ADX {TTR}R Documentation

Welles Wilder's Directional Movement Index

Description

Directional Movement Index; developed by J. Welles Wilder.

Usage

  ADX(HLC, n=14, maType="EMA", wilder=TRUE, ...)

Arguments

HLC Object able to be coerced to a matrix, which contains High-Low-Close prices.
n Number of periods to use for DX calculation (not ADX calculation).
maType A function or a string naming the function to be called.
wilder Only used for the default case. If TRUE, a Welles Wilder type EMA will be calculated.
... Other arguments to be passed to the maType function.

Details

The DIp/DIn (positive/negative) is the percentage of the true range that is up/down.

Value

A matrix containing the columns:

DIp The positive Direction Index.
DIn The negative Direction Index.
DX The Direction Index.
ADX The Average Direction Index (trend strength).

Note

A buy/sell signal is generated when the +/-DI crosses up over the -/+DI, when the DX/ADX signals a strong trend. A high/low DX signals a strong/weak trend. DX is usually smoothed with a moving average (i.e. the ADX).

Author(s)

Josh Ulrich

References

The following site(s) were used to code/document this indicator:
http://www.fmlabs.com/reference/DI.htm
http://www.fmlabs.com/reference/DX.htm
http://www.fmlabs.com/reference/ADX.htm
http://www.fmlabs.com/reference/ADXR.htm
http://www.equis.com/Customer/Resources/TAAZ/Default.aspx?c=3&p=49
http://linnsoft.com/tour/techind/dirInd.htm
http://linnsoft.com/tour/techind/adx.htm
http://linnsoft.com/tour/techind/adxr.htm
http://stockcharts.com/education/IndicatorAnalysis/indic_ADX.html

See Also

See EMA, SMA, etc. for moving average options; and note Warning section. The DX calculation uses ATR. See aroon, CCI, TDI, VHF for other indicators that measure trend direction/strength.

Examples

  data(ttrc)
  dmi.adx <- ADX(ttrc[,c("High","Low","Close")])

[Package TTR version 0.14-0 Index]