DMI/ADX consistently works

Quote from darklight:

i plot the DX indicator NOT ADX. Settings are 15 periods for everything. The only program that i can get this to work in is metastock professional,(i have tried esignal and prosuite 2000i with no success) check out the screenshot. It "seems" to work very well on the 2 min ES charts (note how it keeps you out of the choppy market). I am still experimenting with this set-up, if you take trades only when the DX line crosses over the 30 line with dmi+ and dmi- confirming, the chance of a better trade are greatly increased. :)
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Yes, It's not to bad! Would be great, if you'd provide your results.

Saico
 
Quote from ram:

Anybody know if DX is available on Tradestation?
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None of my built in indicators plotted the DMI (DX), but it is built in as a function. The DMI indicator that comes with 2000i plots the DM lines and the ADX, but not the DX. You can easily modify this by changing the code in the PowerEditor.

Just add:

Plot4(DMI(Length), "DX");

to the standard DMI and it will plot the DX along with the DM lines and the ADX. If you want to get rid of the ADX altogether, just replace

Plot3(ADX(Length), "ADX");

with

Plot3(DMI(Length), "DX");

I don't use TS7, but I would imagine that you can do the same thing for it as well.
 
OK guys,

Going to open up this thread again. This thread was intriguing, and I tried it implement what I think are NYC's rules in Wealth Lab. This implementation only yields about a 25% return. Anyone care to comment on this code below ? (SORRY BUT I CANNOT GET INDENTING TO WORK PROPERLY, SO READABILITY IS A LITTLE UGLY !)

var Bar: integer;
var DX_Val, ADX_Val, PDI_Val, MDI_Val: float;
var DX_Val_Last, ADX_Val_Last, PDI_Val_Last, MDI_Val_Last: float;
var tmp: string;

for Bar := 15 to BarCount - 1 do
begin
PortfolioSynch(Bar, '');

DX_Val_Last := DX(Bar-1,15);
DX_Val := DX(Bar,15);
ADX_Val_Last := ADX(Bar-1,15);
ADX_Val := ADX(Bar,15);
PDI_Val_Last := DIPlus(Bar-1,15);
PDI_Val := DIPlus(Bar,15);
MDI_Val_Last := DIMinus(Bar-1,15);
MDI_Val := DIMinus(Bar,15);

if not LastPositionActive then
begin
If ((ADX_Val_Last < PDI_Val_Last) and (ADX_Val > PDI_VAL)) or
((ADX_Val_Last < MDI_Val_Last) and (ADX_Val > MDI_Val)) then
begin
If ((ADX_Val > PDI_Val) and (PDI_Val > MDI_Val)) then
begin
tmp := 'BUY- ADX:' + floattostr(ADX_Val) + ' PDI:' + floattostr(PDI_Val) + ' MDI:' + floattostr(MDI_Val);
BuyAtMarket(Bar+1, tmp);
end
else
If ((ADX_Val > MDI_Val) and (MDI_Val > PDI_Val)) then
begin
tmp := 'SHORT- ADX:' + floattostr(ADX_Val) + ' PDI:' + floattostr(PDI_Val) + ' MDI:' + floattostr(MDI_Val);
ShortAtMarket(Bar+1, tmp);
end;
end;
end
else
begin
if PositionLong(LastPosition) then
begin
If MDI_Val > PDI_Val then
begin
tmp := 'SELL- ADX:' + floattostr(ADX_Val) + ' PDI:' + floattostr(PDI_Val) + ' MDI:' + floattostr(MDI_Val);
SellAtMarket(Bar+1, Lastposition, tmp);
end;
end
else
if PositionShort(LastPosition) then
begin
If PDI_Val > MDI_Val then
begin
tmp := 'COVER- ADX:' + floattostr(ADX_Val) + ' PDI:' + floattostr(PDI_Val) + ' MDI:' + floattostr(MDI_Val);
CoverAtMarket(Bar+1, LastPosition, tmp);
end;
end;
end;
end;

Regards,

Doug
 
Problem: DX, ADX, PID & MDI values yield differences across platforms

As a corollary to the last post above, I am comparing 1 minute values garnered by the aformentioned WealthScript functions and the corresponding values yielded by RealTick Charting, and I am coming up with major discrepancies.

My 1 min RealTick datasource is being stamped at "end of time interval". In both RealTick and WealthLab, I am looking at 1 minute Intraday studies, with P=15. In Realtick, I chose the table chart option to give me the minute values below.

The discrepancies are pretty universal. Let me cite an example from Friday, 2/20/2004, for the last 5 minutes of the trading day for ticker symbol EP:


WL -> Tm:1556 DX: 4 ADX: 43.48 DI+: 13 DI-: 12
RT -> Tm:1556 DX: 25.49 ADX: 34.13 PDI: 18.60 MDI: 11.05

WL -> Tm:1557 DX: 8 ADX: 41.11 DI+: 13 DI-: 11
RT -> Tm:1557 DX: 25.49 ADX: 33.05 PDI: 17.03 MDI: 10.11

WL -> Tm:1558 DX: 25 ADX: 40.04 DI+: 17 DI-: 10
RT -> Tm:1558 DX: 45.01 ADX: 34.55 PDI: 24.33 MDI: 9.22

WL -> Tm:1559 DX: 45 ADX: 40.37 DI+: 24 DI-: 9
RT -> Tm:1559 DX: 65.61 ADX: 38.43 PDI: 34.13 MDI: 7.09

WL -> Tm:1600 DX: 44 ADX: 40.61 DI+: 21 DI-: 8
RT -> Tm:1600 DX: 65.61 ADX: 41.83 PDI: 31.37 MDI: 6.51

Note that I am using WL functions DX, ADX, DIPlus, and DIMinus. The analogous Realtick studies that I'm using are: Directional Movement, Average Directional Movement, Plus DIrectional Indicator, and Minus Directional Indicator.

My WL calls are as follows:

DX_Val := DX(Bar,15);
ADX_Val := ADX(Bar,15);
PDI_Val := DIPlus(Bar,15);
MDI_Val := DIMinus(Bar,15);


Why are these 2 platforms yielding such drastic differences ? It appears that it is in the way the 2 platforms calculate the formulas. Can anyone check these values out for the timestamps above, on other platforms, to see which is right or closer ?

Thanks in advance !
 
However if the ADX moves up with 4 steps while below the MDI and the PDI (PDI must be above MDI) then your trend is established or re-established and provides an excellent entry point. But I use a 22 period and as a 30 period daily...as I hold longer...

Michael B.


Quote from OddTrader:

Anyone has any comments on the followings:

Q

Conversely, when the ADX line moves below both DIs, Wilder recommends staying away from trend-following systems.

In summary, it is possible to set out a series of rules as expliciitly proposed by Wilder:

1. Trade only trend-following systems in securies with a high ADX rating. The ADX level reflects the degree of directional movement, not the direction itself.

...

Market Momentum (by Martin Pring)

UQ
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I actually find that ADX/PDI/MDI works best for me with daily bars and overnight holds with good ranked stocks. The sentiment is better reflected in a daily bar...and wild volatile instruments and fast intraday movements do not get filtered correctly with this directional indicator.....Also if your already in...and the ADX is between the PDI and the MDI and the ADX starts to slope down...you do not need to exit and chop out....just wait and exit when the MDI goes below the PDI....

But this is with daily...I do not know how to use this indicator intraday...Perhaps that is why intraday traders only use the extreme readings this indicator presents.

Michael B.


Quote from nyc-hotshot:

I ONLY enter a trade when ADX (white line) is on the top. I never trade when ADX is at the bottom or between the PDI/MDI lines. In my experience the only correlations that work are when ADX is at the top, then you just need to see which (MDI/PDI) is at the bottom to determine the call.

It is best to enter just as ADX is crossing the other lines and heading up. Once it is already at the top it doesn't work as well, especially on the "scalp" type trades of .02-.04. The "scalp" move generally happens quickly once ADX crosses to the upside.
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