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t*******o
发帖数: 1464 | 1 扫盲link
http://stockcharts.com/help/doku.php?id=chart_school:technical_indicators:average_directional_
几点重要但容易被误读的：
1：ADX指数是反映趋向变动的“强度”，而不是涨或跌的方向
2：这个指标是完全通过价格的高点，低点，与价格range计算得来。与成交量无关。
3：选取周期中如果有某一天range特别异常（且选取周期过短，如5天），可能会出现ADX数值异常。
4：所谓的bullish / bearish cross，我自己的感觉是可信度不高，虽然我看到的网上资料和书本charpter有不少人为cross有指标意义（如http://baike.baidu.com/view/1380474.htm?fr=ala0_1）。
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解读
Interpretation
The ADX does not indicate trend direction, only trend strength. It is a lagging indicator; that is, a trend must have established itself before the ADX will generate a signal that a trend is underway. ADX will range between 0 and 100. Generally, ADX readings below 20 indicate trend weakness, and readings above 40 indicate trend strength.
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计算
The ADX is a combination of two other indicators developed by Wilder, the
positive directional indicator (abbreviated +DI) and negative directional
indicator (-DI). The ADX combines them and smooths the result with an
exponential moving average.
To calculate +DI and -DI, one needs price data consisting of high, low, and
closing prices each period (typically each day). One first calculates the
Directional Movement (+DM and -DM):
UpMove = Today's High − Yesterday's High
DownMove = Yesterday's Low − Today's Low
if UpMove > DownMove and UpMove > 0, then +DM = UpMove, else +DM = 0
if DownMove > UpMove and DownMove > 0, then -DM = DownMove, else -DM = 0
After selecting the number of periods (Wilder used 14 days originally), +DI
and -DI are:
+DI = 100 times exponential moving average of +DM divided by Average
True Range
-DI = 100 times exponential moving average of -DM divided by Average
True Range
The exponential moving average is calculated over the number of periods
selected, and the average true range is an exponential average of the true
ranges. Then:
ADX = 100 times the exponential moving average of the Absolute value of
(+DI − -DI) divided by (+DI + -DI)
Variations of this calculation typically involve using different types of
moving averages, such as a weighted moving average or an adaptive moving
average. |
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