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2003issue C121-16

Fractional MACD and linear-regression reversal construction

A historical workflow builds fractional-momentum and fractional-macd from the same close series used for a short linear-regression-curve, then uses trigger-activation so each long or short rule can be switched on or off. The two families stay separate constructions rather than a single blended overlay.

  • Fractional-momentum and fractional-macd rewrite momentum and MACD as ratios of closes or of simple averages of close, and they use a unit line as the reference instead of a zero line.
  • A comparison chart can hold plain momentum, plain MACD, fractional-momentum, and fractional-macd at once, with trigger-activation turning each long or short rule on or off.
  • MACD-family crosses use a spurious-cross-guard after the first two bars, because the oscillator and its smoothed average are identical on the first bar and would otherwise fire a false cross.
  • A five-bar linear-regression-curve of close is a separate baseline: linear-regression-reversal flips when the one-bar change in that fit changes sign, and a worksheet form can label long, short, or neutral from the slope.
Entries in this reading3 entries
Linear regression112 readingsCurrent trackMACD115 readingsPrice-indicator divergence142 readings

Two families from one close series

The archive workflow starts from a single close series and builds two indicator families side by side. One family rewrites momentum and MACD as ratios referenced to a unit line. The other family fits a short linear-regression-curve of close and reads local swing direction from that fit.

The constructions are meant to be held as separate on-off rules. A comparison strategy can keep all four oscillator forms in view at once, then use trigger-activation so any long or short rule is live or silent. The linear-regression family is the explicit baseline for swing direction, not a layer mixed into the oscillator plot.

Fractional-momentum and fractional-macd

Fractional-momentum is the current close divided by the close a chosen number of bars earlier. Its horizontal reference is the unit line at 1, not a zero line.

Fractional-macd is the short-period simple average of close divided by the long-period simple average of close, again referenced to 1. Smoothed-fractional-macd is a moving average of that ratio and is the signal line used for cross events.

A comparison strategy can hold plain momentum, plain MACD, fractional-momentum, and fractional-macd together. Each long or short rule is enabled or disabled by setting trigger-activation to 1 or 0.

When the oscillator family may enter

Fractional-momentum long and short entries require the ratio to sit on the correct side of 1 and to be at least as extreme as its prior bar. The buy or sell-short then waits for the next bar and is placed at a stop one point above the high.

Both MACD-family entries wait until after the second bar. They fire on a cross of the oscillator through its smoothed average. A spurious-cross-guard is required because the oscillator and that average are identical on the first bar and would otherwise confirm a false cross. The same bar-count check ignores the first two bars for that reason.

Linear-regression-curve and linear-regression-reversal

A five-bar linear-regression-curve of close, with zero displacement, is the explicit baseline used to identify local swing direction. Linear-regression-reversal is a binary state. It changes sign when the difference between successive regression values reverses relative to the prior difference.

A worksheet construction of the same five-bar fit can skip any series with fewer than five closes. It then labels long, short, or neutral from whether the slope of that fit is positive, negative, or zero.

US Dollar Index five-period linear-regression curve, May–September 2003

The short linear-regression fit of the US Dollar Index close falls from the mid-95s into a mid-June low near 92, then climbs toward 99 in late August before giving back the last swing. A trader should read slope changes on this curve as the same information the linear-regression-reversal construction records as a +1/−1 flip. Weekly levels were read from the plotted LinearReg line against the 0.50 index grid; the screenshot header states the window 7 May–15 September 2003 and a last index print of 96.08.
The short linear-regression fit of the US Dollar Index close falls from the mid-95s into a mid-June low near 92, then climbs toward 99 in late August before giving back the last swing. A trader should read slope changes on this curve as the same information the linear-regression-reversal construction records as a +1/−1 flip. Weekly levels were read from the plotted LinearReg line against the 0.50 index grid; the screenshot header states the window 7 May–15 September 2003 and a last index print of 96.08.US Dollar Index · Daily · 2003-05-07T00:00:00.000Z to 2003-09-15T00:00:00.000Z

Star’s tip plots a five-period linear regression of the close with zero displacement. Digitised points are approximate to one decimal on a 0.50 grid. The 96.08 header figure is the last close of the index, not a tabulated LinearReg print, so the final curve point is the last green-line reading (~96.1).

One-sided testing or stop-and-reverse

The same chart can be restricted to long-only or short-only testing by activating both sides and then reformatting the unwanted side as an exit-only signal. When both sides remain live entries, the chart runs as stop-and-reverse. That choice is the stop-and-reverse-toggle: keep both a long trigger and a short trigger, or reformat the opposite trigger as exit-only, to choose two-sided versus one-sided testing.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
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20041-4 pp.Next on MACDWeekly MACD-histogram timing of bear-market ralliesThe case identifies five distinct Nikkei 225 rallies inside a roughly 14-year decline of about 80 percent from the 1989 peak to a 2003 low.
All readings on this track · 80 readings
  1. 1988Rebuild MACD-Mo and MACD-H before treating them as signals
  2. 1989Four-span MACD lookbacks as perishable parameters
  3. 1989Weekly then daily MACD confirmation on individual stocks
  4. 1991Regime-gated MACD and stochastic rules inside a checklist
  5. 1991Constructing MACD signal lines and divergence tests
  6. 1991MACD parameter order and cycle phase lag
  7. 1992Lengthened bond MACD as an equity regime filter
  8. 1992Long-horizon MACD construction from paired exponential averages
  9. 1993Constructing a signed ten-point trend filter
  10. 1994Constructing lag-reduced double exponential averages for MACD
  11. 1994Seeding DEMA2 filters to build a MACD signal
  12. 1994Constructing MACD from lag-reduced exponential averages
  13. 1994TEMA1 from nested exponential averages, then a two-horizon MACD
  14. 1994Constructing entry and exit on a relative-strength MACD
  15. 1994Constructing a relative-strength MACD crossover spreadsheet
  16. 1995Consensus presignal filters for Relative Strength Index, MACD and the Stochastic oscillator
  17. 1997Confirm the MACD turn with price, then exit on the histogram
  18. 1997Reconstructing a stochastic oscillator, MACD, and a triple-smoothed oscillator
  19. 1997Moving-average windows before crossovers and MACD
  20. 1999Second-stage MACD on relative-strength inputs
  21. 1999Constructing MACD from exponential-average spreads for crossover and divergence
  22. 1999Coding candlesticks into numeric indicators
  23. 2001Second-low confirmation with a percentage oscillator and money-flow filter
  24. 2001Constructing MACD from exponential average spreads and a signal line
  25. 2002Separate bounded and trend-following oscillator rules
  26. 2002Sort the regime before assigning MACD and stochastic jobs
  27. 2002Building classic divergence filters from RSI and MACD
  28. 2002Weekly highs and lows as trend gates
  29. 2002Constructing channel-normalized Fisher reversal signals
  30. 2002Affine-price and the Fisher transform as a constructed companion to MACD
  31. 2003Regularized EMA construction with a MACD line and a thrust oscillator
  32. 2003Curvature-penalized exponential averages versus MACD
  33. 2003MACD, moving averages, and a trend filter as one timing system
  34. 2003Fractional MACD and linear-regression reversal construction
  35. 2004Weekly MACD-histogram timing of bear-market rallies
  36. 2004Candlestick triggers filtered by MACD divergence
  37. 2004Staging energy-complex tops with trendline, breakout, and MACD
  38. 2005Selling climax holds versus fails
  39. 2006Treat a sideways Wave as permission before a breakout
  40. 2007MACD with a Stochastic oscillator for spotting trend reversals
  41. 2007Rebuilding an S&P 500 fifth-wave count after a broken target
  42. 2007Constructing MACD, RSI, and stochastic confirmation for futures
  43. 2007MACD histogram divergence needs a confirming close
  44. 2007Write the plan as a stack: ratio, boundary, then oscillators
  45. 2008MACD divergence and Stochastic oscillator confirmation on lumber futures
  46. 2008Assign confirmation, timing, and a stop before a currency pair is tested
  47. 2008Confirm the ten-bagger launch path before the MACD exit
  48. 2008Reading the offloaded evidence file
  49. 2008A Leader companion for MACD direction warnings
  50. 2008Relative strength exits with MACD averages and RSI
  51. 2008Assign one job per indicator in a three-screens rule set
  52. 2008Sequencing RSI, MACD, and average crossovers
  53. 2010Constructing the Schaff Trend Cycle from MACD and a dominant-cycle window
  54. 2010Schaff Trend Cycle as a MACD and Stochastic oscillator combination
  55. 2010Combining Relative Strength Index, the stochastic oscillator, and MACD as slope filters
  56. 2010Short-term wave and ratio clues without direction calls
  57. 2010A precise pullback entry and an unplanned profit-protection exit
  58. 2010Filtering MACD false signals with trendline breaks
  59. 2011Vendor feeds as an input variable in a MACD evaluation
  60. 2012Out-of-the-money versus in-the-money option sensitivity to implied volatility
  61. 2012MACD window tuning as hold-time control
  62. 2012Combining a moving-average crossover with MACD and support-resistance
  63. 2012Testing a published MACD entry with a histogram and signal-line agreement filter
  64. 2012Treat sample systems as a lab before live rules
  65. 2013Constructing moving averages and MACD from one price series
  66. 2013The next-bar price that forces a MACD signal-line cross
  67. 2013Constructing next-bar MACD reversal prices
  68. 2013Constructing inverted MACD reversal prices
  69. 2014Shared-filter combinations of the stochastic oscillator, MACD, and RSI
  70. 2014Square-root lookbacks for combined MACD and RSI
  71. 2015Audit open interest and trend before trusting oscillator crossovers
  72. 2016MACD without a signal line, confirmed by moving-average trend filters
  73. 2016Use RSI, MACD, and a moving average as a market-health consensus
  74. 2016MACD line versus histogram is a display problem first
  75. 2017Weekly and daily MACD on a single daily chart
  76. 2017Weekly and daily MACD as a stacked momentum filter
  77. 2017Nested weekly and daily MACD from paired EMA spreads
  78. 2018Weekly and daily PPO scale versus MACD, with bounded RSI and stochastic readings
  79. 2018Constructing a weekly and daily percentage price oscillator
  80. 2020Constructing Wyckoff tape reading with MACD, moving-average, and RSI filters
By fieldIndicators and filters682 readingsBy year2003104 readings
All 115 readings tagged MACD
Also on MACD5 readings
1994Seeding DEMA2 filters to build a MACD signalLinear regression2012Build a weekly analog as a dated forecast objectLinear regression1990Constructing dollar baselines from rates, inflation, and residualsLinear regression1991Time-origin offset and residual-price divergence on a quadratic least-squares fitLinear regression2003Constructing finite-volume-element divergence with slope comparisonLinear regression