|
PureBytes Links
Trading Reference Links
|
Here is an explanation of all of Wilder[s directional movement:
The directional movement indicators are taken directly from pages 35-48
of the book, New Concepts in Technical Trading Systems.
The directional movement indicators (+DI and -DI) in MetaStock are
Wilders' formulas. They are calculated by the following:
If (today's high > yesterday's high) AND (today's low > yesterday's
low), positive directional movement is present. + DI for today is the
amount by which today's high exceeds yesterday's high. -DM is zero.
On an outside day, where (today's high > yesterday's high) AND (today's
low < yesterday's low) you must choose the greater difference and assign
that amount to +DM or -DM and make the other zero. You should work in
absolute values.
On an inside day, where (today's high < yesterday's high) AND )today's
low > yesterday's low) assign zero to both +DM and -DM.
Downward movement is analyzed in the same way by switching the logic.
To calculate the true range we must define it: True range is the
largest of:
1) The distance between today's high and today's low.
2) The distance between today's high and yesterday's close.
3) The distance between today's low and yesterday's close.
Thus, the calculations are:
+DM(today) -DM(today)
+DI = ------------ ------------
TR(today) TR(today)
+DI is expressing the percent of the true range that is up for the day,
while -DI is expressing the percent of true range that is down for the
day.
You accumulate each day's data and track the +DI and the -DI. You
choose a period for the DMI. Wilder uses 14 so so will I. Take the sum
of the TR's, +DM's and -DM's for the past 14 days. Calculate +DI(14)
and -DI(14) with the same formula as above, substituting +DM(14) and
-DM(14) for DM and DI. Use TR(14) for TR. Using an accumulation
technique, you would calculate subsequent DM(today) and DI(today) by the
following:
Today's +DM(14) = Previous DM(14) - (Previous DM(14)) +
DM(today). Do the same with the -DM(14).
Use the same procedure for the True Range:
Today's TR(14) = Previous TR(14) - Previous TR(14) +TR(today)
--------------
14
So +DI expresses the percent of the total true range of the last 14 days
that was up. While, -DI expresses the 14 day TTR that was down. Both
are positive numbers. When you calculate +DI and -DI, drop the decimal
point or multiply by 100.
For example, if +DI(14) = 43 and -DI(14) = 22, 65% of the true range was
directional and 35% of the true range was non-directional.
+DI(14) - -DI(14)
DX= ------------------
+DI(14) + -DI(14)
ADX is a 14 day average of DX. To calculate the first ADX value, add
the previous 14 DX values and divide by 14. Subsequent values are
calculated as follows:
(The previous ADX * 13) + DX (today)
ADX = --------------------------------------
14
Equis Support
> -----Original Message-----
> From: Steven Brunnert [SMTP:sbrunnert@xxxxxxxxxxx]
> Sent: Thursday, August 14, 1997 8:07 AM
> To: metastock-list@xxxxxxxxxxxxx
> Subject: Wilder's ADX
>
> To All:
>
> Anyone know the formula for calculating Wilder's ADX. Metastock has it
> as
> an indicator, but I can't find the formula and I would like to build
> an
> exploration using ADX.
>
>
> Steven Brunnert
> sbrunnert@xxxxxxxxxxx
|