Volume Moving Average Convergence/Divergence (VMACD)
factor.formula
Short-term Volume Exponential Moving Average (SHORT)
Calculates the Exponential Moving Average (EMA) of volume (VOL) over the past N1 periods. N1 is a smaller parameter that captures shorter term changes in volume.
Long-term Volume Exponential Moving Average (LONG)
Calculates the exponential moving average (EMA) of volume (VOL) over the past N2 periods. N2 is a larger parameter that captures longer term changes in volume.
Difference (DIFF)
Calculates the difference between the short-term Volume Exponential Moving Average (SHORT) and the long-term Volume Exponential Moving Average (LONG). The DIFF value reflects the strength of short-term volume momentum relative to long-term volume momentum.
Difference-average (DEA)
Calculates the Exponential Moving Average (EMA) of the past M periods of the Difference Value (DIFF). The DEA value is a smoothing of the DIFF value, which can reduce short-term fluctuations and highlight the continuation of the trend.
Volume Moving Average Convergence/Divergence (VMACD)
Calculate the difference between the difference value (DIFF) and the difference average (DEA). The VMACD value is the final indicator value, reflecting the relative strength of volume momentum and identifying buy and sell signals through positive and negative values and crossing the zero line.
Parameter Description:
- :
Represents volume data, used to calculate exponential moving averages.
- :
Short-term EMA period, used to calculate the short-term volume exponential moving average (SHORT). The default value is 12, usually set to a smaller value to reflect short-term volume changes. Adjustment of this parameter affects the sensitivity of the VMACD indicator to short-term volume fluctuations. A smaller N1 value will make the indicator more sensitive, while a larger N1 value will make the indicator smoother.
- :
Long-term EMA period, used to calculate the long-term volume exponential moving average (LONG). The default value is 26, usually set to a larger value to reflect long-term volume changes. Adjustment of this parameter affects the sensitivity of the VMACD indicator to long-term volume trends. A smaller N2 value will cause the indicator to react more quickly to long-term trends, while a larger N2 value will make the indicator more stable to long-term trends.
- :
The period of DEA calculation, used to smooth the difference value (DIFF). The default value is 9, usually set to a smaller value. Adjusting the M value will affect the sensitivity of DEA to changes in DIFF. Smaller M values will cause DEA to react more quickly to changes in DIFF, while larger M values will cause DEA to be smoother.
factor.explanation
The Volume Moving Average Convergence Divergence (VMACD) compares volume momentum over different time periods to determine the changing trend of market participation. When the VMACD value turns from negative to positive or crosses above the zero axis, it indicates that the volume momentum is increasing, which may indicate a price increase; when the VMACD value turns from positive to negative or crosses below the zero axis, it indicates that the volume momentum is weakening, which may indicate a price decrease. In addition, the crossover of DIFF and DEA may also provide buy or sell signals, but it needs to be used in conjunction with other technical indicators or fundamental analysis to improve the accuracy of the judgment. This indicator is particularly suitable for analyzing the market's confirmation of price movements and helps to identify volume-driven trend reversals.