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Moving Average Convergence Divergence (MACD)

Classic trend momentum moving-average classic

A trend-following momentum indicator that shows the relationship between two moving averages.

Visual Example

Moving Average Convergence Divergence (MACD) — annotated preview mapping to core implementation

Synthetic ideal per library logic. Generated 2026-06-25 IST via docs/generate_all_previews.py (reproducible; maps to core Next<T> implementation).

Description

The Moving Average Convergence Divergence (MACD) indicator is a technical analysis tool that a trend-following momentum indicator that shows the relationship between two moving averages.

This indicator is primarily used for identifying key market conditions. It provides a robust signal that can be easily integrated into both simple strategies and more complex machine learning feature pipelines. Compared to its alternatives, it offers a distinct balance of responsiveness and stability.

Traders often combine this with other metrics to confirm signals and avoid false positives during sideways market regimes. It remains a standard tool for systematic trading models.

Use to identify trend direction and momentum. Crossovers of the MACD line and signal line provide entry and exit signals, while the histogram shows the strength of the trend.

Gerald Appel developed the MACD in the late 1970s. It is calculated by subtracting the 26-period EMA from the 12-period EMA. A nine-day EMA of the MACD, called the 'signal line,' is then plotted on top of the MACD line, which can function as a trigger for buy and sell signals. — Investopedia

QuantWave implements this indicator via the universal Next<T> trait, guaranteeing bit-identical results between Rust streaming, Python streaming, and Polars batch (.ta() / map_batches) surfaces.

Formula / Specification

Implementation (quantwave-core/src/indicators/momentum.rs):

\[ MACD = EMA(12) - EMA(26) \\ Signal = EMA(MACD, 9) \]

Gold-standard parity vectors: quantwave-core/tests/gold_standard/macd.json.

Parameters

Parameter Default Description
fastperiod 12 Fast EMA period
slowperiod 26 Slow EMA period
signalperiod 9 Signal EMA period

Usage Examples

Streaming (Rust)

use quantwave_core::indicators::MACD;
use quantwave_core::traits::Next;

let mut ind = MACD::new(12);
for price in &prices {
    let value = ind.next(price);
}

Streaming (Python)

from quantwave import MACD

ind = MACD(12)
for price in prices:
    value = ind.next(price)

Polars Batch (Python)

import polars as pl
import quantwave as qw

def apply_moving_average_convergence_divergence_macd(series: pl.Series) -> pl.Series:
    ind = qw.MACD(12)
    return pl.Series([ind.next(float(v)) for v in series.to_list()])

df = (
    pl.read_csv('ohlcv.csv')
    .lazy()
    .with_columns(
        pl.col("close").map_batches(apply_moving_average_convergence_divergence_macd, return_dtype=pl.Float64).alias("moving_average_convergence_divergence_macd")
    )
    .collect()
)

All surfaces are bit-identical via the single Next<T> implementation and proptests.

Edge Cases & Limitations

  • Warm-up: first 12 bars may return NaN or partial state per implementation.
  • Parameter sensitivity: smaller periods increase noise; larger periods increase lag.
  • Sudden gaps or bad ticks can distort rolling windows — consider pre-filtering.
  • Single-series indicators ignore volume unless otherwise documented.
  • Validated via proptests against gold-standard vectors where available.
  • No look-ahead bias; streaming and Polars batch paths are bit-identical.

Boundary Behavior

Condition Behavior
Warm-up Leading bars return NaN until warmup_bars is satisfied.
period > len When period exceeds series length, output is all NaN.
NaN inputs NaN in input propagates to output (NaN out).
Invalid params Non-positive period or missing required params raise ValueError.
Empty data Empty input returns an empty result series.

Sources & References

Primary Source: https://www.investopedia.com/terms/m/macd.asp

Implementation: quantwave-core/src/indicators/momentum.rs (MACD / MACD_METADATA). Parity: quantwave-core/tests/gold_standard/macd.json

Provenance: Standards bulk upgrade 2026-06-25 IST — see docs/DOCUMENTATION_STANDARDS.md.