ADX (Average Directional movement indeX)

The average directional movement index (ADX) was developed in 1978 by J. Welles Wilder as an indicator of trend strength in a series of prices of a financial instrument. ADX has become a widely used indicator for technical analysts, and is provided as a standard in collections of indicators offered by various trading platforms.

The ADX is a combination of two other indicators developed by Wilder, the positive directional indicator (abbreviated +DI) and negative directional indicator (-DI). The ADX combines them and smooths the result with an exponential moving average.

To calculate +DI and −DI, one needs price data consisting of high, low, and closing prices each period (typically each day).

http://en.wikipedia.org/wiki/Average_directional_index