Calculation and application of DMI indicators

Calculation and application of DMI indicators

Indicators

DMI指标又叫动向指标或趋向指标，其全称叫“Directional Movement Index，简称DMI”，
也是由美国技术分析大师威尔斯·威尔德（Wells Wilder）所创造的，是一种中长期股市技术分析（Technical Analysis）方法。
DMI指标是通过分析股票价格在涨跌过程中买卖双方力量均衡点的变化情况，
即多空双方的力量的变化受价格波动的影响而发生由均衡到失衡的循环过程，从而提供对趋势判断依据的一种技术指标。

• Calculation of indicators

  Recently, a number of friends in the quantitative circle have asked me how to use the DMI indicator on the inventor's quantitative trading platform. I started thinking it was a simple problem, and I opened the API documentation to search for this indicator function. I found out that the omnipotent talib indicator library does not have this indicator. It was found that this indicator is made up of a combination of four indicators, the algorithm is not very complex, just write it according to the algorithm in the data.

  Example address:https://www.fmz.com/strategy/154050

• Please post the indicator source code.

  // 指标函数
  function ADX(MDI, PDI, adx_period) {
      if(typeof(MDI) == "undefined" || typeof(PDI) == "undefined"){
          return false 
      }  
  
      if(MDI.length < 10 || PDI.length < 10){
          return false 
      }  
  
      /*
      DX = abs(DIPlus-DIMinus) / (DIPlus+DIMinus)*100
      ADX = sma(DX, len)
      */  
  
      var dx = []
      for(var i = 0; i < MDI.length; i++){
          if(!MDI[i] || !PDI[i]){
              continue
          }
          var dxValue = Math.abs((PDI[i] - MDI[i])) / (PDI[i] + MDI[i]) * 100
          var obj = {
              Close : dxValue,
          }
          dx.push(obj)
      }  
  
      if(dx.length < adx_period){
          return false
      }  
  
      var adx = talib.SMA(dx, adx_period)  
  
      return adx
  }  
  
  function DMI(records, pdi_period, mdi_period, adxr_period, adx_period) {    
      var recordsHLC = []
      for(var i = 0; i < records.length ; i++){
          var bar = {
              High : records[i].High,
              Low : records[i].Low, 
              Close : records[i].Close,
          }
          recordsHLC.push(bar)
      }
      
      var m_di = talib.MINUS_DI(recordsHLC, mdi_period) 
      var p_di = talib.PLUS_DI(recordsHLC, pdi_period)  
  
      var adx = ADX(m_di, p_di, adx_period)
      
      // ADXR=（当日的ADX+前n日的ADX）÷2
      var n = 0
      var adxr = []
      for (var j = 0 ; j < adx.length; j++) {
          if (typeof(adx[j]) == "number") {
              n++
          }
          
          if (n >= adxr_period) {
              var currAdxr = (adx[j] + adx[j - adxr_period]) / 2
              adxr.push(currAdxr)
          } else {
              adxr.push(NaN)
          }
      }
      
      return [m_di, p_di, adx, adxr]
  }
  

• The contrast

  Using the inventor's quantized drawing line library, it is easy to draw a graph that can be compared to other DMI on the graph below

  

  

  Comparing the indicator values on several Kbars, the values are basically the same (a slight four-fifths deviation).

• Use

  Directly using the DMI function (e.g. how to call the main function in the example), the K-line data is transmitted, and the indicator parameter is set, usually 14. The function returns a two-dimensional array of data representing four lines.

  • DI- ： m_di,
  • DI+ ： p_di,
  • ADX ： adx,
  • ADXR： adxr，

  In the DMI indicator, these four lines, of which DI-, DI+ are multi-space indicators, represent the strength of both multi-space indicators. ADX and ADXR are a pair of indicator lines used as a trend indicator, reflecting the current market trends and directions.

  The higher the value of DI+, the stronger the current market, and the weaker the current market. DI-, indicator is opposite. DI+, DI- are often intertwined, and the closer the numbers are, the more likely the market is in a stalemate.

  • The signal

    1, search for the bottom.

    After a long-term decline, if the following conditions are met in the short-term, the short-term bottom has been identified and there may be a rebound or reversal of the over-fall.

    • 1, the DI+ line, representing the multihead force, is below 10, at the over-drop position and the upward curve, and the DI+ line is at the high position.

    • 2, the ADX line representing the trend is at a higher position above 65 and bends downward and forms a dead fork with the ADXR line.

    2, the dome

    After a long-term uptrend, a short-term peak has been identified and a short-term adjustment or reversal may occur if the following conditions are met in the short-term:

    • 1, the DI line, which represents the head force, is below 10, is low and curves up, and the DI+ line is high.

    • 2, the ADX line representing the trend is at a higher position above 65 and bends downward and forms a dead fork with the ADXR line.

    3 The Rise

    After a period of fluctuation, the four DMI indicator lines wrap around each other at low levels, and then suddenly a long k-line with a gain of more than 5% of the volume appears. The DI+ line passes through the DI-line, ADX line and ADXR line consecutively for two days, representing a new uptrend.