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Guide to MACD Quantitative Strategy
Gate.io
Updated at:433 days 13 hours ago
lv

What is MACD?

MACD stands for Moving Average Convergence Divergence and was created by Gerald Appel in the 1960s. It is a technical analysis tool for revealing changes in the strength, direction, momentum and duration of a trend in a stock's price to predict and identify buy and sell points. MACD consists of curves and a pattern. The curves are DIF and DEM. The pattern refers to a histogram.

1. DIF

DIF is the 12-day exponential moving average (EMA) subtracted by the 26-day EMA of the closing price.

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2. The signal line (DEM/MACD)

DEM is the 9-day exponential moving average of DIF.

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3. Histogram/Bar graph

"Bar graph" (MACD bar / OSC) is formed by the difference between DIF and DEM.

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Where to set up an MACD strategy? (Perpetual contract MACD as an example)

Navigation bar - "Copy Trading" - "Create A New Strategy" - "Strategies Templates" - (MACD)"Create Strategy". Then select the trading market and enter the total investment amount. Click on "Create" after setting up the parameters. img

Backtest: You can perform backtesting before creating MACD strategies. The backtesting process is as follows:

Click the "Backtest" button as shown on the screenshot above. Fill in the expected parameters and click "Backtest", the will automatically backtrack the data (within one month by default), and generate a piece of backtest data for reference in "Backtest Records".

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MACD Quantitative Strategy(A brief introduction)

MACD Quantitative Strategy uses the standard MACD algorithm to collect information from the market. When DIF is greater than DEM (golden cross), the strategy will be to go long. When DIF is less than DEM (death cross), the strategy will be to go short.

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Parameters setup

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Leverage ratio: The leverage ratio users choose will be used in calculating the order quantity.

Total Investment: The total amount of asset an investor puts in as margin.

Position TP: When the profit/loss ratio of the last mark price to the average opening price is equal to or greater than the position take-profit ratio, liquidation will be triggered at market price, which will not affect the ution of the strategy.

Position SL: When the profit/loss ratio of the last mark price to the average opening price is equal to or less than the position take-profit, liquidation will be triggered at market price, which will not affect the ution of the strategy.

Auto Stop-Loss Ratio: When the total investment loss reaches auto stop-loss ratio, the strategy will close the position and exit.

Fast EMA, Slow EMA, MACD Signal and Period: Standard parameters of MACD.

Order Quantity: The number of contracts the strategy makes when a signal is triggered.

Default Order Quantity: Default Contract Handling Fee: 0.00075

For inverse contracts: Default order quantity = (margin * last price) / (2* 0.00075 + (1/leverage) * (1/order amount)

For linear contracts: Default order quantity = margin/ ((2*0.00075 + 1/leverage) * last price * (1/order amount) The actual order quantity is the smaller one of the calculated default value and the value set by the investor.


Operation Example

After creating a strategy, you can find the running strategy in the "My Strategies'' section. When there is a golden cross or a death cross formed in MACD indicator, the details of relevant order and strategy will be shown in the "Active Strategies" section.

If you want to stop profit or loss in time, you can click "Close" to close the current position or click "Stop" to close the current position and end the current strategy.

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