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How does the talib compute MACD ? Why the value is different ?

posted Jan 18, 2016

Hi everyone !

I accidentally found that the value returned by the talib was not equal to the value computed by the MACD formula.

e.g.

MACD line computed by formula, saved in: macd_formula

EMA12 = talib.EMA(prices, timeperiod = 12)
EMA26 = talib.EMA(prices, timeperiod = 26)
macd_formula = EMA12 - EMA26

MACD line computed by talib, saved in: macd_talib

macd_talib, signal, hist = talib.MACD(prices,
fastperiod=12,
slowperiod=26,
signalperiod=9)

'macd_formula' not equals to 'macd_talib', and has a 5% average difference.

Why this happened ?

Thanks,
Rein

4 responses

Could be Ema vs Sma ?

Looking at TA-Lib source code MACD should be using EMA... How far does 'prices' history go? You may be hitting memory effects http://ta-lib.org/d_api/ta_setunstableperiod.html if talib.EMA uses different memory range than talib.MACD. Try extending the history further out (e.g. 52 days) and compare only last few datapoints instead of entire arrays. See also this thread.

As I remember, TA_Lib MACD is multi output function.
Except Closing prices it has 3 inputs:
Period for fast EMA- 12
Period for slow EMA- 26
Period for signal line- 9
and 3 outputs:
The MACD Line is the difference between fast EMA and slow EMA.
Signal line is 9 period EMA of the MACD Line.
MACD Histogram is the difference between MACD Line and Signal line.

Rein Y. wu
May be you picking wrong columns to compare?
Try to record all 3 outputs of TA_Lib MACD and compare them to simple MACD Line calculation.

I know its an old question, but I just discovered the same thing. I am using an array of 100 numbers for testing. I calculated emas by hand and with talib also (It is using SMA for the inital EMA). That part is correct. But, when I do ema12-ema26 by hand and with MACD, the function is completely wrong. I tried using SMAs, but the result is still wrong...

EDIT: Yes, I'm looking at the MACD Line output.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.