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RE: [Metastockusers] ADX initialization



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----- Original Message -----
From: Roy Larsen <rlarsen@xxxxxxxxxxxxxx>
To: <Metastockusers@xxxxxxxxxxxxxxx>
Sent: Monday, August 25, 2003 8:55 PM
Subject: Re: [Metastockusers] ADX initialization


> Yarroll
>
> One possible problem With ADX is that it uses Wilders Smoothing
internally.
> This is a form of an exponential moving average, and typically all EMA's
> need about 5 times the nominal "periods" worth of data in an exploration
to
> give the same approximate value seen on a chart. This shouldn't affect the
> System Tester but it will certainly affect explorations using ADX and
> "minimum" periods.
>
> Roy
>


Thanks everyone. Helpful as always.

Roy: it's precisely the beginning of the chart that I'm worried about. I'm
concerned mostly with high ADX values, and I can't test for that if ADX
falls from the sky (like from above 90) and I can't expect this to happen in
trading :-


So are you saying I'd need 5 times nominal periods? Like to use in tester:

cross( C, Mov(C,5,S))  {whatever}
and
( ADX(30)>Ref(ADX(30,-1)  and cum(1)>150 )?

150 bars for ADX(30) this seems like a lot. Are you sure? I'm not at all
familiar with the math behind Wilders smoothing. Does it lag so much?

There is a similar problem with Intraday Momentum Index, it too starts very
high (from 100, on a 0-100 scale). For IMI I always used
and cum(1)>{3 x IMI lookback)
for example, IMI(50) and cum(1)>150,  just to be on the safe side. After
3xlookback IMI seems to straiten out.

Thanks again. Best regards

Yarroll
***
http://republika.pl/yarroll999/


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