Directional Trend Index Blau_DTI - indicator for MetaTrader 5

Author: Andrey N. Bolkonsky

The Directional Trend Index (DTI) indicator (based on the Composite High/Low Momentum) is described by William Blau in the book "Momentum, Direction, and Divergence: Applying the Latest Momentum Indicators for Technical Analysis".

• WilliamBlau.mqh must be placed in terminal_data_folder\MQL5\Include\
• Blau_DTI.mq5 must be placed in terminal_data_folder\MQL5\Indicators\

Directional Trend Index (DTI)Indicator by William Blau

Calculation:

The Directional Trend Index is calculated by formula:

where:

• q - number of bars, used in calculation of Up Trend Momentum and Down Trend Momentum;
• HLM(q)=HMU(q)-LMD(q) - the Composite High/Low Momentum;
• |HLM(q)| - the absolute value of HLM(q);
• HLM(q,r,s,u) - triple smoothed HLM(q);
• EMA(...,r) - 1st smoothing - EMA(r), applied to
  
  1. HLM(q)
  2. to the absolute values of HLM(q);
• EMA(EMA(...,r),s) - 2nd smoothed - EMA(s), applied to result of the 1st smoothing;
• EMA(EMA(EMA(...,r),s),u) - 3rd smoothing - EMA(u), applied to result of the 2nd smoothing.

• q - number of bars, used in calculation of HLM (by default q=2);
• r - period of the 1st EMA, applied to HLM (by default r=20);
• s - period of the 2nd EMA, applied to result of the 1st smoothing (by default s=5);
• u - period of the 3rd EMA, applied to result of the 2nd smoothing (by default u=3).

• q>0;
• r>0, s>0, u>0. If r, s or u are equal to 1, the smoothing is not used;
• Min. rates = (q-1+r+s+u-3+1).