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I was (unsuccessfully) trying to find results on what the distribution of the MACD values for a stationary time series with IID returns would be. Are there any such results or any that go in a similar direction?

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  • $\begingroup$ Hi: I can't remember if it's been done for MACD but the procedure generally involves converting the original rule into a rule about returns. The paper at link is kind of relevant ( like I said. I can't recall if they consider MACD ) but there are also others also that could be more relevant. papers.ssrn.com/sol3/papers.cfm?abstract_id=2604942 $\endgroup$
    – mark leeds
    Apr 16, 2019 at 17:49
  • $\begingroup$ you may find my answer here relevant: quant.stackexchange.com/a/44914/29443, it basically doing what @markleeds suggests but in a different context $\endgroup$
    – Attack68
    Apr 16, 2019 at 19:18
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    $\begingroup$ @attack68: Hi: what you did at that link is interesting and related. My take is that an estimation-minimization approach will depend largely on the time-frame and how often you re-estimate. if you re-estimate often and, if the time frame is too fine ( even days ), I have a feeling your estimates of the weights will be very unstable. but maybe not :). neat idea for sure. the approach in the paper gets a closed form for MA but I can't remember if it does it for other ones. $\endgroup$
    – mark leeds
    Apr 16, 2019 at 23:55

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