Average Directional Index seems to be slightly off

[op1031]

Hi Dave,

First, thank you for your contribution to this project. I am excited to find this time-saving project a couple of weeks ago.
The issue I am submitting has to do with Average Directional Index (ADX). I notice that it is somewhat off when I compare it with tradingview's ADX/DMI indicator.

For example, on 2000-11-27, the Skender ADX indicator shows
ADX=30.1245
+DI=16.898
-DI=30.579

On the same day, TradingView indicator shows
ADX=30.4113
+DI=16.9263
-DI=30.6871

Could you check if this is a bug?

Thank you,

[DaveSkender]

I’ll take a look. Are you able to confirm that the historical quote data used in both is the same? Some providers will adjust differently for splits and dividends, which would produce slightly different results. Also, make sure you are providing at least 250 points of quote history prior to the measured date in the GetAdx call. In your example, your history should start before January 2000. This algorithm uses a convergence method that increases in precision when more history is provided; if you only provided the minimum required history before that evaluation date, precision will be off a bit.

[DaveSkender]

I did find a minor bug with the initialization value that only had small precision impacts on the initialization period values. This bug did not impact the accuracy of values after the initialization period. I also increased the minimum required history from 2×N+1 to 2×N+150 to ensure users are aware of the initialization period where values are less precise and that this indicator needs more runway. Thank you for reporting.

[DaveSkender]

This fix was implemented in v1.1.1

[op1031]

Hi Dave, Thank you for the swift response and for taking the time to respond to my concern. I think you are right about the data set. I got my quotes from yahoo finance, and TradingView probably uses a different type of data source. Have a nice weekend, Alex

…

On Wed, Nov 11, 2020 at 7:54 PM Dave Skender ***@***.***> wrote: This fix was implemented in v1.1.1 — You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub <#173 (comment)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AGHPY355UP7S5R75EW6MU3LSPNL73ANCNFSM4TSNTCPA> .

[github-actions]

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