DMX - Jurik Directional Movement Index

DMX is Jurik's advanced replacement for Welles Wilder's DMI/ADX trend indicators. Traditional DMI consists of +DI, -DI (directional movement lines) and ADX (trend strength), but they suffer from noise and lag due to simplistic smoothing (Wilder's moving average). Jurik's DMX addresses this by using the ultra-low-lag Jurik Moving Average (JMA) in place of Wilder's smoothing.

The result: DMX+ and DMX- lines that are significantly smoother than classical +DI/-DI, and a combined DMX oscillator that crosses zero to signal trend direction changes with minimal lag. In fact, DMX is so smooth that a separate ADX line becomes unnecessary – the DMX oscillator itself is both a direction and strength indicator (larger magnitude = stronger trend, sign = trend direction).

Core Concepts

JMA Smoothing: Uses Jurik Moving Average instead of Wilder's Smoothing for DM+, DM-, and TR.
Zero-Lag: JMA provides superior noise reduction with minimal lag compared to EMA/RMA.
Bipolar Oscillator: DMX is calculated as DI^+ - DI^-, resulting in a single oscillator ranging from -100 to +100.
Trend Detection:
- Positive values indicate an uptrend.
- Negative values indicate a downtrend.
- Magnitude indicates trend strength.

Parameters

Parameter	Type	Default	Description
Period	int	14	The lookback period for JMA smoothing.

Formula

Calculate Raw Directional Movement:


UpMove = High_t - High_{t-1}


DownMove = Low_{t-1} - Low_t


DM^+_{raw} = \begin{cases} UpMove & \text{if } UpMove > DownMove \text{ and } UpMove > 0 \\ 0 & \text{otherwise} \end{cases}


DM^-_{raw} = \begin{cases} DownMove & \text{if } DownMove > UpMove \text{ and } DownMove > 0 \\ 0 & \text{otherwise} \end{cases}

Calculate True Range:


TR_{raw} = \max(High_t - Low_t, |High_t - Close_{t-1}|, |Low_t - Close_{t-1}|)

Smooth with JMA:


DM^+_{smooth} = JMA(DM^+_{raw}, Period)


DM^-_{smooth} = JMA(DM^-_{raw}, Period)


ATR_{smooth} = JMA(TR_{raw}, Period)

Calculate Directional Indicators:


DI^+ = 100 \times \frac{DM^+_{smooth}}{ATR_{smooth}}


DI^- = 100 \times \frac{DM^-_{smooth}}{ATR_{smooth}}

Calculate DMX:
```
DMX = DI^+ - DI^-
```

C# Implementation

Standard Usage

using QuanTAlib;

var dmx = new Dmx(14);
var bars = new TBarSeries(); 
// ... add bars ...

foreach(var bar in bars) {
    var result = dmx.Update(bar);
    Console.WriteLine($"DMX: {result.Value}");
}

Batch Processing

var dmx = new Dmx(14);
var resultSeries = dmx.Update(bars);

Interpretation

Crossover: DMX crossing above 0 signals a potential uptrend start. Crossing below 0 signals a potential downtrend start.
Strength: Higher absolute values indicate a stronger trend. Values near 0 indicate a ranging market.
Divergence: Divergence between price and DMX can signal potential reversals.

References

Jurik Research: DMX Description

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