RE: [GT] ADX

["Weigert, Thomas" <weigert AT mst.edu>]

1. The WWMA is not quite what Wilders had defined. The definition says
to start with n-day SMA. Also, the code is needlessly repetitive and
thus slower.

2. I guess we could use the Wilders smoothing I just sent in to replace
WWMA, as that is trying to do the same thing.

3. I cannot tell what TA_LIB and others are using for smoothing. I think
some of the difference can be explained also by a difference in how ATR
is calculated (at least in the case of metastock). I did not study the
code for TA_LIB.

Th.

> -----Original Message-----
> From: kw [mailto:gt
AT
netsrak.net]
> Sent: Monday, March 03, 2008 10:25 AM
> To: devel
AT
geniustrader.org
> Subject: RE: [GT] ADX
> 
> Hello Thomas,
> 
> did you take a look at WWMA.pm?
> this should be a wilders smooting as well but it starts with Price at
> "$period ago +1" and starts wilders smoothing from there on ...
> 
> Might this be the source of difference when comparing to ta_lib??
> 
> regards,
> 
> K.
> 
> On Mon, 2008-03-03 at 08:08 -0600, Weigert, Thomas wrote:
> > I always check my indicators against TA_LIB in Excel. In the case of
ADX
> > I found disagreement, as described below among many sources
including
> > TA_LIB.
> >
> > Th.
> >
> > > -----Original Message-----
> > > From: kw [mailto:gt
AT
netsrak.net]
> > > Sent: Monday, March 03, 2008 1:26 AM
> > > To: devel
AT
geniustrader.org
> > > Subject: Re: [GT] ADX
> > >
> > > Hello GTers,
> > > for checking Indicators one could use the chart-47 I proposed
earlier
> > or
> > > one could rely on qtstalker (which would be a convenient way of
> > checking
> > > against ta-lib).
> > > Another option would be the yahoo chart-tool.
> > >
> > > At the weekend I asked my self if it would make sense to try to
get a
> > > swig wrapped ta-lib working in GT? I don't know if this can work
> > either?
> > >
> > > What's interesting as well is to pull the ta-lib svn sources,
cause
> > > there are Excel implementations for many indicators included.
> > >
> > > regards,
> > >
> > > K.
> > >
> > >
> > > On Mon, 2008-03-03 at 00:21 -0600, Weigert, Thomas wrote:
> > > > Does anybody know a reliable way of checking the behavior of the
ADX
> > > > indicator?
> > > >
> > > > As implemented it does not match the corresponding indicators in
> > tools I
> > > > have access to (Metastock, EclipseTrader, TA_LIB). Note that
none of
> > > > these agree with each other either.
> > > >
> > > > I reimplemented it based on the description that I found in
> > metastock,
> > > > but that does not match the original implementation, nor the
other
> > ones
> > > > listed above either.
> > > >
> > > > I realize that there might be differences due to whether
Wilder's
> > > > smoothing is used or EMA or SMA, but the values obtained in the
> > various
> > > > implementations are too inconsistent.
> > > >
> > > > I am attaching my new version, if you care....
> > > >
> > > > Th.
> >