趋向指标DMI_计算与详细讲解

发布时间：2020-07-13

.. .. DMI技术指标的计算方法

DMI(Directional Movement Index指标，中文名称为趋向指标，由技术分析大师威尔斯•威尔德(J•Wells•Wilder•Jr．发明，被认为是最有成就、最实用的一套技术分析工具。本指标最大的特点是它能准确地告诉我们行情是否启动。在技术分析领域中，很多技术指标必须搭配DMI指标来研判某只股票的涨跌。本指标的基本原理为，寻求股票价格涨跌、买卖双方力量的均衡点(Iquilibrium Point，及价格在双方互动下波动循环的过程。 DMI指标是由四条线来组成一幅美丽的图表。这四条线分别为+DI（上升动向线）、-DI（下降动向线）、ADX(方向线、ADXR(评估线。 DMI公式原理：
计算DMI第一项工作，便是确认其基本的动向变动值(DM是上涨还是下跌。+DM与-DM来表示涨与跌动向变动值。
动向变动值为当日价格波动幅度大于前一日价格的部分最大值。也就是说，动向变动值已能表示出价格波动的涨跌幅度。
1．零动向(Zero Directional Movement 经过计算+DM与-DM的值均为零。发生这种现象的情况有两种： a．移日(Inside Day 当日最高价小于或等于前一交易日最高价，当日最低价大于或等于前一交易日的最低价，即为移日，这时+DM与-DM值为零。 b．买卖双方均衡日
当日最高价大于前一交易日最高价，其差的绝对值正好等于当日最低价与前一交易日最低价差额绝对值，这时买卖双方处于均衡之势，+DM与-DM值为零。 2．上升动向+DM 如果当日最高价比前一交易日最高价更高，且当日最低价大于前一交易日最低价，则出现上升现象，动向值等于当日最高价与前一交易日最高价的差颁绝对值。 3．下跌动向-DM 如果当日最低价比前一交易日最低价更低，且当日最高价小于前一交易日最高价，则出现下降动向 值，此值等于当日最低价与前一交易日最低价的差额绝对值。
4．如果当日最高价大于或等于前一交易日最高价，而且当日最低价小于前一交易日最低价，若前者差额绝对值大于后者差额绝对值时，取前者差额绝对值+DM；若前者差额绝对值小于后者差额绝对值时，取后者差额绝对值为-DM。 第一项工作完成后，我们还要找出真正的波幅(True Ram，这是我们要完成的第二项工作。
真正波幅(TR，是当日价格与前一交易日收盘价格比较之后的最大变动值。 计算方式：
(1当日收盘价-当日最低价
(2当日最高价-前一交易日收盘价 (3当日最低价-前一交易日收盘价
1、2、3种计算结果，三者差额绝对值最大者，即为当日的真正波幅(TR值。 第一项工作完成了动向变动值(DM，第二项工作完成了真正波幅(TR，第三项工作要完成的是动向指数线(Directional Indicator。
动向线(DI为检测价格上涨或下跌的指标，上升动向线以+DI来表示，下跌动向线用. . . .

.. .. -DI来表示。
上升或下跌动向线的计算方法如下： +DI＝+DM／TR -DI＝-DM／TR 要使动向线具有参考价值，必须进行一定时期的累计运算，威尔德认为最适当的周期是14天，笔者则认为在中国大陆股市中其最具有使用价值的周期为 7天。 计算方法如下：
分别将7天的+DM、-DM及TR平均，所得到的数值分别为+DM7、-DM7及TR7。因此7天的上升或下跌动向指数线的计算方法如下： +D17＝+DM7／TR7 -D17＝-DM7／TR7 需要说明的是负的动向变动值并不是负数，负号仅代表下跌方向，计算出正负动向指标(DI的数值后，由于其数值永远介于0与100之间，因此为了方便图表的绘制，7天上升动向线(+DI7表示最近7天以来实际上涨力量的百分比，而7天下跌动向线 (-D17表示最近7天以来下跌力量的百分比。 如果股票价格持续下跌，那么负动向变动值不断出现，将使下跌动向线的数值不断出现，下跌动向线的数值不断升高。若价格持续上涨，则上述情况的相反导向即将出现于图形上。当股价在盘整时，上升与下跌动向线差异则非常小。
当上述情况出现时，就要借助动向平均线(ADX来研判。 动向值(DX计算方式为： DX＝DI差-DI和 DI差＝+DI-(-DI DI和＝+DI+(-D1 七天周期动向值的计算公式为： DX7＝DI7差-DI7和 D17差＝+DI7-(-DI7 D17和＝+DI7+(-DI7

由于动向值的变动性大，因此以7作为平滑计算，即可算出ADX ADX＝(昨日动向平均值+今日动向值／7 ADX值算出后，方向就明显了，最后，我们将要计算ADXR评比线的值： ADXR＝(今日动向平均值ADX+7日前动向平均值ADX／2
DMI技术指标的计算方法


DMI指标的计算方法和过程比较复杂，它涉及到DM、TR、DX等几个计算指标和+DI（即PDI，下同）、－DI（即MDI，下同）、aDX和aDXR等4个研判指标的运算。 ■计算的基本程序■
以计算日DMI指标为例，其运算的基本程序主要为：
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.. .. 1、按一定的天数将DX累加后平均，求得n日的平均动向值aDX。
2、再通过当日的aDX与前面某一日的aDX相比较，计算出aDX的评估数值aDXR。 3、通过n的上升指标+DI和下降指标－DI之间的差和之比，计算出每日的动向值DX。 4、将n的上升动向值和下降动向值分别除以n日的真实波幅值，从而求出n日的上升指标+DI和下降指标－DI。
5、按一定的规则比较每日股价波动产生的最高价、最低价和收盘价，计算出每日股价的波动的真实波幅TR、+DI、－DI，在运算基准日基础上按一定的天数将其累加，以求n日的TR、+DM和DM值。 ■计算的具体过程■ 【一】计算当日动向值
动向指数的当日动向值分为上升动向、下降动向和无动向等三种情况，每日的当日动向值只能是三种情况的一种。 a、上升动向（+DM）
+DM代表正趋向变动值即上升动向值，其数值等于当日的最高价减去前一日的最低价。上升动向值必须大于当日最低价减去前一日最低价的绝对值，否则+DM=0。 b、下降动向（－DM）
－DM代表负趋向变动值即下降动向值，其数值等于当日的最低价减去前一日的最低价。下降动向值必须大于当日的最高价减去前一日最低价的绝对值，否则－DM=0。 c、无动向
无动向代表当日动向值为“零”的情况，即当日的+DM和－DM同时等于零。有两种股价波动情况下可能出现无动向。一是当当日的最高价低于前一日的最高价并且当日的最低价高于前一日的最低价，二是当上升动向值正好等于下降动向值。 【二】计算真实波幅（TR）
TR代表真实波幅，是当日价格较前一日价格的最大变动值。取以下三项差额的数值中的最大值（取绝对值）为当日的真实波幅：a、当日的最高价减去当日的最低价的价差。b、当日的最高价减去前一日的收盘价的价差。c、当日的最低价减去前一日的收盘价的价差。TR是a、b、c中的数值最大者 【四】计算方向线DI . . . .


.. .. 方向线DI是衡量股价上涨或下跌的指标，分为“上升指标”和“下降指标”。在有的股市分析软件上，+DI代表上升方向线，－DI代表下降方向线。其计算方法如下：+DI=（DM÷TR）×100－DI=（－DM÷TR）×100；要使方向线具有参考价值，则必须运用平滑移动平均的原理对其进行累积运算。以12日作为计算周期为例，先将12日的+DM、－DM及TR平均化，所得数值分别为+DM12，－DM12和TR12，具体如下：+DI（12）=（+DM12÷TR12）×100－DI（12）=（－DM12÷TR12）×100；随后计算第13天的+DI12、－DI12或TR12时，只要利用平滑移动平均公式运算即可。例如：当日的TR12=11/12÷前一日TR12＋当日TR上升或下跌方向线的数值永远介于0与100之间。 【五】计算动向平均数aDX 依据DI值可以计算出DX指标值。其计算方法是将+DI和—DI间的差的绝对值除以总和的百分比得到动向指数DX。由于DX的波动幅度比较大，一般以一定的周期的平滑计算，得到平均动向指标aDX。具体过程如下：DX=（DI DIf÷DI suM） ×100。其中，DI DIf为上升指标和下降指标的价差的绝对值。DI suM为上升指标和下降指标的总和；aDX就是DX的一定周期n的移动平均值。 【六】计算评估数值aDXR 在DMI指标中还可以添加aDXR指标，以便更有利于行情的研判。aDXR的计算公式为：aDXR=（当日的aDX＋前一日的aDX）÷2。和其他指标的计算一样，由于选用的计算周期的不同，DMI指标也包括日DMI指标、周DMI指标、月DMI指标年DMI指标以及分钟DMI指标等各种类型。经常被用于股市研判的是日DMI指标和周DMI指标。虽然它们的计算时的取值有所不同，但基本的计算方法一样。另外，随着股市软件分析技术的发展，投资者只需掌握DMI形成的基本原理和计算方法，无须去计算指标的数值，更为重要的是利用DMI指标去分析、研判股票行情。

dmi指标原理和计算方法
一、dmi指标的原理
dmi指标是通过分析股票价格在涨跌过程中买卖双方力量均衡点的变化情况，即多空双方的力量的变化受价格波动的影响而发生由均衡到失衡的循环过程，从而提供对趋势判断依据的一种技术指标。
dmi指标的基本原理是在于寻找股票价格涨跌过程中，股价藉以创新高价或新低价的功能，研判多空力量，进而寻求买卖双方的均衡点及股价在双方互动下波动的循环过程。在大多数指标中，绝大部分都是以每一日的收盘价的走势及涨跌幅的累计数来计算出不同的分析数据，其不足之处在于忽略了每一日的高低之间的波动幅度。比如某个股票的两日收盘价可能是一样的，但其中一天上下波动的幅度不大，而另一天股价的震幅却在10%以上，那么这. . . .


.. .. 两日的行情走势的分析意义决然不同，这点在其他大多数指标中很难表现出来。而dmi指标则是把每日的高低波动的幅度因素计算在，从而更加准确的反应行情的走势及更好的预测行情未来的发展变化。
二、dmi指标的计算方法
dmi指标的计算方法和过程比较复杂，它涉及到dm、tr、dx等几个计算指标和+di（即pdi，下同）、－di（即mdi，下同）、adx和adxr等4个研判指标的运算。
1、计算的基本程序
以计算日dmi指标为例，其运算的基本程序主要为：
（1）按一定的规则比较每日股价波动产生的最高价、最低价和收盘价，计算出每日股价的波动的真实波幅tr、+di、－di，在运算基准日基础上按一定的天数将其累加，以求n日的tr、+dm和dm值。
（2）将n的上升动向值和下降动向值分别除以n日的真实波幅值，从而求出n日的上升指标+di和下降指标－di。
（3）通过n的上升指标+di和下降指标－di之间的差和之比，计算出每日的动向值dx。 （4）按一定的天数将dx累加后平均，求得n日的平均动向值adx。
（5）再通过当日的adx与前面某一日的adx相比较，计算出adx的评估数值adxr。 2、计算的具体过程 （1）计算当日动向值
动向指数的当日动向值分为上升动向、下降动向和无动向等三种情况，每日的当日动向值只能是三种情况的一种。
a、上升动向（+dm）
+dm代表正趋向变动值即上升动向值，其数值等于当日的最高价减去前一日的最低价。上升动向值必须大于当日最低价减去前一日最低价的绝对值，否则+dm=0。
b、下降动向（－dm）
. . . .


.. .. －dm代表负趋向变动值即下降动向值，其数值等于当日的最低价减去前一日的最低价。下降动向值必须大于当日的最高价减去前一日最低价的绝对值，否则－dm=0。
c、无动向
无动向代表当日动向值为“零”的情况，即当日的+dm和－dm同时等于零。有两种股价波动情况下可能出现无动向。一是当当日的最高价低于前一日的最高价并且当日的最低价高于前一日的最低价，二是当上升动向值正好等于下降动向值。
（2）计算真实波幅（tr）
tr代表真实波幅，是当日价格较前一日价格的最大变动值。取以下三项差额的数值中的最大值（取绝对值）为当日的真实波幅：
a、当日的最高价减去当日的最低价的价差。 b、当日的最高价减去前一日的收盘价的价差。 c、当日的最低价减去前一日的收盘价的价差。 tr是a、b、c中的数值最大者 （3）计算方向线di 方向线di是衡量股价上涨或下跌的指标，分为“上升指标”和“下降指标”。在有的股市分析软件上，+di代表上升方向线，－di代表下降方向线。其计算方法如下：
+di=（dm÷tr）×100 －di=（－dm÷tr）×100 要使方向线具有参考价值，则必须运用平滑移动平均的原理对其进行累积运算。以12日作为计算周期为例，先将12日的+dm、－dm及tr平均化，所得数值分别为+dm12，－dm12和tr12，具体如下：
+di（12）=（+dm12÷tr12）×100 －di（12）=（－dm12÷tr12）×100 随后计算第13天的+di12、－di12或tr12时，只要利用平滑移动平均公式运算即可。
. . . .


.. .. 例如：
当日的tr12=11/12÷前一日tr12＋当日tr 上升或下跌方向线的数值永远介于0与100之间。 （4）计算动向平均数adx 依据di值可以计算出dx指标值。其计算方法是将+di和―di间的差的绝对值除以总和的百分比得到动向指数dx。由于dx的波动幅度比较大，一般以一定的周期的平滑计算，得到平均动向指标adx。具体过程如下：
dx=(didif÷disum×100 其中，didif为上升指标和下降指标的价差的绝对值 disum为上升指标和下降指标的总和 adx就是dx的一定周期n的移动平均值。 （5）计算评估数值adxr 在dmi指标中还可以添加adxr指标，以便更有利于行情的研判。 adxr的计算公式为：
adxr=（当日的adx＋前一日的adx）÷2 和其他指标的计算一样，由于选用的计算周期的不同，dmi指标也包括日dmi指标、周dmi指标、月dmi指标年dmi指标以及分钟dmi指标等各种类型。经常被用于股市研判的是日dmi指标和周dmi指标。虽然它们的计算时的取值有所不同，但基本的计算方法一样。另外，随着股市软件分析技术的发展，投资者只需掌握dmi形成的基本原理和计算方法，无须去计算指标的数值，更为重要的是利用dmi指标去分析、研判股票行情。


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Directional Movement Index (DMI
Description The Directional Movement Index (also known as DMI is a momentum indicator that was developed by J. Welles Wilder. It is calculated using the price, compares the current price with the previous price range, and displays the result as an upward movement line (+DI, and a downward movement line (-DI, between 0 and 100. The DMI also calculates the strength of the upward or downward movement, and displays the result as a trend strength line (ADX. The DMI is displayed on its own chart, separate from the price bars, and is the lower section in the chart shown above. Calculation •
Description: The DMI is the ratio of exponential moving averages of the greater of the upward (U and downward (D price movements, and the true range (TR.
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Calculation: U = Hn - Hn-1
D = Ln-1 - Ln
TR = (Hn - Ln | (Hn - Cn-1 | (Cn-1 - Ln EMAUP = EMAUn-1 + ((2 / (n + 1 * (Un - EMAUn-1 EMADOWN = EMADn-1 + ((2 / (n + 1 * (Dn - EMADn-1 EMATR = EMATRn-1 + ((2 / (n + 1 * (TRn - EMATRn-1 +DI = EMAUP / EMATR -DI = EMADOWN / EMATR

DX = ABS(+DI - -DI / (+DI + -DI ADX = EMADXn-1 + ((2 / (n + 1 * (DXn - EMADXn-1
Trading Use The Directional Movement Index can be used in both ranging and trending markets. In general, when the +DI line is above the -DI line, the market is moving upwards, and when the -DI line is above the +DI line, the market is moving downwards. The ADX line shows the strength of the move, and the market is considered to be trending when the ADX line is above 30, and ranging when the ADX line is below 30. There are several trading systems that use the DMI, so there are several alternative uses of both the DI lines, and the ADX line. （ranging and trending markets Definition:
Day trading markets are referred to as either ranging or trending depending upon the type of price movement that is currently occurring. The descriptions of these types of markets are as follows : Ranging A ranging market is a market where the price is moving back and forth between a higher price and a lower price. The higher price would be acting as resistance because it prevents the price from moving above it, and the lower price would be acting as support because it prevents the price from moving below it. The price range of a ranging market can be small or large, and if the range is very small the market would be considered to be in chop (moving sideways with very little upward or downward movement. . . . .


.. .. Trending A trending market is a market where the price is moving in a single direction, either up or down, but not sideways. There may be several small price reversals, but nothing large enough to prevent the price movement from continuing in its original direction. A day trading trend may last for a few minutes or a few hours, and longer term trends may last for several weeks or months. ）

DMI Points The Way To Profits
By Candy SchaapAAA |
The primary objective of the trend trader is to enter a trade in the direction of the trend. Reading directional signals from price alone can be difficult and is often misleading because price normally swings in both directions and changes character between periods of low versus high volatility. The directional movement indicator
(also known as the directional movement index - DMI is a valuable tool for assessing price direction and strength. This indicator was created in 1978 by J. Welles Wilder, who also created the popular relative strength index. DMI tells you when to be long or short. It is especially useful for trend trading strategies because it differentiates between strong and weak trends, allowing the trader . . . .


.. .. to enter only the strongest trends. DMI works on all time frames and can be applied to any underlying vehicle (stocks, mutual funds, exchange-traded funds, futures, commodities and currencies. Here, we'll cover the DMI indicator in detail and show you what information it can reveal to help you achieve better profits. (For background reading, see Momentum And The Relative Strength Index. DMI Characteristics DMI is a moving average of range expansion over a given period (default 14. The positive directional movement indicator (+DMI measures how strongly price moves upward; thenegative directional movement indicator (-DMI measures how strongly price moves downward. The two lines reflect the respective strength of the bulls versus the bears. Each DMI is represented by a separate line (Figure 1. First, look to see which of the two DMI lines is on top. Some short-term traders refer to this as the dominant DMI. The dominant DMI is stronger and more likely to predict the direction of price. For the buyers and sellers to change dominance, the lines must cross over. A crossover occurs when the DMI on bottom crosses up through the dominant DMI on top. Crossovers may seem like an obvious signal to . . . .


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.. go long/short, but many short-term traders will wait for other indicators to confirm the entry or exit signals to increase their chances of making a profitable trade. Crossovers of the DMI lines are often unreliable because they frequently give false signals when volatility is low and late signals when volatility is high. Think of crossovers as the first indication of a potential change in direction. (For more insight, read the Moving Averages
tutorial. Source: TDAmeritrade Strategy Desk Figure 1: The +DMI and -DMI are shown as separate lines. There are several false crossovers ( Point 1 and one crossover at Point 2 that leads to an uptrend with +DMI dominant. Note:The calculations for DMI are complicated and are referenced elsewhere. Also, DMI is normally plotted in the same window with the ADX indicator, which is not shown. DMI is used to confirm price action (see Figure 2. The +DMI generally moves in sync with price, which means that the +DMI rises . . . .


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.. when price rises, and it falls when price falls. It is important to note that the -DMI behaves in the opposite manner and moves counter-directional to price. The -DMI rises when price falls, and it falls when price rises. This takes a little getting used to. Just remember that the strength of a price move up or down is always recorded by a peak in the respective DMI line. Reading directional signals is easy. When the +DMI is dominant and rising, price direction is up. When the -DMI is dominant and rising, price direction is down. But the strength of price must also be considered. DMI strength ranges from a low of 0 to a high of 100. The higher the DMI value, the stronger the prices swing. DMI values over 25 mean price is directionally strong. DMI values under 25 mean price is directionally weak. Source: TDAmeritrade Strategy Desk . . . .


.. .. Figure 2: DMI is weak at Point 1 and price is choppy. The +DMI rises strongly above 25 at Point 2 and the uptrend follows. Note how +DMI moves with price at Point 3 and -DMI moves counter-directional to price at Point 4. DMI Momentum The great feature of DMI is the ability to see buying and selling pressure at the same time, allowing the dominant force to be determined before entering a trade. The strength of aswing high (bulls is reflected in the +DMI peak, and the strength of a swing low (bears is seen in the -DMI peaks. The relative strength of the DMI peaks tells the momentum of price and provides timely signals for trading decisions. When the buyers are stronger than the sellers, the +DMI peaks will be above 25 and the -DMI peaks will be below 25. This is seen in a strong uptrend. But when the sellers are stronger than the buyers, the -DMI peaks will be above 25 and the +DMI peaks will be below 25. In this case, the trend will be down. The ability of price to trend depends on continued strength in the dominant DMI. A strong uptrend will show a series of rising +DMI peaks that remain above the -DMI for extended periods of time (Figure 3. The opposite is true for strong downtrends. When both DMI lines are below 25 and moving sideways, there is no dominant force and trend trades are not appropriate. However, the best trends begin after long periods where the DMI lines cross back and forth under . . . .


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.. the 25 level. A low risk trade setup will occur after DMI expands above the 25 level and price penetrates support/resistance. Source: TDAmeritrade Strategy Desk Figure 3: The +DMI crosses above 25 at Point 1 and remains above the -DMI as the uptrend develops. Note the absence of any crossover by -DMI during the uptrend. Here, the buyers are strong (+DMI >25 and the sellers are weak (-DMI <25. DMI Confirmation DMI lines pivot, or change direction, when price changes direction. An important concept of DMI pivots is they must correlate with structural pivots in price. When price makes a pivot high, the +DMI will make a pivot high. When price makes a pivot low, the -DMI will make a pivot high (remember -DMI moves counter-directional to price. The correlation between DMI pivots and price pivots is important for reading price momentum. Many short-term traders watch for the . . . .


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.. price and the indicator to move together in the same direction or times they diverge. One method of confirming an asset's uptrend is to find scenarios when price makes a new pivot high and the +DMI makes a new high. Conversely, a new pivot low combined with a new high on the -DMI is used to confirm a downtrend. This is generally a signal to trade in the direction of the trend or a trend breakout Divergence, on the other hand is when the DMI and price disagree, or do not confirm one another. An example is when price makes a new high, but the +DMI makes a lower high. Divergence is generally a warning to manage risk because it signals a change of swing strength and commonly precedes a retracement or reversal. (For more on this topic, readDivergences, Momentum And Rate Of Change. Source: TDAmeritrade Strategy Desk Figure 4: This is an example of when the price and indicator agree (Point 1, where price makes a new high and +DMI makes a new high, signaling a long . . . .


.. .. entry. There is also an example of divergence (Point 2, where price makes a new high and the +DMI makes a lower high; the result is a trend retracement at Point 3.
DMI Contractions and Expansions The DMI lines are a good reference for price volatility. Price goes through repeated cycles of volatility in which a trend enters a period of consolidation and then consolidation enters a period of trend. When price enters consolidation, the volatility decreases. Buying pressure (demand and selling pressure (supply are relatively equal, so the buyers and sellers generally agree on the value of the asset. Once price has contracted into a narrow range, it will expand as the buyers and sellers no longer agree on price. Supply and demand is no longer in balance and consolidation changes to trend when price breaks below support into a downtrend or above resistance into an uptrend. Volatility increases as price searches for a new agreed value level. Volatility cycles can be identified by comparing the slopes of the DMI lines that move in opposite directions whenever range expansion or contraction occurs (Figure 4. Many short-term traders will look for periods when the DMI lines move away from one another and volatility increases. The farther the lines separate, the stronger the volatility. Contractionsoccur when the lines move toward one . . . .


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.. another and volatility decreases. Contractions precede retracements, consolidations or reversals. Source: TDAmeritrade Strategy Desk Figure 5: The first expansion at Point 1 is part of the downtrend. The subsequent contraction at Point 2 leads to a reversal that begins with another expansion at Point 3. The next contraction at Point 4 leads to a consolidation in price. Bulls, Bears and Trend DMI peak analysis fits well with trend principles. Before using any indicator, always look at price. Price is trending up when there are higher pivot highs and higher pivot lows. When higher highs in price are accompanied by higher highs in +DMI, the trend is intact and the bulls are getting stronger. Lower pivot highs and lower pivot lows signify a downtrend. When the -DMI peaks make higher highs, the bears are in control and selling pressure is getting stronger. . . . .


.. .. In any trend, look to the DMI for momentum convergence/divergence; this gives a trader confidence to stay with the trend when price and DMI agree and manage risk when they disagree. The best trading decisions are made on objective signals and not emotion. Let price and DMI tell you whether to go long or to go short or just stand aside. You can use DMI to gauge the strength of price movement and see periods of high and low volatility. DMI contains a wealth of information that can identify the correct strategy for profit whether you are a bull or bear.

Average Directional Index (ADX Introduction The Average Directional Index (ADX, Minus Directional Indicator (-DI and Plus Directional Indicator (+DI represent a group of directional movement indicators that form a trading system developed by Welles Wilder. Wilder designed ADX with commodities and daily prices in mind, but these indicators can also be applied to stocks. The Average Directional Index (ADX measures trend strength without regard to trend direction. The other two indicators, Plus Directional Indicator (+DI and Minus Directional Indicator (-DI, complement ADX by defining trend direction. Used together, chartists can determine both the direction and strength
of the trend. Wilder features the Directional Movement indicators in his 1978 book, New Concepts in Technical Trading Systems. This book also includes details on Average True Range (ATR, the Parabolic SAR system and RSI. Despite being developed before the computer age, Wilder's indicators are incredible detailed in their calculation and have stood the test of time. . . . .


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.. Directional Movement Plus Directional Movement (+DM and Minus Directional Movement (-DM form the backbone of the Average Directional Index (ADX. Wilder determined directional movement by comparing the difference between two consecutive lows with the difference between the highs.
Directional movement is positive (plus when the current high minus the prior high is greater than the prior low minus the current low. This so-called Plus Directional Movement (+DM then equals the current high minus the prior high, provided it is positive. A negative value would simply be entered as zero. Directional movement is negative (minus when the prior low minus the current low is greater than the current high minus the prior high. This so-called Minus Directional Movement (-DM equals the prior low minus the . . . .


.. .. current low, provided it is positive. A negative value would simply be entered as zero. The chart above shows four calculation examples for directional movement. The first pairing shows a big positive difference between the highs for a strong Plus Directional Movement (+DM. The second pairing shows an outside day with Minus Directional Movement (-DM getting the edge. The third pairing shows a big difference between the lows for a strong Minus Directional Movement (-DM. The final pairing shows an inside day, which amounts to no directional movement (zero. Both Plus Directional Movement (+DM and Minus Directional Movement (-DM are negative and cancel out each other. Negative values revert to zero. All inside days will have zero directional movement. Calculation The calculation steps for the Average Directional Index (ADX are detailed in each step. Average True Range (ATR is not detailed because there is an entire ChartSchool article for this. Basically, ATR is Wilder's version of the two period trading range. Smoothed versions of Plus Directional Movement (+DM and Minus Directional Movement (-DM are divided by a smoothed version Average True Range (ATR to reflect the true magnitude of a move. The example below is based on a 14-day ADX calculation. 1. Calculate the True Range (TR, Plus Directional Movement (+DM and Minus Directional Movement (-DM for each period. 2. Smooth these periodic values using the Wilder's smoothing techniques. These are explained in detail in the next section. 3. Divide the 14-day smoothed Plus Directional Movement (+DM by the 14-day smoothed True Range to find the 14-day Plus Directional Indicator (+DI14. Multiply by 100 to move the decimal point two places. This +DI14 is the Plus Directional Indicator (green line that is plotted along with ADX. 4. Divide the 14-day smoothed Minus Directional Movement (-DM by the 14-day smoothed True Range to find the 14-day Minus Directional Indicator (-DI14. Multiply by 100 to move the decimal point two places. This -DI14 is the Minus Directional Indicator (red line that is plotted along with ADX. . . . .


.. .. 5. The Directional Movement Index (DX equals the absolute value of +DI14 less - DI14 divided by the sum of +DI14 and - DI14. 6. After all these steps, it is time to calculate the Average Directional Index (ADX. The first ADX value is simply a 14-day average of DX. Subsequent ADX values are smoothed by multiplying the previous 14-day ADX value by 13, adding the most recent DX value and dividing this total by 14.
Above is a spreadsheet example with all steps involved. There is a 119 day calculation gap because around 150 periods are required to absorb the smoothing techniques. ADX enthusiasts can click here to download this spreadsheet and see the gory details. The chart below shows an example of ADX using the Nasdaq 100 ETF (QQQQ. . . . .


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Wilder's Smoothing As seen in the ADX calculation, there is a lot of smoothing involved and it is important to understand the effects. Because of Wilder's smoothing techniques, it can take around 150 periods of data to get true ADX values. Wilder uses similar smoothing techniques with his RSI and Average True Range calculations. ADX values using only 30 periods of historical data will not match ADX values using 150 periods of historical data. ADX values with 150 days or more of data will remain consistent. The first technique is used to smooth each period's +DM1, -DM1 and TR1 values over 14 periods. As with an exponential moving average, the calculation has to start somewhere so the first value is simply the sum of the first 14 periods. As shown below, smoothing starts with the second 14-period calculation and continues throughout.
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.. .. First TR14 = Sum of first 14 periods of TR1 Second TR14 = First TR14 - (First TR14/14 + Current TR1 Subsequent Values = Prior TR14 - (Prior TR14/14 + Current TR1
The second technique is used to smooth each period's DX value to finish with the Average Directional Index (ADX. First, calculate an average for the first 14 days as a starting point. The second and subsequent calculations use the smoothing technique below:
First ADX14 = 14 period Average of DX Second ADX14 = ((First ADX14 x 13 + Current DX Value/14 Subsequent ADX14 = ((Prior ADX14 x 13 + Current DX Value/14
Interpretation The Average Directional Index (ADX is used to measure the strength or weakness of a trend, not the actual direction. Directional movement is defined by +DI and -DI. In general, the bulls have the edge when +DI is greater than - DI, while the bears have the edge when - DI is greater. Crosses of these directional indicators can be combined with ADX for a complete trading system. Before looking at some signals with examples, keep in mind that Wilder was a commodity and currency trader. The examples in his books are based on these instruments, not stocks. This does not mean his indicators cannot be used with stocks. Some stocks have price characteristics similar to commodities, which tend to be more volatile with short and strong trends. Stocks with low volatility may not generate signals based on Wilder's parameters. Chartists will likely need to adjust the indicator settings or the signal parameters according to the characteristics of the security. . . . .


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.. Trend Strength At its most basic the Average Directional Index (ADX can be used to determine if a security is trending or not. This determination helps traders choose between a trend following system or a non-trend following system. Wilder suggests that a strong trend is present when ADX is above 25 and no trend is present when below 20. There appears to be a gray zone between 20 and 25. As noted above, chartists may need to adjust the settings to increase sensitivity and signals. ADX also has a fair amount of lag because of all the smoothing techniques. Many technical analysts use 20 as the key level for ADX.
The chart above shows Nordstrom (JWN with the 50-day SMA and 14-day Average Directional Index (ADX. The stock moved from a strong uptrend to a strong downtrend in April-May, but ADX remained above 20 because the strong uptrend quickly changed into a strong downtrend. There were two non-trending periods as the stock formed a bottom in February and August. . . . .


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.. A strong trend emerged after the August bottom as ADX moved above 20 and remained above 20. DI Crossover System Wilder put forth a simple system for trading with these directional movement indicators. The first requirement is for ADX to be trading above 25. This ensures that prices are trending. Many traders, however, use 20 as the key level. A buy signal occurs when +DI crosses above - DI. Wilder based the initial stop on the low of the signal day. The signal remains in force as long as this low holds, even if +DI crosses back below - DI. Wait for this low to be penetrated before abandoning the signal. This bullish signal is reinforced if/when ADX turns up and the trend strengthens. Once the trend develops and becomes profitable, traders will have to incorporate a stop-loss and trailing stop should the trend continue. A sell signal triggers when - DI crosses above +DI. The high on the day of the sell signal becomes the initial stop-loss.
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.. The chart above shows Medco Health Solutions with the three directional movement indicators. Note that 20 is used instead of 25 to qualify ADX signals. A lower setting means more possible signals. The green dotted lines show the buy signals and the red dotted lines show the sell signals. Wilders initial stops were not incorporated in order to focus on the indicator signals. As the chart clearly shows, there are plenty of +DI and - DI crosses. Some occur with ADX above 20 validate signals. Others occur to invalidate signals. As with most such systems, there will be whipsaws, great signals and bad signals. The key, as always, is to incorporate other aspects of technical analysis. For example, the first group of whipsaws in September 2009 occurred during a consolidation. Moreover, this consolidation looked like a flag, which is a bullish consolidation that forms after an advance. It would have been prudent to ignore bearish signals with a bullish continuation pattern taking shape. The June 2010 buy signal occurred near a resistance zone marked by broken support and the 50-62% retracement zone. It would have been prudent to ignore a buy signal so close to this resistance zone.
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.. .. The chart above shows AT&T (T with three signals over a 12 month period. These three signals were pretty good, provided profits were taken and trailing stops were used. Wilders Parabolic SAR could have been used to set a trailing stop-loss. Notice that there was no sell signal between the March and July buy signals. This is because ADX was not above 20 when -DI crossed above +DI in late April. Conclusions The directional movement indicator calculations are complex, interpretation is straight-forward and successful implementation takes practice. +DI and - DI crossovers are quite frequent and chartists need to filter these signals with complementary analysis. Setting an ADX requirement will reduce signals, but this uber-smoothed indicator tends to filter as many good signals as bad. In other words, chartists might consider moving ADX to the back burner and focusing on the Directional Indicators to generate signals. These crossover signals will be similar to those generated using momentum oscillators. Therefore, chartists need to look elsewhere for confirmation help. Volume-based indicators, basic trend analysis and chart patterns can help distinguish strong crossover signals from weak crossover signals. For example, chartists can focus on +DI buy signals when the bigger trend is up and - DI sell signals when the bigger trend is down. SharpCharts SharpCharts users can plot the directional movement indicators by selecting Average Directional Index (ADX from the indicator drop-down list. By default, ADX will be in black, the Plus Directional Indicator (+DI in green and the Minus Directional Indicator (-DI in red. This makes it easy to identify directional indicator crosses. While ADX can be plotted above, below or behind the main price plot, it is recommended to plot above or below because there are three lines involved. A horizontal line can be added to help identify ADX moves. The chart example below also shows the 50-day SMA and Parabolic SAR plotted behind the price plot. The moving average is used to filter signals. Only buy signals are used when trading above the 50-day moving average. Once initiated, the Parabolic SAR can be used to set stops. Click here for a live example of ADX.
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Suggested Scans Overall Uptrend with +DI Crossing above -DI: This scan starts with stocks that average 100,000 shares daily volume and have an average closing price above 10. An uptrend is present when trading above the 50-day SMA. A buy signal is possible when ADX is above 20. This signal materializes when +DI moves above - DI. Overall Downtrend with - DI Crossing above +DI: This scan starts with stocks that average 100,000 shares daily volume and have an average closing price above 10. An downtrend is present when trading below the 50-day SMA. A sell signal is possible when ADX is above 20. This signal materializes when -DI moves above +DI.


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趋向指标DMI_计算与详细讲解

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