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Technical Studies Reference


MACD - Volume Weighted

Let \(X\) be a random variable denoting the Input Data Input. Let the Inputs Fast Moving Average Length, Slow Moving Average Length, and MACD Moving Average Length be denoted as \(n_F\), \(n_S\), and \(n_M\), respectively. This study calculates and displays three indicators: the Volume Weighted MACD, the Moving Average of the Volume Weighted MACD, and the Volume Weighted MACD Difference. We denote the values of these indicators for the given Inputs at Index \(t\) as \(VWMACD_t\left(X,n_F,n_S\right)\), \(\overline{VWMACD}_t\left(X,n_F,n_S,n_M\right)\), and \(\Delta VWMACD_t\left(X,n_F,n_S,n_M\right)\), respectively. We describe the methods of calculation of these indicators below.

The Volume Weighted MACD is calcuated \(t \geq \max\{n_S,n_F\} + n_M\) in terms of Volume Weighted Moving Averages as follows.

\(VWMACD_t\left(X,n_F,n_S\right) = VWMA_t\left(X,n_F\right) - VWMA_t\left(X,n_S\right)\)

Note: \(VWMACD_t\left(X,n_F,n_S\right)\) is calculated internally for \(n_S \leq t < \max\{n_S,n_F\} + n_M\), but these values are not displayed as output. However, the value at \(t = \max\{n_S,n_F\} + n_M - 1\) is used to calculate the Exponential Moving Average in the next step.

The Moving Average of the Volume Weighted MACD is then calculated using an Exponential Moving Average as follows.

\(\overline{VWMACD}_t\left(X,n_F,n_S,n_M\right) = EMA_t\left(VWMACD\left(X,n_F,n_S\right),n_M\right)\)

In the above formula, \(VWMACD\left(X,n_F,n_S\right)\) is a random variable denoting th Volume Weighted MACD with Inputs as listed in parentheses.

Finally, the Volume Weighted Moving Average Difference is calculated as follows.

\(\Delta VWMACD_t\left(X,n_F,n_S,n_M\right) = VWMACD_t\left(X,n_F,n_S\right) - \overline{VWMACD}_t\left(X,n_F,n_S,n_M\right)\)

Inputs

Spreadsheet

The spreadsheet below contains the formulas for this study in Spreadsheet format. Save this Spreadsheet to the Data Files Folder.

Open it through File >> Open Spreadsheet.

MACD_-_Volume_Weighted.248.scss


*Last modified Wednesday, 03rd January, 2018.