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persistable sclass ADX extends CandleBasedIndicator {
// For first phase
new Average initialAverage;
// For second phase
settable SmoothedMovingAverage sma;
settable double upMove = Double.NaN;
settable double downMove = Double.NaN;
settable double plusDM = Double.NaN;
settable double minusDM = Double.NaN;
// ATR value
settable double atr = Double.NaN;
// ATR values collected as ticker
gettable TickerSequence atrHistory = new TickerSequence("ATR");
Double value() { ret atr(); }
*(int *length) {}
{
length = 14;
onCandleAdded((IVF1) candle -> {
if (candles().size() < 2) ret;
var today = candle;
var yesterday = candles().nextToLast();
upMove(today.high()-yesterday.high());
downMove(yesterday.low()-today.low());
plusDM(upMove > downMove && upMove > 0 ? upMove : 0);
minusDM(downMove > upMove && downMove > 0 ? downMove : 0);
tr(trueRange(ll(candles().nextToLast(), candles().last())));
if (initialAverage.count() < length())
ret with initialAverage.add(tr);
if (sma == null) {
sma(new SmoothedMovingAverage(length()));
sma().add(initialAverage!);
} else
sma().add(tr);
atr(sma()!);
long time = candle.endTime().toLong();
atrHistory?.addIfPriceChanged(atr, time);
});
}
TickerSequence asTicker(L candles) {
feed(candles);
ret atrHistory;
}
void reset :: after {
resetFields(this, "initialAverage sma tr atr atrHistory");
}
}