Average Directional Index (ADX)

For a list of all members of this type, see ADX Members.

System.Object
   RQuant.Indicator.TTimeArray
      RQuant.Indicator.TDoubleArray
         RQuant.Indicator.TIndicator
            RQuant.Indicator.ADX

Thread Safety

Public static (Shared in Visual Basic) members of this type are safe for multithreaded operations. Instance members are not guaranteed to be thread-safe.

Remarks

The Average Directional Index was specifically designed for use with the Directional Movement System. The ADX measures the strength of a prevailing trend as well as whether movement exists in the market. A low ADX value (generally less than 20) can indicate a non-trending market with low volatility whereas a cross above 20 may signal the start of a trend (either up or down). If the ADX is over 40 and begins to fall, it can signal a slowdown of a current trend. This indicator can also be used to identify non-trending markets, or a deterioration of an ongoing trend. Although market direction is important in its calculation, the ADX is not a directional indicator.

Note, that there are two styles of indicator ADX. Some trading systems use the formula (which is a little bit distinguished from classical) for calculation of this indicator. Therefore Quant Studio gives an opportunity to use two styles ADX - classical (QuantStudio style) and little bit changed (MetaStock style.)

ADX has QuantStudio style by Default.

Formula for Quant Studio (classical) style:

TDataManager.cd("demo");

TInstrument Instrument = TDataManager.GetInstrument("YHOO");

DateTime Date1 = DateTime.Parse("2000/01/04"); 
DateTime Date2 = DateTime.Parse("2000/12/29"); 

TDailyArray Array = Instrument.DailyArray.Clone(Date1, Date2);

TCanvas Canvas = new TCanvas("Canvas", 600, 800);

Canvas.Divide(1, 4);

Canvas.cd(1);

Array.Draw("C");
Array.SMA(14).Draw("S", Color.Red);

Canvas.Pad.LegendEnabled = true;
Canvas.Pad.SetRangeX(Date1, Date2);

Canvas.cd(2);

Array.DX (14).Draw(Color.Violet);
Array.PDI(14).Draw(Color.Red);
Array.MDI(14).Draw(Color.Blue);

Canvas.Pad.Title.Text = "+/- DI, DX";
Canvas.Pad.LegendEnabled = true;
Canvas.Pad.SetRange(Date1, Date2, 0, 100);

Canvas.cd(3);

Array.ADX (14).Draw(Color.Red);
Array.ADXR(14).Draw(Color.Blue);

Canvas.Pad.Title.Text = "ADX, ADXR";
Canvas.Pad.LegendEnabled = true;
Canvas.Pad.SetRangeX(Date1, Date2);

Canvas.cd(4);

Array.PDM().Draw(Color.Purple);
Array.MDM().Draw(Color.Green);

Canvas.Pad.Title.Text = "+/- DM";
Canvas.Pad.LegendEnabled = true;
Canvas.Pad.SetRangeX(Date1, Date2);

Formula for MetaStock style:

TDataManager.cd("demo");

TInstrument Instrument = TDataManager.GetInstrument("YHOO");

DateTime Date1 = DateTime.Parse("2000/01/04"); 
DateTime Date2 = DateTime.Parse("2000/12/29"); 

TDailyArray Array = Instrument.DailyArray.Clone(Date1, Date2);

EIndicatorStyle Style = EIndicatorStyle.MetaStock;

TCanvas Canvas = new TCanvas("Canvas", 600, 800);

Canvas.Divide(1, 4);

Canvas.cd(1);

Array.Draw("C");
Array.SMA(14).Draw("S", Color.Red);

Canvas.Pad.LegendEnabled = true;
Canvas.Pad.SetRangeX(Date1, Date2);

Canvas.cd(2);

Array.DX (14, Style).Draw(Color.Violet);
Array.PDI(14, Style).Draw(Color.Red);
Array.MDI(14, Style).Draw(Color.Blue);

Canvas.Pad.Title.Text = "+/- DI, DX";
Canvas.Pad.LegendEnabled = true;
Canvas.Pad.SetRange(Date1, Date2, 0, 100);

Canvas.cd(3);

Array.ADX (14, Style).Draw(Color.Red);
Array.ADXR(14, Style).Draw(Color.Blue);

Canvas.Pad.Title.Text = "ADX, ADXR";
Canvas.Pad.LegendEnabled = true;
Canvas.Pad.SetRangeX(Date1, Date2);

Canvas.cd(4);

Array.PDM().Draw(Color.Purple);
Array.MDM().Draw(Color.Green);

Canvas.Pad.Title.Text = "+/- DM";
Canvas.Pad.LegendEnabled = true;
Canvas.Pad.SetRangeX(Date1, Date2);

Requirements

Namespace: RQuant.Indicator

Assembly: RQuant.Indicator (in RQuant.Indicator.dll)

See Also

ADX Members | RQuant.Indicator Namespace

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