I would like to use the ADX function (TTR package). I use the following syntax but I'm not sure if the current day prices are part of the formula.If they are then I can't use this function for prediction.Is there a way to avoid the current day prices with ADX. Here is the line of code I use:
AMZN$ADX14<-ADX(HLC(AMZN),n = 14, maType="EMA", wilder=TRUE, na.rm=TRUE)
Looking at the source code, yes the close price on a given timestamp is used in calculating the corresponding ADX value on that timestamp.
Based on your description, it seems like you want to use lag 1 values of the ADX, which you could achieve this way (for n = 6 for simplicity):
AMZN$ADX6 <- ADX(HLC(AMZN),n = 6, maType="EMA", wilder=TRUE, na.rm=TRUE)
AMZN$ADX6lag1 <- lag.xts(ADX(HLC(AMZN),n = 6, maType="EMA", wilder=TRUE, na.rm=TRUE))
head(AMZN, 13)
AMZN.Open AMZN.High AMZN.Low AMZN.Close AMZN.Volume AMZN.Adjusted DIp DIn DX ADX6 DIp.1 DIn.1 DX.1 ADX6lag1
2007-01-03 38.68 39.06 38.05 38.70 12405100 38.70 NA NA NA NA NA NA NA NA
2007-01-04 38.59 39.14 38.26 38.90 6318400 38.90 NA NA NA NA NA NA NA NA
2007-01-05 38.72 38.79 37.60 38.37 6619700 38.37 NA NA NA NA NA NA NA NA
2007-01-08 38.22 38.31 37.17 37.50 6783000 37.50 NA NA NA NA NA NA NA NA
2007-01-09 37.60 38.06 37.34 37.78 5703000 37.78 NA NA NA NA NA NA NA NA
2007-01-10 37.49 37.70 37.07 37.15 6527500 37.15 NA NA NA NA NA NA NA NA
2007-01-11 37.17 38.00 37.17 37.40 6465600 37.40 7.54711 23.32760 51.111380 NA NA NA NA NA
2007-01-12 37.36 38.21 37.27 38.20 4466400 38.20 10.33458 18.93201 29.376237 NA 7.54711 23.32760 51.111380 NA
2007-01-16 38.40 38.89 37.97 38.66 5643700 38.66 21.85520 15.50147 17.008279 NA 10.33458 18.93201 29.376237 NA
2007-01-17 38.70 39.00 37.78 37.88 5026800 37.88 16.96372 15.51769 4.451876 NA 21.85520 15.50147 17.008279 NA
2007-01-18 37.50 37.65 36.72 36.98 9105000 36.98 13.51296 30.94944 39.216234 NA 16.96372 15.51769 4.451876 NA
2007-01-19 36.69 37.48 36.60 37.02 6095900 37.02 11.40158 28.24434 42.482962 30.60783 13.51296 30.94944 39.216234 NA
2007-01-22 37.65 37.90 36.80 36.95 8317000 36.95 16.48641 22.88154 16.244505 28.21394 11.40158 28.24434 42.482962 30.60783
On timestamp 2007-01-22, you could use ADX6lag1 = 30.60783 (which was actually computed on 2007-01-19 to predict the close on that bar of 36.95.