With RSI I've had the values match stockcharts but for some reason I just can't get ADX value to match. I've attached a simple tester where the value of ADX on back test is 57.49 on 2020-03-21 00:00:00 and stockcharts shows 47.18 (notice the period being 5 in this case). Why the difference?
I see the following discussion where I picked the code from but this should solved long a go. Is there something I'm missing?
https://www.quantconnect.com/forum/discussion/4759/adx-positivedirectionalindex/p1
Rahul Chowdhury
Hey Ville,
There can be a few things which create the discrepancy in indicator values.
First, the daily close/open prices StockCharts feeds into the indicator may be different from the data used in your ADX indicator. This depends on whether StockCharts is using the extended hours market data for its indicator. You can test if this is the case by using extended hours data
self.AddEquity(self.tcker, Resolution.Daily, Market.USA, True, 0, True)
Second, the value of the ADX indicator is not the true value of the ADX at that moment. The value of the ADX indicator asymptotically approaches its true value at a moment over time, as more data has been fed into the indicator.
You can test if this is causing the discrepancy by comparing ADX values after a long warm up period.
Ville Vainio
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