TASC 2021.12 Directional Movement w/Hann

2021년 11월 14일

█ OVERVIEW

Presented here is code for the "Directional Movement w/Hann" indicator originally conceived by John ​Ehlers. The code is also published in the December 2021 issue of Trader's Tips by Technical Analysis of Stocks & ​Commodities (TASC) magazine.

Ehlers continues here his exploration of the application of Hann windowing to conventional trading indicators.


█ FEATURES

The rolling length can be modified in the script's inputs, as well as the width of the line.


█ NOTES

Calculations
The calculation starts with the classic definition of PlusDM and MinusDM. These directional movements are summed in an exponential moving average (EMA). Then, this EMA is further smoothed in a finite impulse response (FIR) filter using Hann window coefficients over the calculation period.

Background
The DMI and ADX indicators were designed by J. Welles Wilder and presented in his "New Concepts in Technical Trading Systems" book published in 1978.


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