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ADX using EMA rather than Wilder's formula
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ADX using EMA rather than Wilder's formula

  #1 (permalink)
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ADX using EMA rather than Wilder's formula

Hi guys,

I read somewhere that there is a version of the ADX/DMI that is calculated using EMA instead of Wilder's formula.

I couldn't find it in the forums, does anyone have it?

Thanks in advance =)

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  #2 (permalink)
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Azrael View Post
Hi guys,

I read somewhere that there is a version of the ADX/DMI that is calculated using EMA instead of Wilder's formula.

I couldn't find it in the forums, does anyone have it?

Thanks in advance =)


Wilder's average and the EMA are basically identical.

The only difference is the way that the smoothing constant of the EMA is calculated from the period.

For Wilder's average the smoothing constant is k = 1/n

For the EMA (as described by Jack K. Hutson in one of the early issues of the TASC magazine) a period of k = 2/(n+1) is used.

The advantage of the Hutson formula is that

- the EMA can be compared to a SMA with the same period
- that you can easily calculate higher timeframe EMAs by multiplying the period with the timeframe factor

Example: You can approximate an EMA(20) on an hourly chart with an EMA(80) calculated from 15 minute bars, but you cannot do this with Wilder's average.

Therefore today, all EMAs use the Hutson formula ( I call it Hutson formula, but in reality it is based on the single exponential model described in Robert G.Brown's "Smoothing, Forecasting and Prediction of Discrete Time Series, which was first published in 1963).


You do not need the modified ADX based on the EMA.


All you need to do is to adapt the period. Let us call the modified ADX "ADXmod". And now let us assume that you wish to display an ADXmod(21). Then you know that this indicator uses a smoothing constant of 2/(21+1) = 1/11. It is therefore identical with the ADX(11) of Wilder.

That said, you cannot approximate even periods of the ADXmod with the Wilder ADX, as it will not allow you to set the period to 10.5, although this is mathematically possible. If you wish, I will modify the NinjaTrader ADX to allow you to select broken periods.

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  #3 (permalink)
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Thanks for the reply Fat Tails!

Actually, I was trying to get an ADX with the EMA reference in it to then substitute with the various MAs like HMA, ZELMA, T3, etc for experimentation =)

Something like the MACDplus in the forums where you can just swap the MA for the calculations part.

Like something of wikipedia,

Quoting 
+DI = 100 times exponential moving average of +DM divided by average true range
−DI = 100 times exponential moving average of −DM divided by average true range
The exponential moving average is calculated over the number of periods selected, and the average true range is an exponential average of the true ranges. Then:
ADX = 100 times the exponential moving average of the absolute value of (+DI − −DI) divided by (+DI + −DI)
Variations of this calculation typically involve using different types of moving averages, such as a weighted moving average or an adaptive moving average.

So the idea is to change all the MAs used in calculations for +DI, -DI, ATR and ADX. =)


Last edited by Azrael; April 9th, 2013 at 07:51 PM.
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  #4 (permalink)
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Azrael View Post
Thanks for the reply Fat Tails!

Actually, I was trying to get an ADX with the EMA reference in it to then substitute with the various MAs like HMA, ZELMA, T3, etc for experimentation =)

Something like the MACDplus in the forums where you can just swap the MA for the calculations part.

Like something of wikipedia,


So the idea is to change all the MAs used in calculations for +DI, -DI, ATR and ADX. =)

This is definitely possible, but it is a bit of work to code it.

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  #5 (permalink)
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Fat Tails View Post
This is definitely possible, but it is a bit of work to code it.

Sent you a PM, if you haven't seen it.

Maybe continue from there =)

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  #6 (permalink)
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Azrael View Post
Hi guys,

I read somewhere that there is a version of the ADX/DMI that is calculated using EMA instead of Wilder's formula.

I couldn't find it in the forums, does anyone have it?

Thanks in advance =)


Azrael, did you ever succeed in achieving the ADX based on EMA.

Am coming from a forex background and tried Fat Tails advice of 2/(n+1) = 1/n but it hasnt helped.
FxPro has MT5 which has both types of ADX, I played around with the inputs but failed to get matches.

Please share it if you ever succeeded, this thread seems a dead horse but I will try.

Thanks

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  #7 (permalink)
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kaan View Post
Azrael, did you ever succeed in achieving the ADX based on EMA.

Am coming from a forex background and tried Fat Tails advice of 2/(n+1) = 1/n but it hasnt helped.
FxPro has MT5 which has both types of ADX, I played around with the inputs but failed to get matches.

Please share it if you ever succeeded, this thread seems a dead horse but I will try.

Thanks

Hey,

Fat Tails made it for me

I uploaded it on BMT here: https://futures.io/local_links_search.php?action=show&userid=31270&sort=d

I no longer use it actually (I'm mostly a stock investor now) and I'm using a different set of indicators.

But I hope it is helpful for you!

Warmest regards
Azrael

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  #8 (permalink)
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Azrael View Post
Hey,

Fat Tails made it for me

I uploaded it on BMT here: ....

I no longer use it actually (I'm mostly a stock investor now) and I'm using a different set of indicators.

But I hope it is helpful for you!

Warmest regards
Azrael


Thanks Azreal, but am not an elite member, is it ok to post the indicator here

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  #9 (permalink)
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kaan View Post
Thanks Azreal, but am not an elite member, is it ok to post the indicator here

Even if the indicator is posted here, elite membership is required for downloading it. At least that was my understanding.

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Fat Tails View Post
Even if the indicator is posted here, elite membership is required for downloading it. At least that was my understanding.

My thanks to you Fat Tails for writing the indicator, I will miss it for now but will get it someday.

May the edge be with you.

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