ADXTrend

Description

The ADXTrend strategy is based on the trend-following indicator Average Directional Index (ADX). Values of this indicator are interpreted by the strategy as follows:

ADX values being greater than both a lower threshold (crit level in the input parameters) and its own lowest value times a multiplier are read as indication of trend development;
ADX values being greater than a higher threshold level (trend level in the input parameters) but lower than the maximum level are interpreted as strong trending conditions;

If either of these conditions is true and close price rises above its own moving average, a simulated buy-to-open order is added. In the same conditions, a simulated sell-to-open order is added should the close price fall below the average.

Simulated exit orders are added based on crossovers of the close price plot with its moving average: when the close price crosses below the average, a simulated sell-to-close order is added; when it crosses above - the simulation of buy-to-close takes place.

Input Parameters

`length`	Defines the period for the calculation of the Average Directional Index (ADX).
`lag`	Defines the period upon which the lowest ADX value is to be found (used in checking for trend development).
`average length`	Defines the period for the calculation of the moving average.
`trend level`	Defines the minimum ADX level at which strong trending conditions are recognized.
`max level`	Defines the maximum ADX level at which strong trending conditions are recognized.
`crit level`	Defines the minimum ADX level at which trend development is recognized.
`mult`	Defines the multiplier used in checking for trend development.
`average type`	The type of moving average to be used in calculations: simple, exponential, weighted, Wilder's, or Hull.

ADXTrend

Description

Input Parameters

Further Reading