Hypotheses
Chio VPVMA Daily ETF Panel — Literal Published Formula
Derived by the Research Lead from Pat Tong Chio's paper: test the volume-, typical-price- and volatility-weighted MACD derivative on DIA, QQQ and SPY daily bars. Preserve the published 12/26/9 periods, 0.1 bandwidth…
Hypothesis
Derived by the Research Lead from Pat Tong Chio's paper: test the volume-, typical-price- and volatility-weighted MACD derivative on DIA, QQQ and SPY daily bars. Preserve the published 12/26/9 periods, 0.1 bandwidth and both printed signal inequalities. Equation 4.2-6 uses SVWMA rather than LVWMA; this experiment deliberately implements that literal expression, without claiming to resolve the author's intent. Population rather than sample standard deviation is an explicitly chosen convention. Replace the unspecified constituent universe with the three ETFs explicitly named in Section 3.2.2, using split-adjusted platform OHLCV. Allocate independent, non-transferable sleeves of one-third initial capital, with 95% of each sleeve's available equity invested on entry. Whole shares, no shorts, leverage 1. Orders decided at session close fill at the next session open. No added stop or target: risk is bounded by sleeve allocation rather than a guaranteed loss limit. Source performance claims remain unverified.
Analysis
A comparative study of the MACD-base trading strategies: evidence from the US stock market
Backtest and paper results are hypothetical. Trading involves risk of loss.