Download MetaTrader 5

Watch how to download trading robots for free

Interesting script?
So post a link to it -
let others appraise it

You liked the script? Try it in the MetaTrader 5 terminal

Indicators

Smoothed ADX by John Ehlers - indicator for MetaTrader 4

| English Deutsch Русский 中文 Español 日本語 Português

Views:
19894
Rating:
votes: 10
Published:
2008.02.10 14:45
Updated:
2014.04.21 14:52

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 ), alpha1(0.25), alpha2(0.33);
 
variables: {declaring variables}
     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}
DIPlusLead = 2*DMIPlus + (alpha1 - 2) * DMIPlus[1] + (1 - alpha1) * DIPlusLead[1];
DIPlusFinal = alpha2*DIPlusLead + (1 - alpha2) * DIPlusFinal[1];
 
DIMinusLead = 2*DMIMinus + (alpha1 - 2) * DMIMinus[1] + (1 - alpha1) * DIMinusLead[1];
DIMinusFinal = alpha2*DIMinusLead + (1 - alpha2) * DIMinusFinal[1];
 
ADXLead = 2*ADX + (alpha1 - 2) * ADX[1] + (1 - alpha1) * ADXLead[1];
ADXFinal = alpha2*ADXLead + (1 - alpha2) * ADXFinal[1];
 
{Plotting them on chart}
Plot1( DIPlusFinal, "DMI+" ) ;
Plot2( DIMinusFinal, "DMI-" ) ;
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.
In Smoothed ADX, this smoothing algorithm is applied to all three buffers of standard indicator ADX. This is why the obtained indicator is called Smoothed ADX. If we were smoothing indicator RSI, we would call it Smoothed RSI, etc. The figure below shows that Smoothed ADX, indeed, is not so 'twitchy' as the original, standard ADX (Average Directional Movement Index).


Translated from Russian by MetaQuotes Software Corp.
Original code: https://www.mql5.com/ru/code/7072

DT_ZZ_optimized DT_ZZ_optimized

Optimized variant of the indicator DT_ZZ by klot.

Hour Hour

Hour indicator.

Spearman's Rank Correlation Spearman's Rank Correlation

Spearman's Rank Correlation is a non-parametric method used in order to make statistical studies of relations between phenomena. In this case, the factual degree of parallelism between two numeric sequences will be detected.

Center of Gravity by J. F. Ehlers Center of Gravity by J. F. Ehlers

Center of Gravity is an oscillator developed by John F. Ehlers and presented in his article in Stocks & Commodities magazine (May 2002).