动向指标

动向指标是由Welles Wilder开发的一个复杂的指标，其概念在《技术交易系统新概念》一书中有所描述。大多数指标都有一个很大的弱点 - 他们不可以同时用于上升、下降趋势中以及调整期。动向指标的主要特点是，在提供信号之前，它首先确定市场趋势。

定向运动系统指标测量牛市和熊市对价格运动方向的推动能力。该系统由三条线组成：

• 上升指标＋DI，总结向上运动趋势；
• 下降指标-DI，总结向下运动趋势；
• 平均动向指数线ADX ，判断市场处于趋势中还是调整期。

Welles Wilder 没有使用标准的移动平均线公式。这在选择指标周期时应该被考虑在内。

交易信号

很多交易系统都是由动向指标发展而来。下面规则是基于Dr Alexander Elder 的《操作生涯不是梦》一书中关于交易系统的描述：

当+DI 在-DI上方做多，或者：

• ADX 上升，并且 +DI 和 ADX 在 –DI上方；
• ADX 自下而上穿过 +DI 和 –DI。

当 +DI 向下穿过 –DI平仓。

当-DI 在 +DI 上方，做空，或者：

• ADX 上升，并且-DI 和 ADX 在 +DI上方；
• ADX 自下而上穿过 +DI 和 –DI。

当-DI 向下穿过 +DI平仓。止损必不可少。

平均动向指数线:

ADX下降爱那个说明市场正在失去方向。当ADX降到 +DI 和 –DI下方说明市场毫无生气。Dr Elder建议我们至少要等ADX向上升四步之后再交易（比如，ADX从15的低点上升到19）。ADX在+DI 和 –DI下方时间越长，接下来的趋势就会越强。当ADX上升到+DI 和 –DI的上方，说明市场过热。此时，当ADX向下走时，获利平仓。

示例：

澳洲联邦银行股票与14日   +DI,   -DI 和    ADX。

1. -DI 上穿 +DI ，做空。
2. ADX 上升到 +DI上方，做空。
3. 当ADX 趋势向下，但位于+DI 和 –DI上方，获利平仓。
+DI 向上穿过 –DI时，做多。
4. ADX开始上升，并且位于-DI上方时做多。
5. ADX趋势向下，但位于+DI 和 -DI 上方，获利平仓。
6. -DI 向上穿过 +DI，做空。
ADX 持续下降，所以不宜交易。
7. +DI 向上穿过 –DI，做多。
ADX 上升，但位于 +DI 和 –DI下方，但是没有上升推荐的四步，所以，不下单。
8. 一种观点是，只要ADX上升到 –DI上方，就应该做多。但是当ADX保持平直且处于低位时不建议交易。只有当ADX在近期的低点处至少上升四步才建议交易。
9. +DI 升到 –DI上方，做多。
10. ADX 上升到 –DI上方，做多。
11. 当 +DI 降到 –DI下方，平多仓。

公式

计算动向指标：
1. 计算当日的运动方向：
+DM = 当日最高价 – 昨日最高价 (当价格上升)
-DM = 昨日最低价 – 当日最低价 (当价格下降)
同一天中不可能同时有+DM 和 -DM 。如果当日最高价大于昨日最高价，当日最低价低于昨日最低价，会出现两个正值，选择数值大的那个。如果当日最高价低于昨日最高价，且当日最低价高于昨日最低价，则会同时出现两个负值，结果相当于0。
2. 计算当日的真实波幅。真实波幅是下列的最大值：
当日最高价 – 当日最低价，
当日最高价 – 昨日收盘价，
昨日收盘价 – 当日最低价。
3. +DM14 = +DM指数移动平均数
4. -DM14 = -DM指数移动平均数
5. TR14 = 真实波动的指数移动平均数

接下来计算方向指标：
6. +DI14 = +DM14 除以 TR14
7. -DI14 = -DM14 除以 TR14

下面，计算ADX组成部分：
8. 计算DI区别：
记录 +DI14 和 -DI14 之差。
9. 计算DX：
DX = +DI14 与 -DI14和，除以差值
10. ADX = DX的指数移动平均数

*Welles Wilder 指标

使用Welles Wilder's指标时应该注意，Welles Wilder 并没有使用标准的指数移动平均数公式。我们推荐使用时选用较小的时间周期。比如，如果你交易30日周期，通常你可以选择15日指标周期。而动向指标周期，可以根据以下方法设置：

           动向指标的时间周期选择 = (n + 1) / 2      = (15 + 1) / 2     = 8 days

Directional Movement
The Directional Movement System is a fairly complex indicator developed by Welles Wilder and explained in his book, New Concepts in Technical Trading Systems.
Most indicators have one major weakness - they are not suited for use in both trending and ranging markets. The key feature of the Directional Movement System is that it first identifies whether the market is trending before providing signals for trading the trend.
Directional Movement System measures the ability of bulls and bears to move price outside the previous day's trading range. The system consists of three lines:
• The Positive Direction Indicator (+DI) summarizes upward trend movement;
• The Negative Direction Indicator (-DI) summarizes downward trend movement; and
• The Average Directional Movement Index (ADX) indicates whether the market is trending or ranging.
Welles Wilder does not use the standard moving average formula. This should be taken into account when selecting indicator time periods. See Welles Wilder Moving Average.
Trading Signals
A number of different trading systems have developed around Directional Movement. The following rules are based on the system presented by Dr Alexander Elder in Trading for a Living:
Go long when +DI is above -DI and either:
• ADX rises while +DI and ADX are above -DI; or
• ADX turns up from below +DI and -DI.
Exit when +DI crosses below -DI.
See ADX below for further details.
Go short when -DI is above +DI and either:
• ADX rises while -DI and ADX are above +DI; or
• ADX turns up from below +DI and -DI.
Exit when -DI crosses below +DI.
Use stop-losses at all times.
ADX:
Declining ADX shows that the market is losing direction. When ADX falls below both +DI and -DI it signals a lifeless market. Do not trade with DMS until ADX has clearly turned off the bottom. Dr Elder suggests waiting until ADX rises 4 steps off its low (e.g. ADX rises to 19 from a low of 15). The longer that ADX has remained below both +DI and -DI the stronger the subsequent trend is likely to be.
When ADX rises above both +DI and -DI it signals that the market is becoming overheated. Take profits when ADX turns downwards from above +DI and -DI.
EXAMPLE
The Commonwealth Bank of Australia Limited is plotted with 14-day   +DI,   -DI and   ADX.
1. -DI crosses to above +DI so trade only short.
2. Go short when ADX rises above +DI.
3. Take profits when ADX turns down while above +DI and -DI.
Exit short trade and trade only long as +DI has crossed to above -DI.
4. Go long as ADX starts rising while above -DI.
5. Take profits when ADX turns down while above +DI and -DI.
6. Exit long trade and trade only short as -DI has crossed to above +DI.
ADX continues to fall so there are no trades.
7. Trade only long as +DI has crossed to above -DI.
ADX turns up while below +DI and -DI, but does not rise by the recommended 4 steps, so no trade is entered.
8. One view is that you should go long whenever ADX rises above -DI, but ADX has remained very low and flat and it would be advisable not to trade until ADX has risen by at least 4 steps above its recent low.
9. Trade only long as +DI has crossed to above -DI.
10. Go long when ADX rises above -DI.
11. Exit long trade when +DI falls below -DI.
Setup
The default Directional Movement System uses 14 day smoothing. This is not equivalent to a 14 day EMA. Clickhere for details.
Edit Indicator Settings explains how to alter the default settings. Indicator Panel shows how to set up an indicator.
Formula
To calculate the Directional Movement System:
1. Calculate the Directional movement for today
+DM = Today's High - Yesterday's High (when price moves upward)
-DM = Yesterday's Low - Today's Low (when price moves downward)
You cannot have both +DM and -DM on the same day. If there is an outside day (where both calculations are positive) then the larger of the two results is taken. An inside day (where both calculations are negative) will always equal zero.
2. Calculate the true range for the day. True range is the largest of:
Today's High - Today's Low,
Today's High - Yesterday's Close, and
Yesterday's Close - Today's Low
3. +DM14 = exponential moving average* of +DM
4. -DM14 = exponential moving average* of -DM
5. TR14 = exponential moving average* of True Range

Next, calculate the Directional Indicators:
6. +DI14 = +DM14 divided by TR14
7. -DI14 = -DM14 divided by TR14

Then, calculate the components of the Average Directional Movement Index (ADX):
8. Calculate the DI Difference:
Record the difference between +DI14 and -DI14 as a positive number.
9. Calculate the Directional Index (DX):
DX = DI Difference divided by the sum of +DI14 and -DI14
10. ADX = the exponential moving average* of DX
*Welles Wilder's Indicators
Users should beware, when setting time periods for Welles Wilder's indicators, that he does not use the standard exponential moving average formula. See wilder moving averages
We recommend that users try shorter time periods when using one of the above indicators. For example, if you are tracking a 30-day cycle you would normally select a 15-day Indicator Time Period. With the Directional Movement, adjust the time period as follows:
           Directional Movement time period = (n + 1) / 2      = (15 + 1) / 2     = 8 days

文章翻译由兄弟财经提供

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