ADX: Welles Wilder's Directional Movement Index

In TTR: Technical Trading Rules

Description

Directional Movement Index; developed by J. Welles Wilder.

Usage

  ADX(HLC, n = 14, maType, ...)

Arguments

HLC	Object that is coercible to xts or matrix and 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.
...	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 object of the same class as HLC or a matrix (if try.xts fails) 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)

Joshua 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, GMMA for other indicators that measure trend direction/strength.

Examples

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

Example output

TTR documentation built on April 15, 2017, 8:31 a.m.