Volatility optimized MACD Indicator
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Hello all and happy new year !
I am new to PRT and I am struggling to code a new custom indicator.
I’ve read about it here:
https://www.hindawi.com/journals/mpe/2018/9280590/
The concept sounds interesting and I would like to examine this indicator further, and if appropriate, implement it into a trading system. The indicator exchanges the standard smoothing factor of the MACD Exp MovAvgs with an historic volatility index of the asset/stock or index. Unfortunately, my coding knowledge ist nothing to talk about. Therefore, I would appreciate any suggestions, to transform it into PRT code. Thanks in advance for your help.
I hope I’m not infringing any copyright or other rights by posting an abstract from the article linked above:
“MACD-HVIX Weighted by Historical Volatility. The essence of a good technical indicator is a smooth trading strategy; i.e., the constructed index must be a stationary process. We present an empirical study in Section 5. The validity and sensitivity of MACD have a strong relationship with the choice of parameters. Different investors choose different parameters to achieve the best return for different stocks. In this study, the weight is based on the historical volatility. It is expected that the accuracy and stability of MACD can be improved. Here, the weight changes over time.
I have included the formula for the indicator as an attachment
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