By eliminating the effect of the overnight gap, the Gapless MACD transitions smoothly between the previous close and the current open. Instead of waiting for the lookback period to eliminate a gap from its calculation, the Gapless MACD can be used immediately because it automatically adjusts to any overnight gap. Other than the below description, you may want to review our Gapless Indicator Spotlight (with video).
Indicator Description
The Gapless MACD indicator is used for instruments that have a price gap between yesterday’s close and the current open. Overnight gaps occur with instruments that do not have an overnight trading session. For example, the FDAX for the Germany equity market is closed from 10:00 PM until 8:00 AM local time. Therefore, significant fluctuations in Asian markets may create price gaps that reflect the overnight price action.
Likewise, gaps will appear if you use a session template that only displays the regular trading session. The CME US Index Futures RTH template will only show price data from 8:30 AM to 3:15 PM Central Time. Therefore, a significant price move that occurred overnight, will create a price gap.
This is an issue for the MACD indicator because the gap is part of the lookback period. Therefore, at the session start, you’ll have to wait until the gap is eliminated from the lookback period. Only when the gap is no longer part of the calculation, you may use the indicator plots.
Specifically, the moving averages used in the Gapless MACD indicator, measures the difference between the prior day close and yesterday’s last indicator plot, transferring it to the current open. Available moving average calculations include the Gapless EMA, Gapless Keltner, Gapless SMA, Gapless TEMA, Gapless WMA and the Gapless ZLEMA. Other than adjusting for the overnight gap, the indicator also comes with an option to reset the calculation to start at the current open.
Other Library Indicators
The library also features a Multiple MACD indicator which offers a selection of 30 different moving averages as input series.
Other Multiple Series Indicators include the Fibonacci Bands, Multiple Bollinger Bands, Multiple Deviation Bands, Multiple Keltner Channels, Multiple MA Cross, Multiple Moving Average Wave, Multiple Rainbow Filter, the Multiple TSI the Rainbow Oscillator, Residual Deviation Bands and the SuperTrend indicator.
Also, note that the Ichimoku Kinko Hyo, as discussed in our Indicator Spotlight, has certain similarities to the MACD and the Donchian Channel mid line.
The Gapless MACD indicator is available for NinjaTrader 8.