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MACD Quantitative Strategy

2020-09-23 16:03:46Read:21763

What is MACD?
MACD standards for Moving Average Convergence Divergence, created by Gerald Appel in the 1960s. It is a technical analysis tool for predicating and identifying price trends and the strength and momentum of price change to capture the buy and sell points. MACD consists of curves and a pattern. In general, “curves” refer to the DIF and DEM, and pattern refers to the histogram or MACD bar..

1) DIF
DIF is calculated by subtracting the 26-day exponential moving average from the 12-day exponential moving average. Close prices are used.

2) Signal Line –DEM value or MACD value
It is the 9-day EMA of DIF
3) Histogram or Bar graph
It is also called MACD bar / OSC, representing the difference between the DIF and DEM

About MACD Quantitative Strategies
1) MACD quantitative strategy uses a standard MACD algorithm to capture market information. Long when DIF> DEM (golden crossover) and short when DIF<DEM (death crossover).

2) Parameter setup

Leverage ratio:
The leverage investor takes. Leverage will be included in calculating the order quantity.
Total Investment:
the total amount of asset an investor put in as margin.
Auto-stop loss ratio:
when the total investment loss reaches the ratio of the total investment, the strategy will close position and exit.

Number of contracts: the number of contracts to be sent to order book under the strategy when a signal is triggered.

Default number of contracts:
here default trading fee is 0.075%

For reverse contract

number of contracts = (margin X last price) / (2* 0.00075 + (1/Leverage) x contract multiplier)

For Direct contracts:

number of contracts = margin/ ((2X0.00075 + (1/leverage)) X Last price X contract multiplier)

The order quantity uses the calculated value or value set by you, whichever is smaller.

Operation example:
After creating an strategy, you can go to My Strategy to view it. When MACD has a golden crossover or death crossover, go to Details of the strategy and you can view orders and strategy details.
If you wan to take profit or stop loss, you can click “Close Position” to close an existing position. You can also choose to click “Terminate” to close position and terminate the strategy.

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