Advanced trading software: technical analysis and neural networks

In his article “Reversing MACD”, Johnny Dough showed that the reversing MACD can be used to calculate the price value of a specific MACD level and the price value that will cause the MACD to change direction.

Using Tradecision’s Function Builder, one needs to create the following functions:

PMACDeq function:

function (price:numeric, period_x:numeric, 
period_Y:numeric):Numeric;

Var
alphaX:= 2 / ( 1 + period_X );
alphaY:= 2 / ( 1 + period_Y );
End_var

return ( EMA( price, period_X ) * alphaX - 
EMA( price, period_Y )* alphaY ) / 
( alphaX - alphaY );

PMACDlevel function:

function (level:numeric,price:numeric, 
period_x:numeric, period_Y:numeric):Numeric;

var
alphaX := 2 / ( 1 + period_X );
alphaY := 2 / ( 1 + period_Y );
One_alphaX := 1 - alphaX;
One_alphaY := 1 - alphaY;
end_var

return ( level + EMA( price, period_Y ) * 
One_alphaY - EMA( price, period_X )* 
One_alphaX ) / ( alphaX - alphaY );

PMACDzero function:

function (price:numeric, period_x:numeric, 
period_Y:numeric):Numeric;

return PMACDlevel( 0 , price, period_X, period_Y );

PMACDzero indicator:

Inputs
p_px: "Price field", Close;
p_fast: "Period fast", 12, 1, 24;
p_slow: "Period slow", 26, 2, 52;
p_signal: "Period signal", 9, 0, 18;
End_input

return PMACDeq(p_px, p_fast, p_slow );

EMA_PMACD indicator:

Inputs
p_px: "Price field", Close;
p_fast: "Period fast", 12, 1, 24;
p_slow: "Period slow", 26, 2, 52;
p_signal: "Period signal", 9, 0, 18;
End_input

return EMA(PMACDeq(p_px, p_fast, p_slow ),p_signal);

PMACD_level indicator:

Inputs
p_px: "Price field", Close;
P_level: "Price level", 1, 0, 52;
p_fast: "Period fast", 12, 1, 24;
p_slow: "Period slow", 26, 2, 52;
End_input

return PMACDlevel(p_level,p_px,p_fast,p_slow);

PMACD_BBBottom indicator:

Inputs
p_px: "Price field", Close;
p_fast: "Period fast", 12, 1, 24;
p_slow: "Period slow", 26, 2, 52;
p_signal: "Period signal", 9, 0, 18;
p_bbperiod: "BB period", 10;
p_bbwidth: "BB width", 1;
End_input

return BBBot(PMACDeq(p_px, p_fast, p_slow ), 
p_bbperiod, p_bbwidth);

PMACD_BBTop indicator:

Inputs
p_px: "Price field", Close;
p_fast: "Period fast", 12, 1, 24;
p_slow: "Period slow", 26, 2, 52;
p_signal: "Period signal", 9, 0, 18;
p_bbperiod: "BB period", 10;
p_bbwidth: "BB width", 1;
End_input

return BBTop(PMACDeq(p_px, p_fast, p_slow ), 
p_bbperiod, p_bbwidth);

PMACD_BBMiddle indicator:

Inputs
p_px: "Price field", Close;
p_fast: "Period fast", 12, 1, 24;
p_slow: "Period slow", 26, 2, 52;
p_signal: "Period signal", 9, 0, 18;
p_bbperiod: "BB period", 10;
p_bbwidth: "BB width", 1;
End_input

return  (BBBot(PMACDeq(p_px, p_fast, p_slow ), 
p_bbperiod, p_bbwidth) + BBTop(PMACDeq(p_px, 
p_fast, p_slow ), p_bbperiod, p_bbwidth)) / 2;

PMACD_MTF_fast indicator:

Inputs
p_px: "Price field", Close;
p_fast: "Period fast", 12, 1, 24;
p_slow: "Period slow", 26, 2, 52;
p_signal: "Period signal", 9, 0, 18;
End_input

Var
X:= 21;
End_var

return PMACDeq( p_px, X * p_fast, X * p_slow );

PMACD_MTF_slow indicator:

Inputs
p_px: "Price field", Close;
p_fast: "Period fast", 12, 1, 24;
p_slow: "Period slow", 26, 2, 52;
p_signal: "Period signal", 9, 0, 18;
End_input

Var
X:= 5;
End_var

return PMACDeq( p_px, X * p_fast, X * p_slow );