coder's work, so full credit goes to them. I have simply added the faster MAs and incorporated the BBs. This indicator came about just by experimenting. So try an idea out......you never know

 

It seems to pick the highs and lows nicely. I have coded it with a standard MACD so I can see divergences. You are quite welcome to add or remove anything and post it if you think it has merit.

 

The indicator also has a gapless code added which will take into account opening gaps on intraday charts. I use this with Blu-Ray's Paintbars (Similar to the Heikin Ashi), Double Stochastics and The Gapless Squeeze (here):

 

http://www.traderslaboratory.com/forums/f46/gapless-squeeze-6161.html#post68059

 

 

Here is the code:

 

{**************FMA Function******************}
//  generates very smooth and responsive moving average
// 	copyright 2008 John McCormick
//	feel free to copy and use this code royalty free 
//  as long as you don't remove the above acknowledgement
//		

Inputs: 
Price(numericseries), 
Length(numericsimple);

Vars:
j(0),
workinglen(maxlist(1,absvalue(Length))),
peak(workinglen/3),
tot(0),
divisor(0);

Array:
val[100](0);

if workinglen>100 then workinglen=100;  //  use larger array to handle lengths over 100


tot=0;
divisor=0;
for j=1 to floor(workinglen+1) begin
if j<=peak then val[j]=j/peak
else val[j]=(workinglen+1-j)/(workinglen+1-peak);
tot=tot+price[j-1]*val[j];
divisor=divisor+val[j];
end;
if divisor<>0 then FMA_smooth=tot/divisor;

 

{jtHMA - Hull Moving Average Function}
{Author: Atavachron}
{May 2005}		

Inputs: price(NumericSeries), length(NumericSimple);
Vars: halvedLength(0), sqrRootLength(0);

{
Original equation is:
---------------------
waverage(2*waverage(close,period/2)-waverage(close,period), SquareRoot(Period)
Implementation below is more efficient with lengthy Weighted Moving Averages.
In addition, the length needs to be converted to an integer value after it is halved and
its square root is obtained in order for this to work with Weighted Moving Averaging
}

if ((ceiling(length / 2) - (length / 2))  <= 0.5) then
halvedLength = ceiling(length / 2)
else
halvedLength = floor(length / 2);

if ((ceiling(SquareRoot(length)) - SquareRoot(length))  <= 0.5) then
sqrRootLength = ceiling(SquareRoot(length))
else
sqrRootLength = floor(SquareRoot(length));

Value1 = 2 * WAverage(price, halvedLength);
Value2 = WAverage(price, length);
Value3 = WAverage((Value1 - Value2), sqrRootLength);

jtHMA = Value3;

 

{***************FastMACD Function**********************

inputs: 
Price( numericseries ), 
FastLength( numericsimple ), { this input assumed to be a constant >= 1 }
SlowLength( numericsimple ) ; { this input assumed to be a constant >= 1 }

MACD_HMA_FMA = jthma( Price, FastLength ) - FMA_smooth( Price, SlowLength ) ;


{ ** Copyright (c) 2001 - 2009 TradeStation Technologies, Inc. All rights reserved. ** 
 ** TradeStation reserves the right to modify or overwrite this analysis technique 
    with each release. ** }

 

{******************FastMACD Indicator*************}

inputs:

price(close),
fastlength (12),
slowlength (26),
signal (9),
BBstDv(1),	
DirColor(True),
BBColorUp(White),
BBColorDn(Magenta),
ZeroColor(DarkCyan);


VARS:
BB_Macd(0),
MyMACD(0),
Avg(0),
SDev(0),
Alert_Msg(" "),
Upper_Band(0),
Lower_Band(0),
BBColor(0),      
   Cross_Up(False),
Cross_Dn(False);  

// gapless day transitions - John McCormick May 2008

Vars:
RelO(0),		// Relative Open
RelH(0),		// Relative High
RelL(0),		// Relative low
RelC(0),		// Relative Close
gap(0),			// the opening gap (modified by the gap coefficient)
GapCoef(1.0),	// Gap Coefficient
Accum(0);		// The sum of all the daily gaps

if currentsession(0)<>currentsession(0)[1] or date<>date[1] then 
 begin
gap=GapCoef*(O-C[1]);
Accum=Accum+gap;   
 end;

if BarType<=1 then  //Valid only for Tick or Intraday	 

begin

	RelO	=	O-Accum;
	RelC	=	C-Accum;
	RelH	=	H-Accum;
	RelL	=	L-Accum;

	end

	else begin

	RelO	=	O;
	RelC	=	C;
	RelH	=	H;
	RelL	=	L;

end;

// Gapless - end

Var: GL_Price(0);

GL_price = RelC;
If Price=open then GL_price = RelO;
If Price=high then GL_price = RelH;
If Price=low then GL_price = RelL;



BB_Macd = FMA_smooth(MACD_HMA_FMA(GL_price, FastLength, SlowLength),3)*0.5 ;//added xaverage to smooth 'bumps'
MyMACD = MACD( GL_price, FastLength, SlowLength )*1.5 ;
//Avg  = FMA_smooth( BB_Macd, Signal);
Avg = XAverage( MyMACD,Signal ) ;
SDev = StandardDev( BB_Macd, Signal, 1);

Upper_Band = ( Avg + BBStDv * SDev );
Lower_Band = ( Avg - BBStDv * SDev );

//******************************************************//
//     Sub-Graph plot logic.                            //
//******************************************************//

if DirColor=True then

begin



  If BB_Macd > BB_Macd[1] then BBColor = BBColorUp else BBColor = BBColorDn;

  If Cross_Up = False then if BB_Macd > Upper_Band then begin
     Cross_Up = True;  
     Cross_Dn = False;  
     BBColor = Cyan;	
  If CheckAlert then Alert( "BB cross up " + Alert_Msg );
     end;   

  If Cross_Dn = False then if BB_Macd < Lower_Band then begin
     Cross_Up = False;  
     Cross_Dn = True;  
     BBColor = Yellow;
  If CheckAlert then Alert( "BB cross down " + Alert_Msg );
     end;


   Plot1( BB_Macd, "BBMACD" ,BBColor );
Plot2(Avg, "Signal",Cyan); 

  	Plot4( 0, "Zero_Line", ZeroColor );
	Plot3(MyMACD, "MACD", green,2);
   end
else
setplotcolor(1,green);

@SK_FAST_MACDBB.ELDFetching info...

[shrike 10]

hi

i found this error :

Unknown Function

errLine 74, errColumn 10, errLineEnd 74, errColumnEnd 20

 

refer to FMA_smooth , i 've insert fma function and compile well

[ajax358 10]

Great ta, thx allot. Is like what I have come up with for MACD primary trading indicator, but did not have the dots....this dot version works great on the crosses in scalping!!!.....great work...thanks...

[shrike 10]

hi

 

make some change now works :missy: thanks again

[simterann22 10]

I've updated the code to :

 

*Show crossing of BB's more accurately and to plot the correct BB lines if you so wish (you will however have to 'uncomment' the plots out to show them though). The BB lines were plotted off the standard MACD instead of the FastMACD in V1, but since I do not use the indicator this way I had not noticed.

 

*Allow the 'non directional plot' to work ie. if you do not want the white and magenta directional dots, they will appear green. Of course the colors are mostly hard-coded in EL for simplicity but you can easily change them if you wish to do so.

 

*Fixed the alert.

 

Please let me know if you know of any more bugs or any new ways to improve this indicator. Cheers.

 

{************************sk_FastMACD_Gapless*********************}
{************************Simterann22 2009************************}	
inputs:

price(close),
fastlength (12),
slowlength (26),
signal (9),
BBstDv(1),	
DirColor(True),
BBColorUp(White),
BBColorDn(Magenta),
ZeroColor(DarkCyan);


VARS:
BB_Macd(0),
MyMACD(0),
Avg(0),
AvgBB(0),
SDev(0),
Alert_Msg(" "),
Upper_Band(0),
Lower_Band(0),
BBColor(0),      
   Cross_Up(False),
Cross_Dn(False);  

// gapless day transitions - John McCormick May 2008

Vars:
RelO(0),		// Relative Open
RelH(0),		// Relative High
RelL(0),		// Relative low
RelC(0),		// Relative Close
gap(0),			// the opening gap (modified by the gap coefficient)
GapCoef(1.0),	// Gap Coefficient
Accum(0);		// The sum of all the daily gaps

if currentsession(0)<>currentsession(0)[1] or date<>date[1] then 
 begin
gap=GapCoef*(O-C[1]);
Accum=Accum+gap;   
 end;

if BarType<=1 then  //Valid only for Tick or Intraday	 

begin

	RelO	=	O-Accum;
	RelC	=	C-Accum;
	RelH	=	H-Accum;
	RelL	=	L-Accum;

	end

	else begin

	RelO	=	O;
	RelC	=	C;
	RelH	=	H;
	RelL	=	L;

end;

// Gapless - end

Var: GL_Price(0);

GL_price = RelC;
If Price=open then GL_price = RelO;
If Price=high then GL_price = RelH;
If Price=low then GL_price = RelL;



BB_Macd = FMA_smooth(MACD_HMA_FMA(GL_price, FastLength, SlowLength),3)*0.5 ;//added FMA_smooth to smooth 'bumps'
MyMACD = MACD( GL_price, FastLength, SlowLength )*1.5 ;//Standard MACD
Avg  = XAverage( MyMACD, Signal);//Plotted standard MACD signal
AvgBB = XAverage( BB_Macd,Signal ) ;//Average for FastMACD, not plotted
SDev = StandardDev( BB_Macd, Signal, 1);

Upper_Band = ( AvgBB + BBStDv * SDev );
Lower_Band = ( AvgBB - BBStDv * SDev );

if DirColor=True then

begin



  If BB_Macd > BB_Macd[1] then BBColor = BBColorUp else BBColor = BBColorDn;

  If Cross_Up = False then if BB_Macd > Upper_Band then begin
     Cross_Up = True;  
     Cross_Dn = False;  
     BBColor = Cyan;	
  Alert( "BB cross up ");
     end;   

  If Cross_Dn = False then if BB_Macd < Lower_Band then begin
     Cross_Up = False;  
     Cross_Dn = True;  
     BBColor = Yellow;
  Alert( "BB cross down ");
     end;
Plot1( BB_Macd, "BBMACD" ,BBColor );
end
else begin
Plot1( BB_Macd, "BBMACD" ,Green);
end;



Plot2(Avg, "Signal",Cyan,1); 
Plot3(MyMACD, "MACD", Green,2);
Plot4( 0, "Zero_Line", ZeroColor );
//Plot5(Upper_Band,"Upper Band",Red,1);
//Plot6(Lower_Band,"Lower Band",Red,1);

@SK_FAST_MACDBB_V2.ELDFetching info...

[simterann22 10]

Here's something pretty cool IMHO.....

 

Just add:

 

//Squeeze Input
SQLength(20),
nKeltner(1.5), 
nBBands(2), 
AlertLine( 1);

 

under your FastMACD inputs. (Remember to change the semicolon after 'zerocolor' to a comma (,).

 

Then add below your FastMACD code:

 

Vars:

SDevSQ(0),ATR(0),LHMult(0),Denom(0),BBS_Ind(0);

if ( barnumber=1 ) then 
Begin
  If minmove <> 0 then
    LHMult = pricescale/minmove;
end;


ATR = AvgTrueRangeGL(SQLength);
SDevSQ = StandardDev(RelC, SQLength, 1);

Denom = (nKeltner*ATR);
If Denom <> 0 then BBS_Ind = (nBBands * SDevSQ) /Denom; 

If BBS_Ind < Alertline then
  SetPlotColor(1, Red); 

 

then press F3 to compile.

 

This turns the FastMACD dots to red if a BB Squeeze is happening ie. when the BBs are inside the Keltner Channels. So when it turns red look for chop and slowing of volatility. When it exits red along with an increase in the distance between the dots you may be looking at a decent move. You can change the squeeze length, BB and KC settings to suit your taste.

 

Edit: In order for this to work you will need to install the Gapless Squeeze http://www.traderslaboratory.com/forums/f46/gapless-squeeze-6161.html#post68059, because you'll need the AvgTrueRangeGL function. If you don't want to bother then just change AvgTrueRangeGL to AvgTrueRange (although it won't be as accurate for session gaps).

Edited July 2, 2009 by simterann22

[Tams 20]

  simterann22 said:

Here's something pretty cool IMHO.....

 

Just add:

 

//Squeeze Input
SQLength(20),
nKeltner(1.5), 
nBBands(2), 
AlertLine( 1);

 

under your FastMACD inputs. (Remember to change the semicolon after 'zerocolor' to a comma (,).

 

...

 

 

 

one small EasyLanguage programming note:

 

you can have more than ONE input section.

 

i.e. if you add the following after the first input section, you don't have to worry about changing the semi-colon.

 

 

//Squeeze Input

INPUT:

SQLength(20),

nKeltner(1.5),

nBBands(2),

AlertLine( 1);

[simterann22 10]

Hi Tams,

 

yeah......I just cut and shut and learn as I go. :embarassed:

 

If it works it works......but I do like to improve my coding all the time......so appreciate it. Cheers.

[ajax358 10]

thx....great indicator....good work mate....

[simterann22 10]

Ajax358, I'm glad you've found a good use for it. How are you using the indicator? I'm curious to know since you mentioned scalping the crosses. What sort of timeframe? Would you mind sharing?

 

Cheers.

[ajax358 10]

  simterann22 said:

Ajax358, I'm glad you've found a good use for it. How are you using the indicator? I'm curious to know since you mentioned scalping the crosses. What sort of timeframe? Would you mind sharing?

 

Cheers.

 

How using?...using it in my existing MACD/Stoch window....found that the std settings of this indicator was completely equal to my own MACD indicator that I had gotten as fast in the turns as i could over 3 years & use it day for emini day trades (my MACD input=8,21,13)....I wait for the MACD to cross the MACD avg, then wait for the MACD to cross the zl. Sometimes will go in earlier if my Stoch has lead the MACD in a certain look, as it leads the macd in every real turn, as have found out over time. I use the "Fast BB MACD", by blocking out as a dot/black all the lines except, except the "BBMACD" line of 'dots', as the color change shows & verifies the MACD cross the MACD Avg great!!!!....the others are blacked out because I already have the MACD/MACD Avg in that level #1, & don't need this ta's lines then, but use the 'dots'. The lines are the same as my MACD input results, so you/anyone could use this indicator & know ya have the very fastest in the turns...great job on this indicator!!!.....I know, I have tested every input value there is in these number areas, & these are the fastest, mine & yours, imo.

 

The time frame is a 166tk NQ & ES....used to use a 89 & 144tk, but found the 116 tk is not only mid way between the two, so maintains the fibanacci ratios, but is smoother than the 89tk & quicker than the 144tk in the turns. So use it as my trade chart & use a 305tk ES &NQ as my anchor charts (305 tk is midway betweee the 377 & 233tk, so maintains again the Fib ratio, & is quicker than the 377tk, but smoother than the 233tk; all my inputs are Fib's numbers in my system).

 

Hope that helps....give it a look & backtest & see what ya think....

[simterann22 10]

Thanks Ajax358, I like to hear what other traders are doing. Yeah....similar to my setup but I hadn't quite found my 'perfect' timeframe for the ES etc. yet. Thanks for sharing your setup.

 

Check out the DoubleStoch below. See what you think. It's actually a 'Quadruple Double Stochastic"! I simply made a new indicator with 4 together...it sure beats having to mount 4 each time I want to plot them. I've commented out one of the plots so I really only use 3 at this stage. Here is the text version as well:

 

[LegacyColorValue = true]; 

{_DStoc: Double Stochastic Function}

Inputs: 
DStLen(NumericSimple)
;

Vars:   
Num(0),
Denom(0),
Ratio(0),
PctK(0),
DNum(0),
DDenom(0),
DRatio(0),
DPctK(0);

Vars:
RelO(0),		// Relative Open
RelH(0),		// Relative High
RelL(0),		// Relative low
RelC(0),		// Relative Close
gap(0),			// the opening gap (modified by the gap coefficient)
GapCoef(1.0),	// Gap Coefficient
Accum(0);		// The sum of all the daily gaps

if currentsession(0)<>currentsession(0)[1] or date<>date[1] then 
 begin
gap=GapCoef*(O-C[1]);
Accum=Accum+gap;   
 end;

if BarType<=1 then  //Valid only for Tick or Intraday	 

begin

	RelO	=	O-Accum;
	RelC	=	C-Accum;
	RelH	=	H-Accum;
	RelL	=	L-Accum;

	end

	else begin

	RelO	=	O;
	RelC	=	C;
	RelH	=	H;
	RelL	=	L;

end;

// Gapless - end


{Stoc}
Num=RelC-_Lst(RelL,DStLen);
Denom=_Hst(RelH,DStLen)-_Lst(RelL,DStLen);
Ratio=IFF(Denom>0,(Num/Denom)*100,Ratio[1]);
PctK=IFF(CurrentBar=1,Ratio,PctK[1]+(.5*(Ratio-PctK[1])));

{DStoc}
DNum=PctK-_Lst(PctK,DStLen);
DDenom=_Hst(PctK,DStLen)-_Lst(PctK,DStLen);
DRatio=IFF(DDenom>0,(DNum/DDenom)*100,DRatio[1]);
DPctK=IFF(CurrentBar=1,DRatio,DPctK[1]+(.5*(DRatio-DPctK[1])));

_DStocGL=DPctK;

 

{_Lst: Calculates Lowest Values}
{Copyright 1998 Walter Bressert} 

Inputs: 
Price(NumericSeries),Length(NumericSimple);

Vars:   
X(0),
Lo(0)
;

Lo=999999;
For X=0 to Length-1 begin
 If Price[X] < Lo then Lo = Price[X];
End;

_Lst=Lo;

 

[LegacyColorValue = true]; 

{_Hst: Calculates Highest Values}
{Copyright 1998 Walter Bressert} 

Inputs: Price(NumericSeries),Length(NumericSimple);

Vars:   X(0),Hi(-999999);

Hi=-999999;
For X=0 to Length-1 begin
 If Price[X]>Hi then Hi=Price[X];
End;

_Hst=Hi;

 

inputs: Test( truefalsesimple ), TrueVal( numericsimple ), FalseVal( numericsimple ) ;

if Test then
IFF = TrueVal 
else 
IFF = FalseVal ;


{ ** Copyright (c) 2001 - 2009 TradeStation Technologies, Inc. All rights reserved. ** 
 ** TradeStation reserves the right to modify or overwrite this analysis technique 
    with each release. ** }

 

[LegacyColorValue = true]; 

{
Double Stochastic 
Plots function _DstocGL}

Inputs: //Len1(17), 
	Len2(28), Len3(42), Len4(85);


//value1 = _DstocGL(Len1);
value2 = _DstocGL(Len2);
value3 = _DstocGL(Len3);
value4 = _DstocGL(Len4);


//plot1 (value1, "Stoch1",red,default,1);
plot2 (value2, "Stoch2",green,default,1);
plot3 (value3, "Stoch3",magenta,default,1);
plot4 (value4, "Stoch4",white,default,2);
plot5 (80, "OB",blue,default,1);
Plot6 (20, "OS",blue,default,1);

 

Enjoy.....

DBL STOCH.ELDFetching info...

[ajax358 10]

YW....& thx for the Dbl Stoch.....will look at it now. I use my Stoch (13,8,8,1,30,70) 'in' my first level w/ the MACD, as in real/true moves, it ALWAYS leads the MACD in the move, & the across the the MACD crosses & zl. WIll see how this one looks in the setup....thx again....

 

Just loaed & backtested it....looks great, the lines cross well in the turns...is near equal to my MACD/Stoch lines cross, in fact almost exactly equal, means great indicator...thx...

Edited July 7, 2009 by ajax358

[simterann22 10]

As per member's request here is the PDF of a thread discussing how to use the Dbl Stoch:

TS FORUM- USING DBL TRIPLE STOCH -.pdfFetching info...

[ajax358 10]

  simterann22 said:

As per member's request here is the PDF of a thread discussing how to use the Dbl Stoch:

 

thx....will read it in a bit....

 

ajax