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From eqn (465), if the mean of the state vector is known at some time k0 and E wk = 0, then the mean can be propagated forward according to E xk+1 E xk+1 = E k xk + E wk = k E xk + E wk = k E xk (497)

Gerald Appel created the widely followed MACD in 1976 At the time, before the personal computer, he programmed all of the algorithms into a calculator, attempting to produce a technical timing indicator based on moving averages that could signal traders when the current trend ended or began

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Intuitively, this formula states that since nothing is known a priori about the speci c realization of the process noise for a given experiment, the mean of the state is propagated according to the state model: xk+1 = k xk yk = Hk xk (498)

Pk = E (xk k )(xk k ) ,

MACD has a reliable history of giving few but well-timed long-term signals Put another way, when many investors are hiding in cash and afraid to enter the market, the weekly or monthly MACD may suddenly perk up with a buy signal The long-term buy signals don t appear often, but when they do, it s best to pay attention It s your choice whether to set up MACD for a longer-term time frame (weekly or monthly) for fewer signals, or a shorter term (daily)

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where k = E xk The state covariance at time k + 1 Pk+1 = E (xk+1 k+1 )(xk+1 k+1 )

can be simpli ed using eqns (465) and (498) to determine eqn (499) for propagating the state error covariance through time: Pk+1 = E ( k (xk k ) + wk ) (xk k ) k + wk = E k (xk k )(xk k ) k + wk wk +wk (xk k ) k + k (xk k )wk = k E (xk k )(xk k ) Pk+1 = k Pk k + Qdk k + E wk wk (499)

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Because MACD can take a little time to understand, we ll go over the basics again MACD usually consists of two lines: (1) a solid black line called the MACD line, and (2) a red line (sometimes dotted), called the 9-day signal line The signal line is slower because technically it s a moving average of the MACD line Yes, you heard that right: it s a moving average of a moving average The MACD line is the faster of the two lines The reason you keep your eye on the faster MACD line is that it is the one that does the crossing When the MACD line crosses above the 9-day signal line, this could be a buy signal And if the MACD line crosses below the 9-day signal line, this could be a sell signal If you look at Figure 32, you ll also see a flat line called the zero line When MACD crosses above or below the zero line, it generates a very reliable signal, according to many traders The way all of these lines crisscross, converge, and diverge with one another is what makes MACD so interesting and so flexible to traders

Note that eqns (497) and (499) are valid for any zero mean noise process satisfying the assumption of eqn (462) No other assumptions were used in the derivations If wk and vk happen to be zero mean Gaussian processes, then xk is also a Gaussian stochastic process with mean and variance given by eqns (497) and (499) By limiting arguments (see 4 in [58]), the covariance propagation for the continuous-time system x = Fx + G is described by P = FP + PF + GQG (4100)

Keep in mind that you have a lot of flexibility with time frames If you only want to be notified of major signals, you can change the default time period from daily to weekly And even more interesting, you can also change the default settings of (12,26,9) to match your trading strategies For example, scroll down below the chart to the MACD settings Now change the settings to (19,39,9) and press Update

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