Abbreviation: DMI VolWgtAvg Diff
Category: Price Momentum Indicators: Smoothed
Input Parameters:

 
Calculation:

VolWgtAvg(X, Volume, VolWgtAvg1 Periods) – VolWgtAvg(X, Volume, VolWgtAvg2 Periods)

where
X = DMI(High Price, Low Price, Closing Price, DMI Periods)

DMI represents Directional Movement Index (DMI)
VolWgtAvg represents Volume Weighted Moving Average

 
Discussion:

This indicator attempts to quantify movements in the Directional Movement Index indicator by calculating the difference between two moving averages. Since it uses volume weighted moving averages (which give more importance to those periods with higher volume relative to the other periods in the moving average’s time frame), the indicator tends to focus more upon movement between periods of relatively higher volume than between periods of relatively lower volume.
Difference between NeuroShell’s DMI indicator and Wilder’s Original DMI:

Note that NeuroShell’s DMI indicator is based upon TradeStation’s DMI implementation and is therefore different from Wilder’s original. The DMI uses an exponential moving averages (EMA). NeuroShell Trader’s EMA period has a different meaning as compared to Wilder’s original EMA period, because Wilder used a different type of EMA. Here is how they relate to each other:

NeuroShell Trader’s EMA period = Wilder’s EMA period * 2 – 1 

This applies to the DMI Periods parameter.

For example, suppose you want to match Wilder’s indicator using two periods of 14 bars each. To be able to re-create the results in NeuroShell Trader, you should use 14*2-1=27 bar periods for the DMI periods.

NeuroShell Trader’s version of DMI matches Wilder’s when you use (Wilder’s EMA period * 2 – 1) value for the period parameter.