2008.02.10 14:45

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Indicator Smoothed ADX was written on demand of a forum visitor and was not too difficult. However, the search for a description of the smoothed ADX algorithm resulted in nothing. This is why I give below only the code that has been provided:

Inputs: {declaring inputs}

Length( 14 ),

ADXTrend( 25 ),

variables: {declaring variables}

DMIPlus( 0 ), DMIMinus( 0 ), DMI( 0 ), ADX( 0 ),

DIPlusLead(0), DIMinusLead(0), DIPlusFinal(0), DIMinusFinal(0),

ADXLead(0), ADXFinal(0);

DMIPlus( 0 ), DMIMinus( 0 ), DMI( 0 ), ADX( 0 ),

DIPlusLead(0), DIMinusLead(0), DIPlusFinal(0), DIMinusFinal(0),

ADXLead(0), ADXFinal(0);

{now calling the built-in ADX functions, so we don't need to calculate them}

Value1 = DirMovement( H, L, C, Length, DMIPlus, DMIMinus, ADX);

{this part is the actual smoothing of the original ADX indicator, DI+, DI- and ADX lines are smoothed}

DIPlusFinal = alpha2*DIPlusLead + (1 - alpha2) * DIPlusFinal[1];

DIMinusFinal = alpha2*DIMinusLead + (1 - alpha2) * DIMinusFinal[1];

ADXFinal = alpha2*ADXLead + (1 - alpha2) * ADXFinal[1];

{Plotting them on chart}

Plot1( DIPlusFinal, "DMI+" ) ;

Plot2( DIMinusFinal, "DMI-" ) ;

Plot3( ADXFinal, "ADX" ) ;

Plot3( ADXFinal, "ADX" ) ;

Indeed, if you don't try to get into the deep sense underlying the initial text of the smoothed ADX, this smoothing can be divided into two stages. Suppose we have a numerical sequence P and we have to smooth it with a minimum lag. For this, we build at the first stage function V(P) of P-sequence oscillation from the following formula:

V0 = (8*P0 - 7*P1 + 3*V1) / 4,

where:

- P0 is the current value of the sequence (a price or an indicator);
- P1 is the preceding value of the sequence;
- V1 is the preceding value of oscillation;
- V0 is the current value of oscillation.

Or, in a different way:

V0 = (Vol(P) + 3*V1) / 4,

where:

Vol(P) = 8*P0 - 7P1 - Ehlers' burst (the term is invented by myself).

At the second stage, we apply the simple weighted smoothing:

W0 = (1*V0 + 2*W1) / (2 + 1).

where:

- W0 is the current smoothed value of sequence P;
- V0 is the current value of P-sequence oscillation;
- W1 is the preceding smoothed value.

Translated from Russian by MetaQuotes Software Corp.

Original code: https://www.mql5.com/ru/code/7072

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