How To Calculate Moving Average Convergence Divergence (MACD) in F#?

 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29

open System

let calculate_moving_average_convergence_divergence (prices: float []) (short_period: int) (long_period: int) (signal_period: int) =
    let calculate_ema (data: float []) (period: int) =
        let alpha = 2.0 / (float(period) + 1.0)
        let rec calculate_ema_helper (data: float []) (period: int) (prev_ema: float) (index: int) =
            if index >= Array.length data then prev_ema
            else
                let current_ema = (data.[index] * alpha) + (prev_ema * (1.0 - alpha))
                calculate_ema_helper data period current_ema (index + 1)
        calculate_ema_helper data period data.[period] 1

    let short_ema = calculate_ema prices short_period
    let long_ema = calculate_ema prices long_period
    let macd = short_ema - long_ema

    let signal_line = calculate_ema (Array.append [|0.0|] (Array.map (fun x -> x - macd) prices)) signal_period

    macd, signal_line
    
// Example usage
let prices = [|100.0; 105.0; 110.0; 115.0; 120.0; 125.0; 130.0; 135.0; 140.0; 145.0|]
let short_period = 12
let long_period = 26
let signal_period = 9

let macd, signal_line = calculate_moving_average_convergence_divergence prices short_period long_period signal_period

printfn "MACD: %f, Signal Line: %f" macd signal_line