TDI {TTR} | R Documentation |
The Trend Detection Index (TDI) attempts to identify starting and ending trends. Developed by M. H. Pee.
TDI(price, n=20)
price |
Price series to use. |
n |
Number of periods to use. |
The TDI is the (1) absolute value of the n
-day sum of the n
-day momentum,
minus the quantity of (2) 2*n
-day sum of the absolute value of the n
-day
momentum, minus (3) n
-day sum of the absolute value of the n
-day momentum.
I.e. TDI = (1) - [ (2) - (3) ]
The direction indicator is the sum of the n
-day momentum over the last n
days.
See URL in references section for further details.
A matrix containing the columns:
tdi |
The Trend Detection Index. |
di |
The Direction Indicator. |
Positive/negative TDI values signal a trend/consolidation. A positive/negative direction indicator signals a up/down trend. I.e. buy if the TDI and the direction indicator are positive, and sell if the TDI is positive while the direction indicator is negative.
Josh Ulrich
The following site(s) were used to code/document this indicator:
http://www.linnsoft.com/tour/techind/tdi.htm
See aroon
, CCI
, ADX
, VHF
for other indicators that measure trend direction/strength.
data(ttrc) tdi <- TDI(ttrc[,"Close"], n=30)