StockFetcher Forums · Filter Exchange · Do you have ADXR ?<< >>Post Follow-up
shaikhhali
42 posts
msg #41382
Ignore shaikhhali
2/19/2006 7:34:32 AM

can you show me the ADXR Filter ?
regards



shaikhhali
42 posts
msg #41470
Ignore shaikhhali
2/22/2006 12:23:28 AM

Helloooo
Any body there?


nikoschopen
2,824 posts
msg #41476
Ignore nikoschopen
2/22/2006 1:13:11 AM

One website states "The average directional movement index rating (ADXR), was created by Wilder as a measuring tool for the strength of ADX. ADXR is the average of the current ADX and the ADX 14 days ago."

Yet another states "Average Directional Movement Rating quantifies momentum change in the ADX. It is calculated by adding two values of ADX (the current value and a value n periods back), then dividing by two."

So to make both work, I formulated ADXR as [(ADX(14) - ADX(14) 14 days ago) divided by 2]. This sounds too simplistic to be believed, but who knows?!

Fetcher[
set{ad,ADX(14) - ADX(14) 14 days ago}
set{adxr,ad / 2}
draw adxr
]





nerriezohn
4 posts
msg #54957
Ignore nerriezohn
modified
9/20/2007 8:22:10 AM

Neither of those calculation is quite right.
Essentially the ADXR is type of exponential/weighted moving average, not a straight average.

The first ADXR = Average(ADXes for the last 14 days).
Thereafter, the ADXR(today) = (ADXR(yesterday) + ADX(today))/2
Notice that the last calculation creates a kind of exponential average since the latest ADX is heavily weighted as 1/2 the new value, but the previous ones get divided by two for every calculation. That is the ADX of 1 day ago accounts for 1/4 of the new value, 2 days ago only account for a 1/8 of the value...ad infinitum

I got these calculations from the original book.

Now if you could help me calculate that, I would be very appreciative.



TheRumpledOne
6,362 posts
msg #54958
Ignore TheRumpledOne
modified
9/20/2007 8:44:38 AM

Niko.. did you mean

Fetcher[
set{ad,ADX(14) + ADX(14) 14 days ago}
set{adxr,ad / 2}
draw adxr
]



You subtracted in your filter but the notes said to ADD.


Nerriezohn:

The first ADXR = Average(ADXes for the last 14 days).
Thereafter, the ADXR(today) = (ADXR(yesterday) + ADX(today))/2


Fetcher[
set{ad, cma(ADX(14) ,14) }
set{adxr1, adx(14) + ad 1 day ago }
set{adxr, adxr1 * .50 }
draw adxr
]



Above doesn't work!! Looks like "ad 1 day ago" can't be used in a SET statement!!

Have to settle for:

Fetcher[
set{ad, cma(ADX(14) ,14) }
add column adx(14)
add column ad 1 day ago

]



Download to spreadsheet and then do the math.




nerriezohn
4 posts
msg #54962
Ignore nerriezohn
modified
9/20/2007 11:27:00 AM

Thanks



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