// AVERAGE DIRECTIONAL INDEX
public static IEnumerable <AdxResult> GetAdx(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// check exceptions
int qtyHistory = history.Count();
int minHistory = 2 * lookbackPeriod + 1;
if (qtyHistory < minHistory)
{
throw new BadHistoryException("Insufficient history provided for ADX. " +
string.Format("You provided {0} periods of history when {1} is required. "
+ "Since this uses a smoothing technique, "
+ "we recommend you use at least 250 data points prior to the intended "
+ "usage date for maximum precision.", qtyHistory, minHistory));
}
// initialize results and working variables
IEnumerable <AtrResult> atrResults = GetAtr(history, lookbackPeriod); // uses True Range value
List <AdxResult> results = new List <AdxResult>();
decimal prevHigh = 0;
decimal prevLow = 0;
decimal prevTrs = 0; // smoothed
decimal prevPdm = 0;
decimal prevMdm = 0;
decimal prevAdx = 0;
decimal sumTr = 0;
decimal sumPdm = 0;
decimal sumMdm = 0;
decimal sumDx = 0;
// roll through history
foreach (Quote h in history)
{
AdxResult result = new AdxResult
{
Index = (int)h.Index,
Date = h.Date
};
// skip first period
if (h.Index == 1)
{
results.Add(result);
prevHigh = h.High;
prevLow = h.Low;
continue;
}
decimal tr = (decimal)atrResults.Where(x => x.Index == h.Index).FirstOrDefault().Tr;
decimal pdm1 = (h.High - prevHigh) > (prevLow - h.Low) ? Math.Max(h.High - prevHigh, 0) : 0;
decimal mdm1 = (prevLow - h.Low) > (h.High - prevHigh) ? Math.Max(prevLow - h.Low, 0) : 0;
prevHigh = h.High;
prevLow = h.Low;
// initialization period
if (h.Index <= lookbackPeriod + 1)
{
sumTr += tr;
sumPdm += pdm1;
sumMdm += mdm1;
}
// skip DM initialization period
if (h.Index <= lookbackPeriod)
{
results.Add(result);
continue;
}
// smoothed true range and directional movement
decimal trs;
decimal pdm;
decimal mdm;
if (h.Index == lookbackPeriod + 1)
{
trs = sumTr / lookbackPeriod;
pdm = sumPdm / lookbackPeriod;
mdm = sumMdm / lookbackPeriod;
}
else
{
trs = prevTrs - (prevTrs / lookbackPeriod) + tr;
pdm = prevPdm - (prevPdm / lookbackPeriod) + pdm1;
mdm = prevMdm - (prevMdm / lookbackPeriod) + mdm1;
}
prevTrs = trs;
prevPdm = pdm;
prevMdm = mdm;
// directional increments
decimal pdi = 100 * pdm / trs;
decimal mdi = 100 * mdm / trs;
decimal dx = 100 * Math.Abs(pdi - mdi) / (pdi + mdi);
result.Pdi = pdi;
result.Mdi = mdi;
// calculate ADX
decimal adx;
if (h.Index > 2 * lookbackPeriod)
{
adx = (prevAdx * (lookbackPeriod - 1) + dx) / lookbackPeriod;
result.Adx = adx;
prevAdx = adx;
}
// initial ADX
else if (h.Index == 2 * lookbackPeriod)
{
sumDx += dx;
adx = sumDx / lookbackPeriod;
result.Adx = adx;
prevAdx = adx;
}
// ADX initialization period
else
{
sumDx += dx;
}
results.Add(result);
}
return(results);
}
// AVERAGE DIRECTIONAL INDEX
public static IEnumerable <AdxResult> GetAdx <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod = 14)
where TQuote : IQuote
{
// clean quotes
List <TQuote> historyList = history.Sort();
// verify parameters
ValidateAdx(history, lookbackPeriod);
// initialize results and working variables
List <AdxResult> results = new List <AdxResult>();
List <AtrResult> atrResults = GetAtr(history, lookbackPeriod).ToList(); // uses True Range value
decimal prevHigh = 0;
decimal prevLow = 0;
decimal prevTrs = 0; // smoothed
decimal prevPdm = 0;
decimal prevMdm = 0;
decimal prevAdx = 0;
decimal sumTr = 0;
decimal sumPdm = 0;
decimal sumMdm = 0;
decimal sumDx = 0;
// roll through history
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
int index = i + 1;
AdxResult result = new AdxResult
{
Date = h.Date
};
// skip first period
if (index == 1)
{
results.Add(result);
prevHigh = h.High;
prevLow = h.Low;
continue;
}
decimal tr = (decimal)atrResults[i].Tr;
decimal pdm1 = (h.High - prevHigh) > (prevLow - h.Low) ? Math.Max(h.High - prevHigh, 0) : 0;
decimal mdm1 = (prevLow - h.Low) > (h.High - prevHigh) ? Math.Max(prevLow - h.Low, 0) : 0;
prevHigh = h.High;
prevLow = h.Low;
// initialization period
if (index <= lookbackPeriod + 1)
{
sumTr += tr;
sumPdm += pdm1;
sumMdm += mdm1;
}
// skip DM initialization period
if (index <= lookbackPeriod)
{
results.Add(result);
continue;
}
// smoothed true range and directional movement
decimal trs;
decimal pdm;
decimal mdm;
if (index == lookbackPeriod + 1)
{
trs = sumTr;
pdm = sumPdm;
mdm = sumMdm;
}
else
{
trs = prevTrs - (prevTrs / lookbackPeriod) + tr;
pdm = prevPdm - (prevPdm / lookbackPeriod) + pdm1;
mdm = prevMdm - (prevMdm / lookbackPeriod) + mdm1;
}
prevTrs = trs;
prevPdm = pdm;
prevMdm = mdm;
// directional increments
decimal pdi = 100 * pdm / trs;
decimal mdi = 100 * mdm / trs;
decimal dx = 100 * Math.Abs(pdi - mdi) / (pdi + mdi);
result.Pdi = pdi;
result.Mdi = mdi;
// calculate ADX
decimal adx;
if (index > 2 * lookbackPeriod)
{
adx = (prevAdx * (lookbackPeriod - 1) + dx) / lookbackPeriod;
result.Adx = adx;
prevAdx = adx;
}
// initial ADX
else if (index == 2 * lookbackPeriod)
{
sumDx += dx;
adx = sumDx / lookbackPeriod;
result.Adx = adx;
prevAdx = adx;
}
// ADX initialization period
else
{
sumDx += dx;
}
results.Add(result);
}
return(results);
}
// AVERAGE DIRECTIONAL INDEX
public static IEnumerable <AdxResult> GetAdx(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
history = Cleaners.PrepareHistory(history);
// verify parameters
ValidateAdx(history, lookbackPeriod);
// initialize results and working variables
IEnumerable <AtrResult> atrResults = GetAtr(history, lookbackPeriod); // uses True Range value
List <AdxResult> results = new List <AdxResult>();
decimal prevHigh = 0;
decimal prevLow = 0;
decimal prevTrs = 0; // smoothed
decimal prevPdm = 0;
decimal prevMdm = 0;
decimal prevAdx = 0;
decimal sumTr = 0;
decimal sumPdm = 0;
decimal sumMdm = 0;
decimal sumDx = 0;
// roll through history
foreach (Quote h in history)
{
AdxResult result = new AdxResult
{
Index = (int)h.Index,
Date = h.Date
};
// skip first period
if (h.Index == 1)
{
results.Add(result);
prevHigh = h.High;
prevLow = h.Low;
continue;
}
decimal tr = (decimal)atrResults.Where(x => x.Index == h.Index).FirstOrDefault().Tr;
decimal pdm1 = (h.High - prevHigh) > (prevLow - h.Low) ? Math.Max(h.High - prevHigh, 0) : 0;
decimal mdm1 = (prevLow - h.Low) > (h.High - prevHigh) ? Math.Max(prevLow - h.Low, 0) : 0;
prevHigh = h.High;
prevLow = h.Low;
// initialization period
if (h.Index <= lookbackPeriod + 1)
{
sumTr += tr;
sumPdm += pdm1;
sumMdm += mdm1;
}
// skip DM initialization period
if (h.Index <= lookbackPeriod)
{
results.Add(result);
continue;
}
// smoothed true range and directional movement
decimal trs;
decimal pdm;
decimal mdm;
if (h.Index == lookbackPeriod + 1)
{
trs = sumTr / lookbackPeriod;
pdm = sumPdm / lookbackPeriod;
mdm = sumMdm / lookbackPeriod;
}
else
{
trs = prevTrs - (prevTrs / lookbackPeriod) + tr;
pdm = prevPdm - (prevPdm / lookbackPeriod) + pdm1;
mdm = prevMdm - (prevMdm / lookbackPeriod) + mdm1;
}
prevTrs = trs;
prevPdm = pdm;
prevMdm = mdm;
// directional increments
decimal pdi = 100 * pdm / trs;
decimal mdi = 100 * mdm / trs;
decimal dx = 100 * Math.Abs(pdi - mdi) / (pdi + mdi);
result.Pdi = pdi;
result.Mdi = mdi;
// calculate ADX
decimal adx;
if (h.Index > 2 * lookbackPeriod)
{
adx = (prevAdx * (lookbackPeriod - 1) + dx) / lookbackPeriod;
result.Adx = adx;
prevAdx = adx;
}
// initial ADX
else if (h.Index == 2 * lookbackPeriod)
{
sumDx += dx;
adx = sumDx / lookbackPeriod;
result.Adx = adx;
prevAdx = adx;
}
// ADX initialization period
else
{
sumDx += dx;
}
results.Add(result);
}
return(results);
}
