基于净需求量的MACD指标

MACD Indicator Based on Net Demands

摘要: 传统的MACD指标以历史价格为基础构造，并不能很好的预测未来价格走势。由于价格涨跌是由供需关系直接决定的，本文提出了以净需求量为基础的择时指标MACDV。利用沪深两市的19支活跃股票的3s交易数据，发现新构造的MACDV指标在收益率及收益的稳定性方面优于传统的MACD指标。

Abstract: The traditional MACD indicator is constructed based on historical prices, which can not predict well the future price. Since the ups and downs of stock price are determined by the demand and supply, this paper constructs a new indicator MACDV based on the difference between the quantity claimed by the buyers and the sellers. Using the 3s frequency data of 19 active stocks listed on the Shanghai and Shenzhen stock exchanges, we find that the new indicator MACDV outperforms the traditional MACD in term of trading yield and stability even in a stressed market.