Sensitivity analysis of MACD indicator on selection of input periods combination

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25530%2F16%3A39901920" target="_blank" >RIV/00216275:25530/16:39901920 - isvavai.cz</a>

Result on the web

<a href="http://mme2016.tul.cz/conferenceproceedings/mme2016_conference_proceedings.pdf" target="_blank" >http://mme2016.tul.cz/conferenceproceedings/mme2016_conference_proceedings.pdf</a>

DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Sensitivity analysis of MACD indicator on selection of input periods combination

Original language description

The trend indicator MACD (Moving Average Convergence/Divergence) is commonly used powerful tool of technical analysis. It allows to predict many profitable trades (buying and selling signal), especially when convergence and divergence periods are correctly recognized. The MACD value is dependent on three input parameters, length of short, long and signal period respectively. Generally applied combination of periods 12/26/9 was introduced by Gerald Appel in 1979 for trading with silver. However there is no standard or methodology for selection of optimal input periods and many other combinations are utilized. The aim of presented contribution is the sensitivity analysis of MACD values on selection of short, long and signal period lengths. In the first part MACD indicator is formally defined using weighted exponential averages, from this definition the dependence of input parameters and resulting MACD value is more understandable. Case study involves three types of shares with growing, falling and changing trend respectively. From results we can conclude that prolonging of signal frame increases sensitivity of MACD indicator. Moreover combination 12/26/9 is not optimal for selected shares and lengths of short and long period are in mutual relation. Keywords: MACD indicator, weighted exponential average, technical analysis, profitable trade, short period, long period, signal period.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

BB - Applied statistics, operational research

OECD FORD branch

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Project

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Continuities

S - Specificky vyzkum na vysokych skolach

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Mathematical Methods in Economics 2016 (MME 2016) : proceedings

ISBN

978-80-7494-296-9

ISSN

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e-ISSN

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Number of pages

6

Pages from-to

594-599

Publisher name

Technická univerzita v Liberci

Place of publication

Liberec

Event location

Liberec

Event date

Sep 7, 2016

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

000385239500102