Financial Time Series Toolbox

Moving Average Convergence/Divergence (MACD)

Moving Average Convergence/Divergence (MACD) is an oscillator function used by technical analysts to spot overbought and oversold conditions. Look at the portion of the time series covering the three-month period between October 1, 1995 to December 31, 1995. At the same time fill any missing values due to holidays within the time period specified:

• part_ibm = fillts(ibm('10/01/95::12/31/95'));
  

Now calculate the MACD, which when plotted produces two lines; the first line is the MACD line itself and the second is the nine-period moving average line:

• macd_ibm = macd(part_ibm);
  

Note    When you call macd without giving it a second input argument to specify a particular data series name, it searches for a closing price series named Close (in all combinations of letter cases). For more detail on the macd function, see macd in the Function Reference.

Plot the MACD lines and the High-Low plot of the IBM stock prices in two separate plots in one window.

• subplot(2, 1, 1);
  plot(macd_ibm);
  title('MACD of IBM Close Stock Prices, 10/01/95-12/31/95');
  datetick('x', 'mm/dd/yy');
  subplot(2, 1, 2);
  highlow(part_ibm);
  title('IBM Stock Prices, 10/01/95-12/31/95');
  datetick('x', 'mm/dd/yy')
  

Figure 3-1, MACD and IBM Stock Prices shows the result.

Figure 3-1: MACD and IBM Stock Prices

Examples

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