動向指標

動向指標是由Welles Wilder開發的一個複雜的指標，其概念在《技術交易系統新概念》一書中有所描述。大多數指標都有一個很大的弱點 - 他們不可以同時用於上升、下降趨勢中以及調整期。動向指標的主要特點是，在提供信號之前，它首先確定市場趨勢。

定向運動系統指標測量牛市和熊市對價格運動方向的推動能力。該系統由三條線組成：

• 上升指標＋DI，總結向上運動趨勢；
• 下降指標-DI，總結向下運動趨勢；
• 平均動向指數線ADX ，判斷市場處於趨勢中還是調整期。

Welles Wilder 沒有使用標準的移動平均線公式。這在選擇指標週期時應該被考慮在内。

交易信號

很多交易系統都是由動向指標發展而來。下面規則是基於Dr Alexander Elder 的《操作生涯不是夢》一書中關於交易系統的描述：

當+DI 在-DI上方做多，或者：

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

當 +DI 向下穿過 –DI平倉。

當-DI 在 +DI 上方，做空，或者：

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

當-DI 向下穿過 +DI平倉。止損必不可少。

平均動向指數線:

ADX下降愛那個說明市場正在失去方向。當ADX降到 +DI 和 –DI下方說明市場毫無生氣。Dr Elder建議我們至少要等ADX向上升四步之後再交易（比如，ADX從15的低點上升到19）。ADX在+DI 和 –DI下方時間越長，接下來的趨勢就會越強。當ADX上升到+DI 和 –DI的上方，說明市場過熱。此時，當ADX向下走時，獲利平倉。

示例：

澳洲聯邦銀行股票與14日   +DI,   -DI 和    ADX。

1. -DI 上穿 +DI ，做空。
2. ADX 上升到 +DI上方，做空。
3. 當ADX 趨勢向下，但位於+DI 和 –DI上方，獲利平倉。
+DI 向上穿過 –DI時，做多。
4. ADX開始上升，並且位於-DI上方時做多。
5. ADX趨勢向下，但位於+DI 和 -DI 上方，獲利平倉。
6. -DI 向上穿過 +DI，做空。
ADX 持續下降，所以不宜交易。
7. +DI 向上穿過 –DI，做多。
ADX 上升，但位於 +DI 和 –DI下方，但是沒有上升推薦的四步，所以，不下單。
8. 一種觀點是，只要ADX上升到 –DI上方，就應該做多。但是當ADX保持平直且處於低位時不建議交易。只有當ADX在近期的低點處至少上升四步才建議交易。
9. +DI 升到 –DI上方，做多。
10. ADX 上升到 –DI上方，做多。
11. 當 +DI 降到 –DI下方，平多倉。

公式

計算動向指標：
1. 計算當日的運動方向：
+DM = 當日最高價 – 昨日最高價 (當價格上升)
-DM = 昨日最低價 – 當日最低價 (當價格下降)
同一天中不可能同時有+DM 和 -DM 。如果當日最高價大於昨日最高價，當日最低價低於昨日最低價，會出現兩個正值，選擇數值大的那個。如果當日最高價低於昨日最高價，且當日最低價高於昨日最低價，則會同時出現兩個負值，結果相當於0。
2. 計算當日的真實波幅。真實波幅是下列的最大值：
當日最高價 – 當日最低價，
當日最高價 – 昨日收盤價，
昨日收盤價 – 當日最低價。
3. +DM14 = +DM指數移動平均數
4. -DM14 = -DM指數移動平均數
5. TR14 = 真實波動的指數移動平均數

接下來計算方向指標：
6. +DI14 = +DM14 除以 TR14
7. -DI14 = -DM14 除以 TR14

下面，計算ADX組成部分：
8. 計算DI區別：
記錄 +DI14 和 -DI14 之差。
9. 計算DX：
DX = +DI14 與 -DI14和，除以差值
10. ADX = DX的指數移動平均數

*Welles Wilder 指標

使用Welles Wilder's指標時應該註意，Welles Wilder 並沒有使用標準的指數移動平均數公式。我們推薦使用時選用較小的時間週期。比如，如果你交易30日週期，通常你可以選擇15日指標週期。而動向指標週期，可以根據以下方法設置：

           動向指標的時間週期選擇 = (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

文章翻譯由兄弟財經提供

本文來源：http://www.incrediblecharts.com/indicators/directional_movement.php