McGinley Dynamic (MCGD)

Summary

McGinley Dynamic (John R. McGinley, Jr.): a moving average whose speed adjusts to the market. Each bar closes a fraction 1 / (N * (x/MD)^4) of the gap to the price: less than RMA's 1/N while the price is above the line, more while it is below, so the line tracks falling prices faster than rising ones.

McGinley suggests a period of about 60% of the simple moving average being emulated: a Dynamic of 12 to follow a 20-bar average.

Chart

Reference data (CSV) · Chart (SVG)

Chart metadata i

Outputs

• outReal: line

Formula

N = optInTimePeriod

MD[0] = x[0]

for i >= 1: MD[i] = MD[i-1] + ( x[i] - MD[i-1] ) / ( N * ( x[i] / MD[i-1] )^4 )

The first output is at bar N-1.

Notes

• Where the price is 0, or so small against the line that the step overflows, the step is undefined and the line keeps its previous value. A line at 0 stays at 0.
• Being recursive, an output depends on how much history precedes it. Close to the price the seed's influence decays by a factor of 1 - 1/N per bar, as in RMA; the unstable period is how much of the warm-up to discard.
• The line is scale-equivariant but meant for positive prices: a series crossing zero sends it off to meaningless values, and a single bar far enough below the line can take the line to 0 or below it.
• Some implementations seed with the simple average of the first N bars. They agree with this one only once the seed's influence has decayed.
• Some implementations write the step's denominator as 0.6 * P * (x / MD)^4. That is this function at a period of 0.6 * P, when that is an integer.

Inputs

• inReal — Data on which to compute the average

Outputs

• outReal — McGinley Dynamic line

Parameters

Parameter	Type	Default	Accepted values	Description
optInTimePeriod	integer	14	2–100000	The N of the step's denominator

Properties

Numerical Stability: Initial Unstable Period

✅ Overlap Input i
☐ Independent Y-Axis
☐ Candlestick
☐ Display Shift

☐ Can Output NaN or ±Inf
☐ Identity at Period 1
☐ Uses Transcendental
✅ Input Must Be Positive i

Example

C

#include <stdio.h>
#include <ta_libc.h>

int n = 252;
double series[252]; /* your data, oldest first */
double out[252];
int outBegIdx, outNBElement;

TA_Initialize();
TA_MCGD( 0, n - 1, series, 14, &outBegIdx, &outNBElement, out );
printf( "%d values from bar %d; last out = %f\n", outNBElement, outBegIdx, out[outNBElement - 1] );

Rust

use ta_lib::Core;

let series = vec![0.0; 252]; // your data, oldest first
let mut out = vec![0.0; 252];

let core = Core::new();
let range = core.mcgd(0, series.len() - 1, &series, 14, &mut out)?;
println!("{} values from bar {}; last out = {}", range.count, range.beg_idx, out[range.count - 1]);

Java

import io.github.talib.Core;
import io.github.talib.OutRange;

double[] series = new double[252]; // your data, oldest first
double[] out = new double[252];

Core core = Core.DEFAULT;
OutRange r = core.mcgd(0, series.length - 1, series, 14, out);
System.out.println(r.count() + " values from bar " + r.begIdx() + "; last out = " + out[r.count() - 1]);

C#

using System;
using TALib;

var series = new double[252]; // your data, oldest first
var outReal = new double[252];

var core = Core.Default;
OutRange r = core.Mcgd(0, series.Length - 1, series, 14, outReal);
Console.WriteLine($"{r.Count} values from bar {r.BegIdx}; last outReal = {outReal[r.Count - 1]}");

TypeScript

import { mcgd } from 'ta-lib';

const series = new Float64Array(252); // your data, oldest first

const { begIdx, values } = mcgd(series, { timePeriod: 14 });
console.log(values.length + ' values from bar ' + begIdx + '; last values = ' + values[values.length - 1]);

Implementation

Added in 0.8.3 (ta-lib-python 0.8.3).

TA-Lib Definition: mcgd.c · mcgd.yaml

Native	File
C	ta_MCGD.c
Rust	mcgd.rs
Java	Core_MCGD.java
C#	Core_MCGD.cs
TypeScript	mcgd.ts

Python: talib.MCGD (ta-lib-python 0.8.3 or later), see ta-lib-python.

TA-Lib is also available for R and more using a wrapper.

Aliases

McGinley Dynamic, MD, MGD

See Also

RMA · EMA · KAMA · SMA

References

• John R. McGinley, Jr., "McGinley Dynamics", MTA Journal (Market Technicians Association), Summer-Fall 1997, pp. 15-18. The original definition, with the fourth-power adjustment and the 60% rule for choosing N.