Support Board
Date/Time: Wed, 12 Feb 2025 04:15:50 +0000
ADX Study
View Count: 2401
| [2018-11-13 00:24:53] |
| User513662 - Posts: 90 |
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I have a question relating to this study. In the study description it states; This study calculates and displays the Welles Wilder's Average Directional Movement Index (ADX). It also states; The Directional Indicators are calculated slightly differently here, as shown below. I have no idea how to go through the math mentioned to compare. What I am interested in is does this study output EXACTLY according to the Wells Wilder ADX or is it actually different due to the difference in calculation of the Directional Indicators. I ask because I am getting different outputs to other platforms using Wells Wilder ADX. Thank you. |
| [2018-11-13 01:24:58] |
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It should be the same but we will check on this.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2018-11-13 01:25:15
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| [2018-11-14 22:06:29] |
| User513662 - Posts: 90 |
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Hi, Is there any update on this? Thank you. |
| [2018-11-15 18:41:27] |
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It will take us some time to go over this. We will get back to you as soon as we can.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing |
| [2018-11-15 20:42:15] |
| User513662 - Posts: 90 |
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Thank you.
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| [2018-11-21 21:01:44] |
| User513662 - Posts: 90 |
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Hello, Is there any update on this? |
| [2018-11-27 19:40:39] |
| John - SC Support - Posts: 37891 |
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Sorry for how long this has taken. We finally had a chance to review. The difference in the ADX calculation referenced by the statement The Directional Indicators are calculated slightly differently here, as shown below is simply that rather than use a value of 0 when the denominator of the DI+ or DI- is 0 it uses a value of 100. This would not have any major impact on what you see overall in the ADX calculation. Overall, the calculations follow the original Wells Wilder algorithm. The only thing we can think of as to why you may see differences from other systems is that there are a few Moving Average calculations being performed and each system may be using a different Moving Average algorithm. In the case of Sierra Chart, it is using the Moving Average - Simple Skip Zeros. For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2018-11-27 21:58:28] |
| John - SC Support - Posts: 37891 |
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The RSI-W study uses the Wilder's Moving Average as the default and the RSI study uses the Simple Moving Average as the default. Both can be changed to another form of Moving Average as desired. Refer to the documentation here on this: RSI - W For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2018-11-30 00:19:34] |
| SC Support Tom - Posts: 450 |
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Hello, I wrote the documentation for both the ADX and Directional Movement Index (DMI) studies. I would make two comments on the response in Post #7. First, the DMI study does not use a value of zero for the Directional Indices when the Welles Sum is zero. Rather, it uses the prior values of the Directional Indices. This should be clear with a side-by-side comparison (see the attached image). Second, the average that is used in the ADX study is Moving Average - Welles Wilders (WWMA) - not Moving Average - Simple Skip Zeros (SZMA). It is true that WWMA defaults to SZMA when the prior value of WWMA is zero, but this almost never happens. As to the question of whether our ADX study is faithful to the original algorithm of Wilder, I do not have an answer for that yet. I have just obtained a copy of Wilder's book New Concepts in Technical Trading Systems, where he introduced ADX. I will look into it over the weekend and give you a definitive answer on that by Monday. |
 Directional_Indicators.jpg / V - Attached On 2018-11-30 00:06:27 UTC - Size: 88.05 KB - 489 views |
| [2018-11-30 03:02:28] |
| User90125 - Posts: 715 |
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Because Wilder's seminal work on "New Concepts in Technical Trading Systems" from 1978 may be out-of-print, here's a link to an online copy: https://books.mec.biz/tmp/books/218XOTBWY3FEW2CT3EVR.PDF |
| [2018-12-02 08:24:02] |
| SC Support Tom - Posts: 450 |
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Hello again. I have finished my review of Wilder's discussion of the ADX, and have verified that the algorithm that he created is 100% equivalent to the algorithm used by Sierra Chart. I even used both his algorithm and our version of it to reproduce the results of Wilder's own sample worksheet on pp. 41-42 of his book. Our results matched his with zero error. I can confidently say that if the ADX calculation of any other platform disagrees with our calculation, then it is the other platform that is at odds with Wilder's algorithm.
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| [2018-12-02 08:33:51] |
| User513662 - Posts: 90 |
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Hi Tom, Many thanks for the exhaustive effort to confirm this. Greatly appreciated. |
| [2020-10-02 09:17:28] |
| User90125 - Posts: 715 |
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Because Wilder's seminal work on "New Concepts in Technical Trading Systems" from 1978 may be out-of-print, and the link given above may not be working in the future, I've attached a .pdf copy here for future reference.
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 218XOTBWY3FEW2CT3EVR[1].PDF - Attached On 2020-10-02 09:15:01 UTC - Size: 28.91 MB - 338 views |
| [2020-10-02 09:51:07] |
| User90125 - Posts: 715 |
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The RSI-W study uses the Wilder's Moving Average as the default and the RSI study uses the Simple Moving Average as the default.
Why? No CMT (Chartered Market Technician) uses an SMA as a default for RSI. In fact, there is NO literature supporting this non-standard usage in the RSI. The whole point, as demonstrated by Wilder, is to use an EMA, since it changes direction when price crosses it. This is fact, not conjecture. And the RSI would cross above or below 50 when this is the case. Wilder's Moving Average in the original is indeed an EMA with an alpha of 1/n. The generic Exponential Moving Average (which should be used as a default in the faster RSI study) also works as expected, given the observed qualities of an EMA, which in this case would have an alpha of 1/(2n - 1). Thus a 14-period Wilder is equivalent to a 27-period EMA. Whoever decided to use an SMA as default in the RSI is patently WRONG, if only because the SMA does not change (or bend, as it were), when price crosses it, thus altering the known and expected qualities of the RSI. |
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