At the All-Ukrainian competition of student scientific works in the fields of knowledge and specialties in the 2021-2022 academic year, the work of student Zhlali Zhikhad entitled "Spectral properties of the MACD indicator" took the first place in the field of Information Systems and Technologies, which was performed under the supervision of an associate professor of the Department of Applied Physics and Higher mathematician Blokhin O.L. Based on the results of these studies, a report was made at an international conference in Haifa (Israel).
The work is devoted to the study of the spectral characteristics of the MACD (Moving Average Convergence/Divergence) indicator, which is used in the analysis of random processes, in forecasting the behavior of stock and currency quotes. This is one of the main and most common classic technical analysis indicators. In this work, the MACD indicator is considered from the point of view of the theory of linear systems. It transforms the input signal, which is the currency or stock quotes received from the interbank foreign exchange market or from the commodity exchange in real time, and the output is the indicator values, which are analyzed by traders in order to predict the price behavior of the corresponding financial asset, commodity or currency pair. Despite the wide application of the MACD indicator in practical work, its spectral properties have not been studied enough. The paper examines the influence of the indicator on the spectrum of the input signal. Found formulas for representing this indicator as a sequence of four linear digital filters. Graphs of amplitude and phase spectral densities are presented. The conducted studies lead to unexpected conclusions that relate to the internal anatomy of the MACD indicator, which are unknown to practicing traders. On the basis of this work, practical recommendations can be made for practicing traders on more effective application of this indicator to predict the behavior of financial assets and more profitable stock trading.
13.12.2022
