MasaNakamura

ADX and DI

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study("ADX and DI")
len = input(title="Length", type=integer, defval=14)
th = input(title="threshold", type=integer, defval=20)

TrueRange = max(max(high-low, abs(high-nz(close[1]))), abs(low-nz(close[1])))
DirectionalMovementPlus = high-nz(high[1]) > nz(low[1])-low ? max(high-nz(high[1]), 0): 0
DirectionalMovementMinus = nz(low[1])-low > high-nz(high[1]) ? max(nz(low[1])-low, 0): 0


SmoothedTrueRange = nz(SmoothedTrueRange[1]) - (nz(SmoothedTrueRange[1])/len) + TrueRange
SmoothedDirectionalMovementPlus = nz(SmoothedDirectionalMovementPlus[1]) - (nz(SmoothedDirectionalMovementPlus[1])/len) + DirectionalMovementPlus
SmoothedDirectionalMovementMinus = nz(SmoothedDirectionalMovementMinus[1]) - (nz(SmoothedDirectionalMovementMinus[1])/len) + DirectionalMovementMinus

DIPlus = SmoothedDirectionalMovementPlus / SmoothedTrueRange * 100
DIMinus = SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100
DX = abs(DIPlus-DIMinus) / (DIPlus+DIMinus)*100
ADX = sma(DX, len)

plot(DIPlus, color=green, title="DI+")
plot(DIMinus, color=red, title="DI-")
plot(ADX, color=black, title="ADX")
hline(th, color=black, linestyle=dashed)
study("ADX Direction", shorttitle="Advance Decline")
input_len = input(10, title="Length")
input_sym1 = input(title="Symbol1", type=symbol, defval="NSE:HDFCBANK")
input_sym2 = input(title="Symbol2", type=symbol, defval="NSE:ICICIBANK")
input_sym3 = input(title="Symbol3", type=symbol, defval="NSE:KOTAKBANK")
input_sym4 = input(title="Symbol4", type=symbol, defval="NSE:AXISBANK")
input_sym5 = input(title="Symbol5", type=symbol, defval="NSE:SBIN")
input_sym6 = input(title="Symbol6", type=symbol, defval="NSE:INDUSINDBK")
input_sym7 = input(title="Symbol7", type=symbol, defval="NSE:FEDERALBNK")
input_sym8 = input(title="Symbol8", type=symbol, defval="NSE:YESBANK")
input_sym9 = input(title="Symbol9", type=symbol, defval="NSE:RBLBANK")
input_sym10 = input(title="Symbol10", type=symbol, defval="NSE:BANKBARODA")
no_bank = input(10,title="No of input ticks")

adxp(len) =>
upD = change(high)
downD2 = -change(low)
trurD2 = rma(tr, len)
plusD = fixnan(100 * rma(upD2 > downD2 and upD2 > 0 ? upD2 : 0, len) / trurD2)
adxn(len) =>
upD1 = change(high)
downD1 = -change(low)
trurD1 = rma(tr, len)
minusD = fixnan(100 * rma(downD1 > upD1 and downD1 > 0 ? downD : 0, len) / trurD1)
//===
P1 = (((security(input_sym1, period, adxp(input_len))) + (security(input_sym2, period, adxp(input_len))) + (security(input_sym3, period, adxp(input_len))) + (security(input_sym4, period, adxp(input_len))) + (security(input_sym5, period, adxp(input_len))) + (security(input_sym6, period, adxp(input_len))) + (security(input_sym7, period, adxp(input_len))) + (security(input_sym8, period, adxp(input_len))) + (security(input_sym9, period, adxp(input_len))) + (security(input_sym10, period, adxp(input_len))))/no_bank)
P2 = (((security(input_sym1, period, adxn(input_len))) + (security(input_sym2, period, adxn(input_len))) + (security(input_sym3, period, adxn(input_len))) + (security(input_sym4, period, adxn(input_len))) + (security(input_sym5, period, adxn(input_len))) + (security(input_sym6, period, adxn(input_len))) + (security(input_sym7, period, adxn(input_len))) + (security(input_sym8, period, adxn(input_len))) + (security(input_sym9, period, adxn(input_len))) + (security(input_sym10, period, adxn(input_len))))/no_bank)

p1 = plot(P1, color=green, linewidth = 2, transp = 0, title="DI+")
p2 = plot(P2, color=red, linewidth = 2, transp = 0, title="DI-")
+1 Reply
shreyasimijo shreyasimijo
sir i am facing a problem.can you please help me out!!
Reply
p=plus,m=minus
t=p>=25 and p>m?1:m>=25 and m>p?0:t
color=t?blue:red
+1 Reply
ADX is the best ,thanks for the script with right value of input parameters and right adjustment i am sure this will generate good profit.
Thanks for helping with code ,I have been searching the code for my project BOT and AutoIndicator work.It really helped a lot to get to a concesus.


+3 Reply
Can you do it system tester for adx and di ?
+3 Reply
03.freeman Kivilcimli
@Kivilcimli, I developed a strategy based on this study. You can find it here
The scope of this startegy is to indentify best settings and inputs for winning signals.
+4 Reply
Thank you for the programming code. However, it seems to be incorrect. I have yet to figure out why so because the programming code . Seems to be logical. As an example, for October, 10, 2018, on a weekly chart, IWM shows ADX level of 38 while the inbuilt directional movement indicator showed 32. Overall, both the Cubs follow the same shape. However, the few points of difference is made a big difference in my back testing and that is why I ended up investigating it more
+9 Reply
@rvsw,

Replace:
ADX = sma(DX, len)

With:
ADX = ((nz(ADX) * (len - 1)) + DX) / len
Reply
JFX_Xx JFX_Xx
ADX = ((nz(ADX) * (len - 1)) + DX) / len
+5 Reply
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