Average Directional Index (ADX)

Created by J. Welles Wilder, the Average Directional Movement Index (ADX) is part of the Directional Movement system (commonly referred to as DMI). This system includes the Positive and Negative Directional Indicators (+DI and −DI), the Directional Index (DX), and ADX, and is used to measure the strength of price trends. [Discuss] 💬

// C# usage syntax
IReadOnlyList<AdxResult> results =
  bars.ToAdx(lookbackPeriods);

Parameters

param	type	description
lookbackPeriods	int	Number of periods (N) to consider. Must be greater than 1. Default is 14.

Historical price bars requirements

You must have at least 2×N+100 periods of bars to cover the warmup and convergence periods. We generally recommend you use at least 2×N+250 data points prior to the intended usage date for better precision.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IReadOnlyList<AdxResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• It does not return a single incremental indicator value.
• The first 2×N-1 periods will have null values for Adx since there's not enough data to calculate.

🚩 ⚞ Convergence warning

The first 2×N+100 periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.

AdxResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
Pdi	double	Plus Directional Index (+DI)
Mdi	double	Minus Directional Index (-DI)
Dx	double	Directional Index (DX)
Adx	double	Average Directional Index (ADX)
Adxr	double	Average Directional Index Rating (ADXR)

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

Results can be further processed on Adx with additional chain-enabled indicators.

// example
var results = bars
    .ToAdx(..)
    .ToRsi(..);

This indicator must be generated from bars and cannot be generated from results of another chain-enabled indicator or method.

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations:

AdxList adxList = new(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  adxList.Add(bar);
}

// based on `ICollection<AdxResult>`
IReadOnlyList<AdxResult> results = adxList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
AdxHub observer = barHub.ToAdxHub(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<AdxResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.