Predicting Stock Price Trend Using MACD Optimized by Historical Volatility

Algorithm 1

General algorithm for HVIX and EMA-HVIX.

Require: Set up parameters

 The stock closing price is , the historical volatility index is , the length of the closing

stock price data is , the weight of is , the weight of is ,

and the time parameters are and .

 for j=1 to () do

    sum=0;

    for i=j to (j+) do

     Generate return series

     Sum the return in the past days

     sum=sum+

    Calculate the mean return in the past    days

    R_mean=

    sum=0

    for i=j to (j+) do

      Sum the variance in the past days

      sum=sum+;

    Calculate the standard deviation in the past    days

 for j=1 to () do

    sum1=0

    for i=j to (j+) do

     sum1=sum1+;

    sum2=0;

    for i=j to (j+) do

     sum2=sum2+;

    Calculate  

 for i=2 to () do

 Calculate    and  

 Calculate  

 for i=2 to length()  do

 Calculate