Author: Andrey N. Bolkonsky
Ergodic MACD Oscillator by William Blau is described in the book "Momentum, Direction, and Divergence: Applying the Latest Momentum Indicators for Technical Analysis".
- WilliamBlau.mqh must be placed in terminal_data_folder\MQL5\Include\
- Blau_Ergodic_MACD.mq5 must be placed in terminal_data_folder\MQL5\Indicators\
Erogdic MACD Oscillator by William Blau
Ergodic MACD Oscillator is defined as follows:
Ergodic_MACD(price,r,s,u) = MACD(price,r,s,u)
SignalLine(price,r,s,u,ul) = EMA( Ergodic_MACD(price,r,s,u) ,ul)
- Ergodic_MACD() - Ergodic - MACD(price,r,s,u);
- SignalLine() - Signal Line - exponentially smoothed moving average EMA(ul), applied to MACD;
In contrast with the standard MACD indicator (it uses the simple moving average), the exponentially smoothed moving average is used in the approach, proposed by William Blau.
- graphic plot #0 - Ergodic (moving average convergence/divergence):
- r - period of the 1st EMA (slow), applied to price (by default r=20);
- s - period of the 2nd EMA (fast), applied to price (by default s=5)
- u - period of the 3rd EMA, applied to MACD (by default u=3);
- graphic plot #1 - Signal Line:
- ul - smoothing period (signal line), applied to Ergodic (by default ul=3);
- AppliedPrice - price type (by default AppliedPrice=PRICE_CLOSE).
- r>1, s>1;
- s<r (according to William Blau, there isn't any checks in the code);
- u>0. If u=1, smoothing is not used;
- ul>0. If ul=1, the signal and ergodic lines are the same;
- Min. rates =([max(r,s)]+u+ul-3+1).