TTR (version 0.21-1)

ADX: Welles Wilder's Directional Movement Index

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.

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).

concept

DMI

Details

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

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")])