DMI - "Directional Movement Index"

DMI is an indicator which determines the rate of price change, if an instrument is moving in a trend.

Parameters:

1. N - averaging period

Calculation:

1. First the positive and the negative derectional movement is calculated - +DM_j and -DM_j if High_j > High_j-1, then +DM_j = High_j - High_j-1, otherwise +DM_j = 0 if Low_j < Low_j-1, then -DM_j = Low_j-1 - Low_j, otherwise -DM_j = 0 The lesser of +DM_j and -DM_j is set to zero; if they are equal, both are set to zero.
2. True range is calculated - TR_j TR_j = max( |Low_j - Close_j-1|, |High_j - Close_j-1|, |High_j - Low_j| )
3. A positive and negative directional index is calculated - + and -DI_j if TR_j = 0, then +SDI_j = 0, -SDI_j = 0,
   if TR_j ≠ 0, then +SDI_j = +DM_j / TR_j; -SDI_j = -DM_j / TR_j By smoothing +SDI and -SDI with exponential moving average (EMAve), get +DI_j and -DI_j +DI_j = EMAve_j(+SDI, N)
   -DI_j = EMAve_j(-SDI, N)
4. Calculate average directional movement - ADX_j. First calculate directional movement DX_j: DX_j = (|+DI_j  -  -DI_j| / |+DI_j  +  -DI_j|) × 100 By averaging DX find ADX: ADX_j = EMAve_j(DX, N)