Advanced trading software: technical analysis and neural networks

The article by David Hawkins in this issue, "Volume-Weighted Macd Histogram", has demonstrated how to make the Macd-histogram (Macdh) perform better by volume weighting it.

Using Indicator Builder, one needs to create the following indicators:

The volume-weighted moving average:

input
 Period:"Enter number of periods",52, 1, 500; 
end_input

 var
 Per0:=Period;
 Vwma:= 0;
 end_var

 Vwma:= (CumSum(V * C, Per0) / CumSum(V, Per0));

 return Vwma;

The volume-weighted exponential moving average:

input
 Period:"Enter number of periods", 22, 1, 500;
end_input

 var
 Per0:=Period;
 Vwema:=0;
 end_var

 Vwema:=(Mov(V * C, Per0, E)) / (Mov(V, Per0, E));

 return Vwema;

The volume-weighted MACD histogram:

input
 PeriodS:"Enter short period", 12, 1, 500;  
 PeriodL:"Enter long  period", 26, 2, 501;  
 PeriodSig:"Enter smoothing period", 9, 1, 200;
end_input

 var
 PerS:=PeriodS;
 PerL:=PeriodL;
 PerSig:=PeriodSig;
 LongMA:=0;
 ShortMA:=0;
 VMACD:=0;
 SignalLine:=0;
 end_var

 LongMA:=(PerL * Mov(V * C, PerL, E)) / 
 (PerL * Mov(V, PerL, E));  
 ShortMA:=(PerS * Mov(V * C, PerS, E)) / 
 (PerS * Mov(V, PerS, E));  
 VMACD:=(ShortMA - LongMA);  
 SignalLine:=Mov(VMACD, PerSig, E);


 return VMACD - SignalLine;