Konstrukcja spektralnego oscylatora MACD dla wybranych cen akcji banków notowanych na GPW w Warszawie
Construction of spectral MACD oscillator for selected Polish banks’ stock prices

Summary/Abstract: The goal of this article is to present spectral version of MACD oscillator built with the help of spectral analysis and filtration methods applied to time series interpreted as realizations of stochastic processes. Theoretical part of the work is devoted to the description of Christiano−Fitzgerald filter, which was applied to frequency domain MACD construction as one of the best approximations of optimal filter. The prepared indicator was used to forecast turning points of selected Polish banks' stock prices noted at Warsaw Stock Exchange. The quality of forecasts computed with use of spectral version of MACD were also compared with forecast gained with its standard version. Achieved results allow to state that spectral MACD performs better than its version used up to now in technical analysis of financial time series.

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