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MAC Z-Score by David Varadi
W trakcie researchu ulubionych blogów trafiłem na wpis David Varadi z CSS Analytics,
a poniewaz bylem ciekawy co z tego koszmaru wyjdzie ;-)..


MAC-Z score

{Copyright DarkestLie :D}

zScoreperiods:=Input("SMA,STD periods Z-score",1,100,25);
shortperiods:=Input("Enter the shorter EMA periods:",3,20,12);
longperiods:=Input("Enter the longer EMA periods:",21,50,25);
pricee:=Input("O=1 H=2 L=3 C=4 MP()=5 TP()=6 (OHLC)/4=7",1,7,4);
A:=Input("Z-Score constants",-2,2,1);
B:=Input("MACD constants",-2,2,1);

pricee:=If(pricee=2,H,If(pricee=3,L,If(pricee=4,C,If(pricee=5,(H+L)/2,
If(pricee=6,(H+L+C)/3,If(pricee=7,(O+H+L+C)/4,O))))));

ZScore:=(pricee-Mov(pricee,zScoreperiods,S))/Std(pricee,ZScoreperiods);
MACDD:=Mov(pricee,shortperiods,E)-Mov(pricee,longperiods,E);

MAC.Z:=ZScore*A+(MACDD/Std(pricee,zScoreperiods))*B;
MAC.Z

 

MAC Z-Score by David Varadi

 

Nie będę bronił pomysłu, kilka szybkich uwag: - Z-Score to oczywiście BBOscillator na innej skali, - przy takich samych wartościach A,B MAC-Z score to nic innego jak BBOscillator (kolor czerwony) pomniejszony o róźnicę MACD w jednostkach Z-Score (kolor niebieski) - w środku 2 x MAC-Z score, użyte z sugestią autora blogu jako wskaźnik trendu (wartości ujemne wsp. A, wygładzona cena) nie wyglada tak źle.. i daje dużo więcej możliwości wykorzystania niz MACD i BBOsc samodzielnie ;-)
 

in English:

The MACD stands for moving average confluence/divergence and was introduced by Gerald Appel a long time ago as a means of tracking trends. Some background reading on the MACD can be found here: http://en.wikipedia.org/wiki/MACD Effectively the MACD represents the difference between two moving averages–a short moving average and a longer moving average. As a consequence the MACD tracks the acceleration or rate of change in the trend. The Z-Score in contrast is related to Bollinger Bands and of course the normal distribution. It is designed to track the position within the price distribution normalized by volatility. Some background reading on the Z-score can be found here. Effectively the Z-score is the difference between the current price and a moving average divided by the standard deviation of price over the same time period.

more at: http://cssanalytics.wordpress.com/2010/05/11/the-relationship-between-the-macd-and-z-score

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