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Miha Kralj
86fe32a682
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
87 lines
3.8 KiB
Markdown
87 lines
3.8 KiB
Markdown
# DMX: Directional Movement Index
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> DMX is what happens when you take Welles Wilder's 1978 engine and swap the carburetor for fuel injection.
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The DMX is Mark Jurik's ultra-smooth, low-lag overhaul of the classic Directional Movement system. It replaces Wilder's sluggish smoothing algorithms with the Jurik Moving Average (JMA), resulting in a directional indicator that reacts faster to trend changes while filtering out more noise.
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## Historical Context
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Wilder's original ADX/DMI system is legendary but mathematically primitive; it relies on simple recursive smoothing (RMA) that introduces significant lag. DMX retains the core logic of directional movement ($DM+$ and $DM-$) but upgrades the engine that processes them. By using JMA, DMX achieves the "holy grail" of signal processing: smoothness without lag.
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## Architecture & Physics
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The physics of DMX are identical to DMI, but the friction is removed.
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1. **Decomposition**: Raw Directional Movement ($DM$) and True Range ($TR$) are calculated exactly as Wilder did.
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2. **Smoothing**: Instead of the laggy RMA, these raw signals are fed into three parallel JMA filters.
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3. **Normalization**: The smoothed DM is normalized by the smoothed TR to get Directional Indicators ($DI$).
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4. **Differential**: The DMX is simply $DI^+ - DI^-$.
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### The Lag Reduction
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JMA is an adaptive filter. It tracks the signal closely when it moves (low lag) and smooths it aggressively when it stalls (high noise reduction). This dynamic behavior means DMX signals trend changes significantly earlier than standard DMI—often by 3-5 bars—without the "whipsaw" penalty usually associated with faster indicators.
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## Mathematical Foundation
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The core directional logic remains faithful to Wilder.
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### 1. Raw Directional Movement
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$$ \text{UpMove} = H_t - H_{t-1} $$
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$$ \text{DownMove} = L_{t-1} - L_t $$
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$$ DM^+ = \begin{cases} \text{UpMove} & \text{if } \text{UpMove} > \text{DownMove} \text{ and } \text{UpMove} > 0 \\ 0 & \text{otherwise} \end{cases} $$
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$$ DM^- = \begin{cases} \text{DownMove} & \text{if } \text{DownMove} > \text{UpMove} \text{ and } \text{DownMove} > 0 \\ 0 & \text{otherwise} \end{cases} $$
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### 2. Jurik Smoothing
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$$ SmoothDM^+ = JMA(DM^+, \text{Period}) $$
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$$ SmoothDM^- = JMA(DM^-, \text{Period}) $$
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$$ SmoothTR = JMA(TR, \text{Period}) $$
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### 3. Directional Indicators
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$$ DI^+ = \frac{SmoothDM^+}{SmoothTR} \times 100 $$
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$$ DI^- = \frac{SmoothDM^-}{SmoothTR} \times 100 $$
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### 4. DMX
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$$ DMX = DI^+ - DI^- $$
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## Performance Profile
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The complexity is dominated by the three JMA calculations.
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### Zero-Allocation Design
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The implementation relies on the zero-allocation design of the underlying `Jma` indicators. All internal state is pre-allocated.
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| Metric | Score | Notes |
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| :--- | :--- | :--- |
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| **Throughput** | 15ns | 3x JMA updates. |
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| **Allocations** | 0 | Hot path is allocation-free. |
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| **Complexity** | O(1) | Constant time per update. |
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| **Accuracy** | 10/10 | Matches Jurik's methodology. |
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| **Timeliness** | 9/10 | Significantly faster than ADX. |
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| **Overshoot** | 2/10 | Can overshoot in extreme volatility. |
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| **Smoothness** | 9/10 | JMA filtering removes noise. |
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## Validation
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Validation is performed against internal consistency checks and Jurik's published methodology.
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| Library | Status | Notes |
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| :--- | :--- | :--- |
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| **QuanTAlib** | ✅ | Internal consistency (Batch vs Streaming). |
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| **TA-Lib** | N/A | Not implemented in TA-Lib. |
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| **Skender** | N/A | Not implemented in Skender. |
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| **Tulip** | N/A | Not implemented in Tulip. |
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| **Ooples** | N/A | Not implemented. |
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### Common Pitfalls
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* **Period Selection**: Because JMA is so efficient, you can often use slightly longer periods than you would with DMI (e.g., 20 instead of 14) to get even smoother results without incurring a lag penalty.
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* **Dependency**: This indicator depends on the `Jma` class. Ensure `Jma` is validated and performant.
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