Implementing Technical Indicators: ADX

Programming Technical Indicators R ADX

Introduction

In this part of my series Implementing Technical Indicators I provide you with the R implementation of another technical indicator. Please refer to my article Technical Indicators: An Introduction for an overview of the concept of technical indicators and for details on the particular one presented in this article.

DISCLAIMER: None of the below is intended to be considered as any kind of investment advice. All examples serve as illustrative material only.

Implementation

For an implementation of the average directional movement index (ADX) please see the R code below. The function ADX calculates the indicator values, which may afterwards be plotted with help of the function plotADX. Note that both function use tools introduced in my article Implementing Technical Indicators: Tools.

#
# AVERAGE DIRECTIONAL MOVEMENT INDEX
#

source("Indicators/IndicatorHelperFunctions.R")
source("Indicators/IndicatorPlottingFunctions.R")

source("Indicators/ATR.R")

# indicator calculation
ADX = function(v_high, v_low, v_close, i_window=10)
{
checkVectors(v_high, v_low, v_close)
checkWindow(v_close, i_window)

i_length = length(v_close)

# directional movement
v_high_diff = c(0, (v_high[2:i_length] - v_high[1:(i_length-1)]))
v_low_diff  = c(0, (v_low[1:(i_length-1)] - v_low[2:i_length]))
v_mDM = rep(0, i_length)
v_pDM = rep(0, i_length)
v_mDM[(v_low_diff > v_high_diff)] = pmax(0, v_low_diff[(v_low_diff > v_high_diff)])
v_pDM[(v_high_diff > v_low_diff)] = pmax(0, v_high_diff[(v_high_diff > v_low_diff)])

# directional index
v_mADM = movingAverage(v_mDM, i_window)
v_pADM = movingAverage(v_pDM, i_window)
v_atr = ATR(v_high, v_low, v_close, i_window)\$ATR
v_mDI = 100 * v_mADM / v_atr
v_pDI = 100 * v_pADM / v_atr

v_dx = abs((v_pDI - v_mDI) / (v_pDI + v_mDI))
v_dx[is.na(v_dx)] = 0
v_adx = 100 * movingAverage(v_dx, i_window)