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Variations using Volatility: Virtual IFTA meeting with Alex Spiroglou CFTe, DipTA(ATAA)

Alex likes his titles and awards, as evidenced by the framed certificates on the bookshelf behind him. He is also a very professional speaker, describing himself as ‘a quasi-systematic, cross asset proprietary futures trader’, with especially nice slides prepared for this presentation.

The full title of his talk is: ‘MACD-v: Volatility Normalised Momentum – a Twice Awarded Indicator’ – which doesn’t exactly roll off the tongue. He admits to combining technicals with fundamentals and playfully offers an attendance bonus to those who don’t fall asleep during his presentation.

He goes on to explain the difference between oscillators whose values are limited (usually between 0 and 100), and unlimited ones like the Moving Average Convergence Divergence (MACD), which is the one he’s looking at now. While widely used, this oscillator cannot be used to compare across asset classes or time as the absolute values vary so much. The examples he used for this talk were US S&P 500, US Natural Gas and the German Bund future – very good choices as their massively different price moves really do clearly illustrate the point.

Stating that the MACD histogram (which he colours green for positive and red for negative) is the fourth derivative of price, from that he developed the Percent Price Oscillator (PPO) using 12 and 26 period exponential moving averages; while stable across time, this is not the case across securities. Enter MACD-v, volatility normalised momentum, with values between 50 and 150 and which can be used when comparing different asset classes. He then calculates a moving average of this data point, known as the signal line.

After taking questions from many keen followers of his, he ends saying ‘’we cannot be one trick ponies’’, urging us not to just tweak things but to look for new tools.

He can be contacted on:

Posted in Education, Finance, General, Markets, STA charts, STA education, STA news, Technical Analysis
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The views and opinions expressed on the STA’s blog do not necessarily represent those of the Society of Technical Analysts (the “STA”), or of any officer, director or member of the STA. The STA makes no representations as to the accuracy, completeness, or reliability of any information on the blog or found by following any link on blog, and none of the STA, STA Administrative Services or any current or past executive board members are liable for any errors, omissions, or delays in this information or any losses, injuries, or damages arising from its display or use. None of the information on the STA’s blog constitutes investment advice.

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