DirectionalMovementIndicator.WilderAverageDirectionalMotion Method

Evaluates the Average Directional Movement Index Rating (ADXR), which is a component of the Directional Movement System developed by Welles Wilder.

public double WilderAverageDirectionalMotion(
   double todaysHigh,
   double todaysLow,
   double yesterdaysHigh,
   double yesterdaysLow,
   double yesterdaysClose,
   double nDaysHigh,
   double nDaysLow,
   double yesterdaysNDaysHigh,
   double yesterdaysNDaysLow,
   double yesterdaysNDaysClose
);

Parameters

todaysHigh: The highest traded value which the asset under consideration takes during todays market action.
todaysLow: The lowest traded value which the asset under consideration takes during todays market action.
yesterdaysHigh: The highest traded value which the asset under consideration takes during yesterdays market action.
yesterdaysLow: The lowest traded value which the asset under consideration takes during yesterdays market action.
yesterdaysClose: The closing price of the asset the preceding day.
nDaysHigh: The highest traded value which the asset under consideration takes during the trading period n-days previously.
nDaysLow: The lowest traded value which the asset under consideration takes during the trading period n-days previously.
yesterdaysNDaysHigh: The highest traded value which the asset under consideration takes during the trading period (n+1)-days previously.
yesterdaysNDaysLow: The lowest traded value which the asset under consideration takes during the trading period (n+1)-days previously.
yesterdaysNDaysClose: The closing price of the asset on the trading period (n+1) days ago.

Return Value

The double value of the Average Directional Movement Index Rating (ADXR) corresponding to the last two trading periods and the n-th, (n+1)-th previous trading periods.

Remarks

The ADXR should be considered as a special type of moving average (WilderMA) or or equivalently as a filter which can be applied to the Directional Indicator.

Originally Welles Wilder used the ADXR indicator to determine whether a trend was sufficiently strong enough in order to apply a trend following system. The rule was to only apply a trend following system when the ADXR was between 20 and 25. The ADXR can also be used within a system which uses the Directional Movement Indicator (for example Welles, Directional Movement System) which will result in trading signals being more infrequently generated.

Evaluation

The ADXR indicator is given by the following formula:

ADXR = ( directionalMotion(today) + directionalMotion(n-days ago) ) / 2

where directionalMotion(today) in the value of the Directional Motion Index (above) today and directionalMotion(n-days ago) is the Directional Motion Index of the asset consideration n-days ago.

Exceptions