Flipping MACD Signals When Signal and Histogram Exceed Threshold

2020年6月16日

In this trading strategy, we take a position opposite to what our indicator perceives as a buy signal. This signal is produced as a long buy signal when the MACD crosses over (long) or under (short) in conjunction with two thresholds. The first is that the signal line (MACD 9-bar EMA) exceeds a manually set threshold based on the time frame, which is set in such a way that we have a "normal" amount of trades over a period of time. The second, set up in a similar way, is that the second-degree difference between the slow and fast moving averages, which is also known as the "MACD difference" and is displayed in a histogram on the indicator itself, exceeds a manually set threshold.

This holds a profit factor of over 2.0 with a win rate well over 60% on the hourly time frame, when we set an unusually high threshold. This may indicate abusive use of MACD indicators in this market at that time frame, which favors the market makers over the retail traders. Key is to test each strategy and account for differing market conditions to know which side is the winning side on different currency pairs and in different time frames, at different points in the market cycle.

Enjoy!