NAAIM 2022 Founder’s Award White Paper Winner Focuses on Combining MACD with Volatility Normalized Movement to Improve Buy and Sell Signal Accuracy

The National Association of Active Investment Managers (NAAIM) has named Alex Spiroglou, CFTe, DipTA (ATAA), as winner of its annual white paper competition, the NAAIM Founders Award. Spiroglou’s paper, titled “MACD-V: Volatility Normalized Momentum,” demonstrates how trading systems that utilize the popular technical analysis indicator, the Moving Average Convergence Divergence (MACD), can be improved through a unique type of hybrid “boundless oscillator.”

“What impressed the judges about Alex’s paper are the many applications MACD-V has to improve trading strategies,” said David Daughtrey, CFA®, CFP®, chairman of the NAAIM Founders Award Committee and advisor and founder of Copperwynd Financial, LLC.

Spiroglou describes his paper explaining, “My goal was not to simply design yet ‘another’ indicator that would provide approximately the same informational value as numerous ones already do, but to improve an existing tool (MACD), by eliminating its shortcomings. Doing so opens the doors for several pattern recognition opportunities which would not be definable using the classic MACD.”

The Moving Average Convergence Divergence (MADC) indicator was developed by technical analyst Gerald Appel (Jun 2, 1933 – Feb 13, 2020) in the late 1970’s. It is a trend-following momentum indicator that shows the relationship between two moving averages of prices. While a versatile tool with many nonconventional uses, the MADC has five shortcomings:
MACD is not time stable (comparable across time),

  1. MACD is not comparable across securities,
  2. MACD momentum readings cannot be objectively scaled,
  3. MACD signal line crossovers are unreliable in low momentum environments,
  4. MACD crossover signals are late in high momentum trend reversals.

A solution to deal with shortcomings #1 & #2, is to normalize the readings of the MACD, resulting in an indicator commonly known as the PPO (percent price oscillator). The PPO lacks, however, uniform “high/low” momentum definitions, rendering shortcomings #4 and #5 unsolved and crossover signal filtering not feasible.

Spiroglou’s proposed solution is MACD-V: Volatility Normalised Momentum, by adding Welles Wilder’s Average True Range (ATR) for the measurement of volatility. The improved MACD-V is used to define a general Momentum Lifecycle RoadMap (framework), new entry and exit techniques, and versatile cross asset (intermarket) strategies.

The MACD line formula now becomes: [( 12 bar EMA – 26 bar EMA) / ATR(26)] * 100.  The output of the indicator is the amount of momentum a security has

that is in excess of its average volatility, expressed as a percentage. “We are measuring directional strength, ‘purified’ from volatility fluctuations,” Spiroglou says.

The paper continues to explore how MACD-V measures against the five shortcomings of the classic MACD and how it might be applied in trading strategies.

To read the full white paper, visit: FIND A WHITE PAPER

About Alex Spiroglou, CFTe, DipTA (ATAA)

Alex Spiroglou, CFTe, DipTA (ATAA) is a quasi-systematic, cross-asset proprietary futures trader, currently trading his own book. He is active in all major liquid futures markets and across all major asset classes (equity, interest rates, FX, commodities). Spiroglou has worked with various proprietary trading and investment management firms in the UK and Greece, and holds the “Certified Financial Technician (CFTe)” accreditation by the International Federation of Technical Analysts (IFTA), and the “Diploma of Technical Analysis – DipTA (ATAA)”, administered by the Australian Technical Analysts Association (ATAA). Based in the United Kingdom, he is founder and CEO of SMART Trader Systems Ltd, London, a firm focused on the training, support & development of institutional traders.


Launched in 2009, the NAAIM Founders Award is designed to expand awareness of active investment management techniques and the results of active strategies through the solicitation and publication of research on active management. $5,000 is presented annually for the best paper submitted to the competition.

The National Association of Active Investment Managers (NAAIM) is a non-profit trade group of nearly 150 registered investment advisor firms that collectively manage more than $15 billion in assets. NAAIM member firms provide active money management services to their clients to produce favorable risk-adjusted returns as an alternative to passive, buy-and-hold investment strategies. NAAIM publishes the weekly NAAIM Exposure Index and sponsors the annual Uncommon Knowledge conference along with smaller conferences and regional workshops on topics of interest to its membership. For more information, visit