Ehlers continues here his exploration of the application of Hann windowing to conventional trading indicators.
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The rolling length can be modified in the script's inputs, as well as the width of the line.
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Calculations The calculation starts with the classic definition of PlusDM and MinusDM. These directional movements are summed in an exponential moving average (EMA). Then, this EMA is further smoothed in a finite impulse response (FIR) filter using Hann window coefficients over the calculation period.
Background The DMI and ADX indicators were designed by J. Welles Wilder and presented in his "New Concepts in Technical Trading Systems" book published in 1978.