The MACD9fall strategy is a trading strategy that uses the Moving Average Convergence Divergence (MACD) indicator and exponential moving averages (EMAs) to generate buy and sell signals. Here is a breakdown of what the strategy does:
Populating Indicators:
Calculate EMAs for different periods (5, 10, 12, 20, 26, 35, 50, 100) based on the closing prices. Initialize the values before the first EMA period with NaN.
Calculate the difference between two EMAs for specific periods (12, 5, 5, 10, 20, 50) and store them.
Calculate the EMA of the difference values for periods of 9 and 5, respectively.
Initialize the values before the first 9 and 5 EMA periods with NaN. Calculate the average of the open and close prices and store it as "Price AvgOfInt."
Generating Buy Signals:
If the current value of the 12-26 EMA difference is greater than the 12-26 EMA difference EMA 9,
and the previous value of the 12-26 EMA difference was lower than the 12-26 EMA difference EMA 9,
and the previous two values of the "Price AvgOfInt" were falling,
and the 12-26 EMA difference EMA 9 is not NaN,
and the volume is greater than 0,
then set the "buy" signal to 1. Generating Sell Signals:
If the current value of the 12-26 EMA difference is lower than the 12-26 EMA difference EMA 9,
and the previous value of the 12-26 EMA difference was greater than the 12-26 EMA difference EMA 9,
and the previous two values of the "Price AvgOfInt" were rising,
and the 12-26 EMA difference EMA 9 is not NaN,
and the volume is greater than 0,
then set the "sell" signal to 1. The strategy calculates EMAs, tracks the difference between EMAs, and compares the MACD indicator with its moving average to generate buy and sell signals based on the price behavior and volume.