Does anyone know the algorithm usually used to calculate ADX? I tried googling it, but I see tons of different algorithms used.... Does anyone have a relatively simple and straight forward method that is similar to what most charting aplications use?
Problem calculating ADX
- Thread starter frostengine
- Start date
ok I see nobody answered.
I can give you here the calculation you find in Wealth lab for ADX, it's a lot of stuff.
Hope it can help
Description
ADX stands for Average Directional movement Index and is used to measure the overall strength of the trend. The ADX indicator is an average of DX values, see DX. The ADX is a component of the Directional Movement System developed by Welles Wilder. This system attempts to measure the strength of price movement in positive and negative direction using the DIPlus and DIMinus indicators along with the ADX.
ADX
Calculation
ADX is equivalent to the Wilder's moving average (see WilderMA) of the direction movement (DX) over the specified Period.
-------------------------------------------------------
DX
Calculation
DX = Round( 100 * |DIPlus - DIMinus| / |DIPlus + DIMinus| )
------------------------------------------------------
DI Minus
Calculation
-DI = Round( -DM / TR )* 100
where,
-DI = DIMinus
TR = True Range of current bar
The -DI is then smoothed over the Period specified, the same way as a simple moving average, and, -DM is calculated as follows:
(i) For up trending days, -DM = zero
(ii) For down trending days, -DM = yesterday's low - today's low
(iii) For inside days, -DM = zero
(iv) For outside days, if yesterday's low - today's low, is greater than today's high- yesterday's high, then -MD = yesterday's low - today's low, otherwise -DM = zero
(v) For upwards gap days, -DM = zero
(vi) For downwards gap days, -DM = yesterday's low - today's low
-----------------------------------------------
Di Plus
Calculation
+DI = Round( +DM / TR ) * 100
where,
DI+ = DIPlus
TR = True Range of current bar
The +DI is then smoothed over the period specified, the same way as a simple moving average, and +DM is calculated as follows:
(i) For up trending days, +DM = today's high - yesterday's high
(ii) For down trending days, +DM = zero
(iii) For inside days, +DM = zero
(iv) For outside days, if today's high - yesterday's high, is greater than yesterday's low- today's low, then +MD = today's high - yesterday's high, otherwise +DM = zero
(v) For upwards gap days, +DM = today's high - yesterday's high
(vi) For downwards gap days, +DM = zero
-------------------------------------------------
WilderMA
Calculation
WilderMA is calculated for periods "n" as follows:
Wilder MA = ( Previous Wilder MA * ( n - 1 ) + Price Series Value ) / n
where,
n = number of periods
Price Series Value = data you wish to average
--------------------------------------------------
True Range
Calculation
True Range is always a positive number and is defined by Welles Wilder to be the greatest of the following for each period:
The distance from today's high to today's low.
The distance from yesterday's close to today's high.
The distance from yesterday's close to today's low.
Geez, good luck
I can give you here the calculation you find in Wealth lab for ADX, it's a lot of stuff.
Hope it can help
Description
ADX stands for Average Directional movement Index and is used to measure the overall strength of the trend. The ADX indicator is an average of DX values, see DX. The ADX is a component of the Directional Movement System developed by Welles Wilder. This system attempts to measure the strength of price movement in positive and negative direction using the DIPlus and DIMinus indicators along with the ADX.
ADX
Calculation
ADX is equivalent to the Wilder's moving average (see WilderMA) of the direction movement (DX) over the specified Period.
-------------------------------------------------------
DX
Calculation
DX = Round( 100 * |DIPlus - DIMinus| / |DIPlus + DIMinus| )
------------------------------------------------------
DI Minus
Calculation
-DI = Round( -DM / TR )* 100
where,
-DI = DIMinus
TR = True Range of current bar
The -DI is then smoothed over the Period specified, the same way as a simple moving average, and, -DM is calculated as follows:
(i) For up trending days, -DM = zero
(ii) For down trending days, -DM = yesterday's low - today's low
(iii) For inside days, -DM = zero
(iv) For outside days, if yesterday's low - today's low, is greater than today's high- yesterday's high, then -MD = yesterday's low - today's low, otherwise -DM = zero
(v) For upwards gap days, -DM = zero
(vi) For downwards gap days, -DM = yesterday's low - today's low
-----------------------------------------------
Di Plus
Calculation
+DI = Round( +DM / TR ) * 100
where,
DI+ = DIPlus
TR = True Range of current bar
The +DI is then smoothed over the period specified, the same way as a simple moving average, and +DM is calculated as follows:
(i) For up trending days, +DM = today's high - yesterday's high
(ii) For down trending days, +DM = zero
(iii) For inside days, +DM = zero
(iv) For outside days, if today's high - yesterday's high, is greater than yesterday's low- today's low, then +MD = today's high - yesterday's high, otherwise +DM = zero
(v) For upwards gap days, +DM = today's high - yesterday's high
(vi) For downwards gap days, +DM = zero
-------------------------------------------------
WilderMA
Calculation
WilderMA is calculated for periods "n" as follows:
Wilder MA = ( Previous Wilder MA * ( n - 1 ) + Price Series Value ) / n
where,
n = number of periods
Price Series Value = data you wish to average
--------------------------------------------------
True Range
Calculation
True Range is always a positive number and is defined by Welles Wilder to be the greatest of the following for each period:
The distance from today's high to today's low.
The distance from yesterday's close to today's high.
The distance from yesterday's close to today's low.
Geez, good luck
Don't reinvent hot water.
Second try.