【解説】 【MQL5 community】 Moving Average Convergence/Divergence (マックディ): MACDはテクニカル分析の中でも信頼性が高いと言われており、 短期と中期の指数平滑移動平均(EMA)がどの程度離れているか、 どの程度近づいたかを分析し、売買シグナルを見極める手法。 ここでは、次の計算を行っている。
MACD=n期間のEMA−m期間のEMA
MACDシグナル(k)=直近k期間のMACDの合計 ÷ k
(注) EMA (指数移動平均、Exponential Moving Average):
（１）「SmoothFactor=2/(1+期間)」を求める。
（２）現在の値・価格に、SmoothFactorをかけたものと、(i-1)期のこの移動平均と(1-SmoothFactor)をかけたものの和を指数移動平均とする。
【シグナル】
一般にMACDがMACDシグナルを下から上に抜けたら買いシグナル、 上から下に抜けたら売りシグナル。
//+------------------------------------------------------------------+ //| MACD.mq5 | //| Copyright 2009, MetaQuotes Software Corp. | //| http://www.mql5.com | //+------------------------------------------------------------------+ #property copyright "2009, MetaQuotes Software Corp." #property link "http://www.mql5.com" #property description "Moving Average Convergence/Divergence" #include//--- indicator settings #property indicator_separate_window #property indicator_buffers 4 #property indicator_plots 2 #property indicator_type1 DRAW_HISTOGRAM #property indicator_type2 DRAW_LINE #property indicator_color1 Silver #property indicator_color2 Red #property indicator_width1 2 #property indicator_width2 1 #property indicator_label1 "MACD" #property indicator_label2 "Signal" //--- input parameters input int InpFastEMA=12; // Fast EMA period input int InpSlowEMA=26; // Slow EMA period input int InpSignalSMA=9; // Signal SMA period input ENUM_APPLIED_PRICE InpAppliedPrice=PRICE_CLOSE; // Applied price //--- indicator buffers double ExtMacdBuffer[]; double ExtSignalBuffer[]; double ExtFastMaBuffer[]; double ExtSlowMaBuffer[]; //--- MA handles int ExtFastMaHandle; int ExtSlowMaHandle; //+------------------------------------------------------------------+ //| Custom indicator initialization function | //+------------------------------------------------------------------+ void OnInit() { //--- indicator buffers mapping SetIndexBuffer(0,ExtMacdBuffer,INDICATOR_DATA); SetIndexBuffer(1,ExtSignalBuffer,INDICATOR_DATA); SetIndexBuffer(2,ExtFastMaBuffer,INDICATOR_CALCULATIONS); SetIndexBuffer(3,ExtSlowMaBuffer,INDICATOR_CALCULATIONS); //--- sets first bar from what index will be drawn PlotIndexSetInteger(1,PLOT_DRAW_BEGIN,InpSignalSMA-1); //--- name for Dindicator subwindow label IndicatorSetString(INDICATOR_SHORTNAME,"MACD("+string(InpFastEMA)+","+string(InpSlowEMA)+","+string(InpSignalSMA)+")"); //--- get MA handles ExtFastMaHandle=iMA(NULL,0,InpFastEMA,0,MODE_EMA,InpAppliedPrice); ExtSlowMaHandle=iMA(NULL,0,InpSlowEMA,0,MODE_EMA,InpAppliedPrice); //--- initialization done } //+------------------------------------------------------------------+ //| Moving Averages Convergence/Divergence | //+------------------------------------------------------------------+ int OnCalculate(const int rates_total,const int prev_calculated, const datetime &Time[], const double &Open[], const double &High[], const double &Low[], const double &Close[], const long &TickVolume[], const long &Volume[], const int &Spread[]) { //--- check for data if(rates_total＜InpSignalSMA) return(0); //--- not all data may be calculated int calculated=BarsCalculated(ExtFastMaHandle); if(calculated＜rates_total) { Print("Not all data of ExtFastMaHandle is calculated (",calculated,"bars ). Error",GetLastError()); return(0); } calculated=BarsCalculated(ExtSlowMaHandle); if(calculated＜rates_total) { Print("Not all data of ExtSlowMaHandle is calculated (",calculated,"bars ). Error",GetLastError()); return(0); } //--- we can copy not all data int to_copy; if(prev_calculated>rates_total || prev_calculated＜0) to_copy=rates_total; else { to_copy=rates_total-prev_calculated; if(prev_calculated>0) to_copy++; } //--- get Fast EMA buffer if(CopyBuffer(ExtFastMaHandle,0,0,to_copy,ExtFastMaBuffer)＜=0) { Print("Getting fast EMA is failed! Error",GetLastError()); return(0); } //--- get SlowSMA buffer if(CopyBuffer(ExtSlowMaHandle,0,0,to_copy,ExtSlowMaBuffer)＜=0) { Print("Getting slow SMA is failed! Error",GetLastError()); return(0); } //--- int limit; if(prev_calculated==0) limit=0; else limit=prev_calculated-1; //--- calculate MACD for(int i=limit;i＜rates_total;i++) ExtMacdBuffer[i]=ExtFastMaBuffer[i]-ExtSlowMaBuffer[i]; //--- calculate Signal SimpleMAOnBuffer(rates_total,prev_calculated,0,InpSignalSMA,ExtMacdBuffer,ExtSignalBuffer); //--- OnCalculate done. Return new prev_calculated. return(rates_total); } //+------------------------------------------------------------------+
【表示結果】
ちゃんとトレンドを掴んでいますが、 移動平均を使うために、最も買い時や売り時から少しシグナルが遅れてしまいます。
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