Refactors AverageDirectionalIndex and AverageDirectionalMovementIndexRating #2667
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AlexCatarino
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…Rating - Fixes `TrueRange` computation: it was not using the H-L range; - Fixes `SmoothedDirectionalMovementMinus` that used a constant value instead of the defined period; - Use a `WilderMovingAverage` to compute ADX based on DX. - Fixes `AverageDirectionalMovementIndexRating` only be ready when there is enough past values. - Removes external data for `AverageDirectionalMovementIndexRating` and points to column in `AverageDirectionalMovementIndex` external data. Closes QuantConnect#2666
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AlexCatarino
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mchandschuh
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Nov 4, 2018
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Awesome stuff, might also want to include the source of the external data in the commit message (minimally in the PR description). This would allow someone else to independently verify that the data source is reputable and that the data contained herein is correct.
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@mchandschuh, I have added the source of the external data in the indicator class file and have updated the PR description to include it too. |
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Description
TrueRangecomputation: it was not using the H-L range;SmoothedDirectionalMovementMinusthat used a constant value instead of the defined period;WilderMovingAverageto compute ADX based on DX.AverageDirectionalMovementIndexRatingonly be ready when there is enough past values.AverageDirectionalMovementIndexRatingand points to column inAverageDirectionalMovementIndexexternal data.Related Issue
Closes #2666
Motivation and Context
Fix bugs in indicators.
Requires Documentation Change
No.
How Has This Been Tested?
Unit and regression tests.
Update unit tests using data from: https://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:average_directional_index_adx
Types of changes
Checklist:
bug-<issue#>-<descriptionorfeature-<issue#>-<description>