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8.9 Directional Moving Index

The Directional Movement Index (DMI) is a trend-following indicator developed by J.

Welles Wilder, Jr., designed to determine whether a security is in a trending or nontrending

market. Since the market is in a strong trend only about 30% of the time

and in sideways about 70% of the time, this indicator is used to capture the period

when the market shows significant trending or directional behavior.

The calculation of the DMI is fairly complex and consists of three lines:

DMI

+DI: current positive directional index, the range of highs divided

by the price range over the last day and previous close, smoothed

over a given number of periods.

-DI: current negative directional index, the range of lows divided

by the price range over the last day and previous close, smoothed

over a given number of periods.

ADX: modified moving average of the difference of +DI and -DI

divided by the sum of +DI and -DI, multiplied by 100.

UpTrend:

􀂃 ADX > 30 the higher the better

􀂃 +DI > -DI

DownTrend:

􀂃 ADX > 30 the higher the better

􀂃 -DI > +DI