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October 2009 Stocks and Commodities Traders Tips

The Volume-Weighted MACD Histogram

Original article by David Hawkins
AIQ Code by Richard Denning

AIQ Version:

The AIQ code for the Volume-Weighted MACD from the article, “Volume-Weighted MACD Histogram” by David Hawkins, is shown below. The coded version that I have supplied also includes two systems that can be used to test the indicator. The first system only uses the standard MACD indicator and the second system use the VWMACD. The rules for the system are to go long when the MACD historigram peaks above zero and then declines for one bar and exit when the indicator is above zero and then declines for one bar or after holding for 10 bars.

To test the indicator, I used three different lists of stocks the S&P 100, the NASDAQ 100 and the Russell 1000 over the period 3/14/2003 to 8/11/2009. In Table 1, I show the comparative metrics of the long side using the standard and volume-weighted MACD indicators. In each test the volume-weighted MACD metrics were somewhat better than the standard MACD.


Table 1: Comparative metrics for the system using the standard and volume-weighted MACD histogram indicators.

EDS Code for the Volume-Weighted MACD Histogram:
VMACD Indicator.EDS

Traders Studio Version :

Code and test not available at this time.














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