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2011.06.28 11:32
Indicators

Stochastic Momentum Blau_SM - indicator for MetaTrader 5

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blau_sm.mq5 (7.4 KB)view
\MQL5\Include\

Author: Andrey N. Bolkonsky

Stochastic Momenum (Stochastic Momentum, SM) by William Blau (see Momentum, Direction, and Divergence: Applying the Latest Momentum Indicators for Technical Analysis).

The q-period Stochastic Momentum is defined as a distance of the current close from the midpoint of q bars.

  • The value of Stochastic Momentum indicates the distance between the midpoint of q-period price range.
  • The sign of Stochastic Momentum indicates the price position relative to the midpoint of price range: the positive values if the price is higher than midpoint, the negative if the price is lower than midpoint of price range.

Definition of Stochastic Momentum by William Blau

Definition of Stochastic Momentum by William Blau

  • WilliamBlau.mqh must be placed in terminal_data_folder\MQL5\Include\
  • Blau_SM.mq5 must be placed in terminal_data_folder\MQL5\Indicators\

Stochastic Momentum by William Blau

Calculation:

The formula for calculation of q-period Stochastic Momentum is following:

sm(price,q) = price - 1/2 * [LL(q) + HH(q)]

where:

  • price - close price;
  • q - number of bars, used in calculation of Stochastic Momentum;
  • LL(q) - minimal price (q bars);
  • HH(q) - maximal price (q bars);
  • 1/2*[LL(q)+HH(q)] - midpoint of the q-period price range.

The smoothed q-period Stochastic Momentum is calculated by formula:

SM(price,q,r,s,u) = EMA(EMA(EMA(sm(price,q),r),s),u)

where:

  • price - close price;
  • q - number of bars, used in calculation of Stochastic Momentum;
  • sm(price,q)=price-1/2*[LL(q)+HH(q)] - q-period Stochastic Momentum;
  • EMA(sm(price,q),r) - 1st smoothing- exponentially smoothed moving average with period r, applied to q-period Stochastic Momentum;
  • EMA(EMA(...,r),s) - 2nd smoothing - EMA of period s, applied to result of the 1st smoothing;
  • EMA(EMA(EMA(sm(q),r),s),u) - 3rd smoothing - EMA of period u, applied to result of the 2nd smoothing.
Input parameters:
  • q - period of Stochastic Momentum (by default q=5);
  • r - period of the 1st EMA, applied to Stochastic Momentum (by default r=20);
  • s - period of the 2nd EMA, applied to result of the 1st smoothing (by default s=5);
  • u - period of the 3rd EMA, applied to result of the 2nd smoothing (by default u=3);
  • AppliedPrice - price type (by default AppliedPrice=PRICE_CLOSE).
Note:
  • q>0;
  • r>0, s>0, u>0. If r, s or u =1, smoothing is not used;
  • Min. rates =(q-1+r+s+u-3+1).

Translated from Russian by MetaQuotes Software Corp.
Original code: https://www.mql5.com/ru/code/370

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