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WHALE ENGINE

Moving Average Convergence Divergence (macd)

[[macd]] measures the gap between two moving averages calculated from the same price series. The MACD line is the difference between a fast average and a slow average. The Signal line is a moving average applied to the MACD line. The Histogram represents the gap between the MACD line and the Signal line.

The MACD is used to track how momentum evolves, that is, how a move gains or loses intensity. A MACD line above zero indicates that the fast average remains above the slow average. A MACD line below zero indicates the opposite. When the MACD line moves away from the Signal line, the gap between the two readings becomes more pronounced. When it moves closer, that gap is slowing down.

The MACD measures neither volatility nor the price level itself. It also does not define fixed overbought or oversold zones. It is mainly used to identify crossovers, follow the strengthening or weakening of a move, or compare several settings in a grid search.

Block declaration

A strategy can contain multiple [[macd]] blocks. Each block outputs one to three numeric series: the MACD line, the Signal line, and, when requested, the Histogram.

Examples

Minimal setup

This block does not specify a source and exposes only the MACD line. The close series is used by default, with the classic lengths 12 for fast and 26 for slow.

[[macd]]
macd_id = "macd_line"

Custom fixed lengths

This block uses custom fast, slow, and signal values.

[[macd]]
macd_id   = "macd_line"
signal_id = "macd_signal"
hist_id   = "macd_hist"
fast      = 8
slow      = 21
signal    = 7

Search for the optimal lengths

This block explores ranges of values for fast, slow, and signal to identify the best-performing combination.

[[macd]]
macd_id      = "macd_line"
signal_id    = "macd_signal"
hist_id      = "macd_hist"
fast.start   = 6
fast.stop    = 30
slow.start   = 6
slow.stop    = 30
signal.start = 6
signal.stop  = 12

Custom source and moving average type

This block uses a source other than close and explicitly chooses the moving average type (sma) for both the MACD line and the Signal line.

[[macd]]
macd_id     = "macd_line"
signal_id   = "macd_signal"
hist_id     = "macd_hist"
source      = "hlc3"
macd_type   = "sma"
signal_type = "sma"

Bullish momentum filter

This example uses the MACD as a confirmation filter. The condition becomes true only if the MACD line remains above zero and the Histogram is positive. This lets an entry signal pass only when momentum remains oriented to the upside.

[[macd]]
macd_id   = "macd_line"
signal_id = "macd_signal"
hist_id   = "macd_hist"

[[condition]]
id            = "bullish_momentum_filter"
condition     = "macd_line > 0 and macd_hist > 0"
next_block_id = "..."

Parameters

ParameterDescription
macd_id
 String
 Required		Identifier for the MACD series.
signal_id
 String
 Optional		Identifier for the Signal series. When this key is set, the signal length becomes optional and defaults to 9 when omitted.
hist_id
 String
 Optional		Identifier for the Histogram series (valid only when signal_id is defined).
source
 String
 or Array
 Optional		Input series used for the calculation.
Accepted forms: source = "hl2" or source = ["close", "hl2"].
Each value can be either a standard price source (open, close, high, low, hl2, hlc3, ohlc4, hlcc4, volume) or the id of another indicator.
Default value: "close"
fast
 Integer
 Optional		Length of the fast moving average; must be ≥ 2.
Default value: 12.

Usage:
• Fixed: fast = value
• Grid search:
 – fast.start = min_value
 – fast.stop = max_value
 – fast.step = value (optional, default 1)
slow
 Integer
 Optional		Length of the slow moving average (must be > fast).
Default value: 26.

Usage:
• Fixed: slow = value
• Grid search:
 – slow.start = min_value
 – slow.stop = max_value
 – slow.step = value (optional, default 1)
signal
 Integer
 Conditional		Length of the moving average applied to the MACD line; must be ≥ 1.
This key is only allowed when signal_id is defined. If it is omitted in that case, the default value 9 is used.

Usage:
• Fixed: signal = value
• Grid search:
 – signal.start = min_value
 – signal.stop = max_value
 – signal.step = value (optional, default 1)
macd_type
 String
 or Array
 Optional		Moving average type(s) used for the MACD line (fast and slow). Allowed values: "sma", "ema", "wma", "dema", "tema", "trima", "smma", "zlema", "rma". Accepts either a single string or an array for grid search. Default: "ema".
signal_type
 String
 or Array
 Conditional		Moving average type(s) used for the Signal line. Same value set as macd_type. Accepts a string or an array for grid search. Default: "ema". This key is only allowed when signal_id is defined.
symbol
 String
 or Array
 Optional		Market symbol(s) used when source only consists of standard prices (open, close, high, low, hl2, hlc3, ohlc4, hlcc4, volume).
If source mixes standard prices and indicator ids, symbol is applied only to combinations based on standard prices.
If source contains only indicator ids, symbol is ignored.
When omitted, the block inherits the [backtest] symbol.
For symbol format, arrays, and alignment rules, see Exchanges, Symbols and Timeframes.
timeframe
 String
 or Array
 Optional		Timeframe on which this indicator is computed.
If timeframe is omitted, the computation uses the grid’s main timeframe defined in [backtest].
For accepted formats and timeframe alignment rules, see Exchanges, Symbols and Timeframes.

Available variables

Use the identifiers below directly in your expressions. The MACD block exposes up to three numeric series (MACD line, Signal line, Histogram), their moving-average lengths and types, plus the input source, symbol, and timeframe.

Assume the block is configured as:

[[macd]]
macd_id   = "macd_line"
signal_id = "macd_signal"
hist_id   = "macd_hist"

Then:

VariableDescription
macd_line or
macd_line[0]
Decimal		Current MACD line value.
macd_line[n]
Decimal		MACD value from n candles ago.
macd_signal or
macd_signal[0]
Decimal		Current Signal line value.
macd_signal[n]
Decimal		Signal value from n candles ago.
macd_hist or
macd_hist[0]
Decimal		Current Histogram value.
macd_hist[n]
Decimal		Histogram value from n candles ago.
macd_line.fast_len
Decimal		Fast moving average length.
macd_line.slow_len
Decimal		Slow moving average length.
macd_line.signal_len
Decimal		Length of the moving average used for the signal (available when a Signal id is provided).
macd_line.type
String		Moving average type used for the MACD line ("ema", "sma", etc.).
macd_signal.type
String		Moving average type used for the Signal line (when signal_id is defined).
macd_line.source
macd_signal.source
macd_hist.source
String		Input series name.
macd_line.symbol
macd_signal.symbol
macd_hist.symbol
String		Symbol used.
macd_line.timeframe
macd_signal.timeframe
macd_hist.timeframe
String		Timeframe used.

Notes

  • Numeric variables support arithmetic, comparisons, and logical operators.
  • Text variables are strings intended for equality/inequality checks only.
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