Zero Lag MACD
Posted:
Fri Jul 30, 2010 2:17 pm
by Nikolay.Gekht
Zero Lag MACD is initially introduced in the Stock & Commodities in 2000.
This version of MACD has much smaller delay in comparison with classic MACD.
Formula:
MACD = (2 * EMA(price, FAST) - EMA(EMA(price, FAST), FAST)) - (2 * EMA(price, SLOW) - EMA(EMA(price, SLOW), SLOW))
SIGNAL = 2 * EMA(MACD, SIG) - EMA(EMA(MACD, SIG), SIG))
HISTOGRAM = MACD - SIGNALDownload:
Indicator-based strategy.
viewtopic.php?f=31&t=66908Reverse Engineered ZeroLagMACD
https://fxcodebase.com/code/viewtopic.php?f=17&t=71262
Re: Zero Lag MACD
Posted:
Thu Aug 05, 2010 11:32 am
by abcdefg
Thank you Nikolay for this indicator
. A higher time frame of this indicator would be highly appreciated (to place on my tick chart).
Re: Zero Lag MACD
Posted:
Mon Aug 09, 2010 2:17 pm
by Alexander.Gettinger
This indicator for higher timeframe.
- Code: Select all
function Init()
indicator:name("Bigger timeframe ZeroLagMACD");
indicator:description("");
indicator:requiredSource(core.Bar);
indicator:type(core.Oscillator);
indicator.parameters:addGroup("Calculation");
indicator.parameters:addString("BS", "Time frame to calculate indicator", "", "D1");
indicator.parameters:setFlag("BS", core.FLAG_PERIODS);
indicator.parameters:addInteger("FMA", "Fast EMA periods", "", 12, 1, 1000);
indicator.parameters:addInteger("SMA", "Slow EMA Periods", "", 24, 1, 1000);
indicator.parameters:addInteger("SigMA", "Signal EMA periods", "", 9, 1, 1000);
indicator.parameters:addGroup("Display");
indicator.parameters:addColor("MACD_color", "Color of MACD", "", core.rgb(255, 0, 0));
indicator.parameters:addColor("SIG_color", "Color of Signal", "", core.rgb(0, 0, 255));
indicator.parameters:addColor("HIS_color", "Color of Historgram", "", core.rgb(0, 255, 0));
end
local source; -- the source
local bf_data = nil; -- the high/low data
local FMA;
local SMA;
local SigMA;
local BS;
local bf_length; -- length of the bigger frame in seconds
local dates; -- candle dates
local host;
local MACD;
local SIG;
local HIS;
local ZLMACD;
local day_offset;
local week_offset;
local extent;
function Prepare()
source = instance.source;
host = core.host;
day_offset = host:execute("getTradingDayOffset");
week_offset = host:execute("getTradingWeekOffset");
BS = instance.parameters.BS;
FMA = instance.parameters.FMA;
SMA = instance.parameters.SMA;
SigMA = instance.parameters.SigMA;
extent = SMA*2;
local s, e, s1, e1;
s, e = core.getcandle(source:barSize(), core.now(), 0, 0);
s1, e1 = core.getcandle(BS, core.now(), 0, 0);
assert ((e - s) <= (e1 - s1), "The chosen time frame must be bigger than the chart time frame!");
bf_length = math.floor((e1 - s1) * 86400 + 0.5);
local name = profile:id() .. "(" .. source:name() .. "," .. BS .. "," .. FMA .. "," .. SMA .. "," .. SigMA .. ")";
instance:name(name);
MACD = instance:addStream("MACD", core.Line, name .. ".MACD", "MACD", instance.parameters.MACD_color, 0);
SIG = instance:addStream("SIG", core.Line, name .. ".SIG", "SIG", instance.parameters.SIG_color, 0);
HIS = instance:addStream("HISTOGRAM", core.Bar, name .. ".HIS", "HIS", instance.parameters.HIS_color, 0);
end
local loading = false;
local loadingFrom, loadingTo;
local pday = nil;
-- the function which is called to calculate the period
function Update(period, mode)
-- get date and time of the hi/lo candle in the reference data
local bf_candle;
bf_candle = core.getcandle(BS, source:date(period), day_offset, week_offset);
-- if data for the specific candle are still loading
-- then do nothing
if loading and bf_candle >= loadingFrom and (loadingTo == 0 or bf_candle <= loadingTo) then
return ;
end
-- if the period is before the source start
-- the do nothing
if period < source:first() then
return ;
end
-- if data is not loaded yet at all
-- load the data
if bf_data == nil then
-- there is no data at all, load initial data
local to, t;
local from;
if (source:isAlive()) then
-- if the source is subscribed for updates
-- then subscribe the current collection as well
to = 0;
else
-- else load up to the last currently available date
t, to = core.getcandle(BS, source:date(period), day_offset, week_offset);
end
from = core.getcandle(BS, source:date(source:first()), day_offset, week_offset);
MACD:setBookmark(1, period);
-- shift so the bigger frame data is able to provide us with the stoch data at the first period
from = math.floor(from * 86400 - (bf_length * extent) + 0.5) / 86400;
local nontrading, nontradingend;
nontrading, nontradingend = core.isnontrading(from, day_offset);
if nontrading then
-- if it is non-trading, shift for two days to skip the non-trading periods
from = math.floor((from - 2) * 86400 - (bf_length * extent) + 0.5) / 86400;
end
loading = true;
loadingFrom = from;
loadingTo = to;
bf_data = host:execute("getHistory", 1, source:instrument(), BS, loadingFrom, to, source:isBid());
ZLMACD = core.indicators:create("ZEROLAGMACD", bf_data.close, FMA, SMA, SigMA);
return ;
end
-- check whether the requested candle is before
-- the reference collection start
if (bf_candle < bf_data:date(0)) then
MACD:setBookmark(1, period);
if loading then
return ;
end
-- shift so the bigger frame data is able to provide us with the stoch data at the first period
from = math.floor(bf_candle * 86400 - (bf_length * extent) + 0.5) / 86400;
local nontrading, nontradingend;
nontrading, nontradingend = core.isnontrading(from, day_offset);
if nontrading then
-- if it is non-trading, shift for two days to skip the non-trading periods
from = math.floor((from - 2) * 86400 - (bf_length * extent) + 0.5) / 86400;
end
loading = true;
loadingFrom = from;
loadingTo = bf_data:date(0);
host:execute("extendHistory", 1, bf_data, loadingFrom, loadingTo);
return ;
end
-- check whether the requested candle is after
-- the reference collection end
if (not(source:isAlive()) and bf_candle > bf_data:date(bf_data:size() - 1)) then
MACD:setBookmark(1, period);
if loading then
return ;
end
loading = true;
loadingFrom = bf_data:date(bf_data:size() - 1);
loadingTo = bf_candle;
host:execute("extendHistory", 1, bf_data, loadingFrom, loadingTo);
return ;
end
ZLMACD:update(mode);
local p;
p = findDateFast(bf_data, bf_candle, true);
if p == -1 then
return ;
end
if ZLMACD:getStream(0):hasData(p) then
MACD[period] = ZLMACD:getStream(0)[p];
end
if ZLMACD:getStream(1):hasData(p) then
SIG[period] = ZLMACD:getStream(1)[p];
end
if ZLMACD:getStream(2):hasData(p) then
HIS[period] = ZLMACD:getStream(2)[p];
end
end
-- the function is called when the async operation is finished
function AsyncOperationFinished(cookie)
local period;
pday = nil;
period = MACD:getBookmark(1);
if (period < 0) then
period = 0;
end
loading = false;
instance:updateFrom(period);
end
function findDateFast(stream, date, precise)
local datesec = nil;
local periodsec = nil;
local min, max, mid;
datesec = math.floor(date * 86400 + 0.5)
min = 0;
max = stream:size() - 1;
while true do
mid = math.floor((min + max) / 2);
periodsec = math.floor(stream:date(mid) * 86400 + 0.5);
if datesec == periodsec then
return mid;
elseif datesec > periodsec then
min = mid + 1;
else
max = mid - 1;
end
if min > max then
if precise then
return -1;
else
return min - 1;
end
end
end
end
Re: Zero Lag MACD
Posted:
Mon Aug 09, 2010 10:37 pm
by abcdefg
Thank you kindly. You guys are super
Time to take over the world
Re: Zero Lag MACD
Posted:
Thu Jul 05, 2012 4:43 pm
by Alexander.Gettinger
MQL4 version of Zero Lag MACD:
viewtopic.php?f=38&t=20872
Re: Zero Lag MACD
Posted:
Thu Jan 03, 2013 5:43 pm
by juju1024
Hi,
Please, Can you create simple strategy for zerolagmacd, with alert when signal cross macd ?
thanks
Re: Zero Lag MACD
Posted:
Sat Jan 05, 2013 7:08 am
by Apprentice
Your request is added to the development list.
Re: Zero Lag MACD
Posted:
Sun Jan 06, 2013 7:01 am
by Apprentice
Requested can be found here.
viewtopic.php?f=31&t=28156
Re: Zero Lag MACD
Posted:
Mon Jan 14, 2013 10:40 pm
by juju1024
hi team,
Can you create a MTF zerolagmacd from this posted code for Mt4 platform
I would be most grateful to you for this
source code :
- Code: Select all
//+------------------------------------------------------------------+
//| ZeroLag MACD.mq4 |
//| RD |
//| marynarz15@wp.pl |
//+------------------------------------------------------------------+
#property copyright "RD"
#property link "marynarz15@wp.pl"
//----
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_color1 Blue
#property indicator_color2 Red
//---- input parameters
extern int FastEMA = 12;
extern int SlowEMA = 24;
extern int SignalEMA = 9;
//---- buffers
double MACDBuffer[];
double SignalBuffer[];
double FastEMABuffer[];
double SlowEMABuffer[];
double SignalEMABuffer[];
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- indicators
IndicatorBuffers(5);
SetIndexBuffer(0, MACDBuffer);
SetIndexBuffer(1, SignalBuffer);
SetIndexBuffer(2, FastEMABuffer);
SetIndexBuffer(3, SlowEMABuffer);
SetIndexBuffer(4, SignalEMABuffer);
SetIndexStyle(0, DRAW_HISTOGRAM);
SetIndexStyle(1, DRAW_LINE,EMPTY);
SetIndexDrawBegin(0, SlowEMA);
SetIndexDrawBegin(1, SlowEMA);
IndicatorShortName("ZeroLag MACD(" + FastEMA + "," + SlowEMA + "," + SignalEMA + ")");
SetIndexLabel(0, "MACD");
SetIndexLabel(1, "Signal");
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custor indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start()
{
int limit;
int counted_bars = IndicatorCounted();
if(counted_bars < 0)
return(-1);
if(counted_bars > 0)
counted_bars--;
limit = Bars - counted_bars;
double EMA, ZeroLagEMAp, ZeroLagEMAq;
for(int i = 0; i < limit; i++)
{
FastEMABuffer[i] = iMA(NULL, 0, FastEMA, 0, MODE_EMA, PRICE_CLOSE, i);
SlowEMABuffer[i] = iMA(NULL, 0, SlowEMA, 0, MODE_EMA, PRICE_CLOSE, i);
}
for(i = 0; i < limit; i++)
{
EMA = iMAOnArray(FastEMABuffer, Bars, FastEMA, 0, MODE_EMA, i);
ZeroLagEMAp = FastEMABuffer[i] + FastEMABuffer[i] - EMA;
EMA = iMAOnArray(SlowEMABuffer, Bars, SlowEMA, 0, MODE_EMA, i);
ZeroLagEMAq = SlowEMABuffer[i] + SlowEMABuffer[i] - EMA;
MACDBuffer[i] = ZeroLagEMAp - ZeroLagEMAq;
}
for(i = 0; i < limit; i++)
SignalEMABuffer[i] = iMAOnArray(MACDBuffer, Bars, SignalEMA, 0, MODE_EMA, i);
for(i = 0; i < limit; i++)
{
EMA = iMAOnArray(SignalEMABuffer, Bars, SignalEMA, 0, MODE_EMA, i);
SignalBuffer[i] = SignalEMABuffer[i] + SignalEMABuffer[i] - EMA;
}
return(0);
}
//+------------------------------------------------------------------+
Re: Zero Lag MACD
Posted:
Tue Jan 15, 2013 5:31 am
by Apprentice
I'm not sure what is your intention.
Something like this MTF HA.
viewtopic.php?f=17&t=3934&p=9727&hilit=MTF#p9727Written for MT4.
And The basis for the calculation is attached MT4 code.