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Indicators

Candlestick Momentum Index Blau_CMI - indicator for MetaTrader 5

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3906
Rating:
votes: 12
Published:
2011.07.11 16:42
Updated:
2016.11.22 07:32
blau_cmi.mq5 (9.92 KB)view
\MQL5\Include\

Author: Andrey N. Bolkonsky

Candlestick Momentum Index (CMI, based on Candlestick Momentum Indicator) is described by William Blau in the book "Momentum, Direction, and Divergence: Applying the Latest Momentum Indicators for Technical Analysis".

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

The values of Candlestick Momentum Indicator are normalized (by absolute values) and mapped into the [-100,+100] interval. Due to normalization, the positive values of CMI correspond the overbought states of the market, the negative values correspond to the oversold states of the market.

Candlestick Momentum Index

Candlestick Momentum Index

Calculation:

The Candlestick Momentum Index is calculated by formula:

                                             100 * EMA(EMA(EMA( cmtm(price1,pric2,q) ,r),s),u)              100 * CMtm(price1,pric2,q,r,s,u)
CMI(price1,price2,q,r,s,u) = –––––––––
––––––––––––––––––––––––––––––––––– = ––––––––––––––––––––––––––––––––––––––––
                                               EMA(EMA(EMA( |cmtm(price1,pric2,q)| ,r),s),u)         EMA(EMA(EMA( |cmtm(price1,pric2,q)| ,r),s),u)

if EMA(EMA(EMA(|cmtm(price1,pric2,q)|,r),s),u)=0, then CMI(price1,price2,q,r,s,u)=0

where:

  • q - number of bars, used in calculation of Candlestick Momentum;
  • price1 - close price;
  • price2 - open price q bars ago;
  • cmtm(price1,pric2,q)=price1-pric2[q-1] - Candlestick Momentum;
  • |cmtm(price1,pric2,q)| - absolute value of Candlestick Momentum;
  • CMtm(price,q,r,s,u) - Triple smoothed Candlestick Momentum;
  • EMA(...,r) - 1st smoothing EMA(r), applied to:
    1. Candlestick Momentum;
    2. Absolute value of Candlestick Momentum;
  • EMA(EMA(...,r),s) - 2nd smoothing - EMA(s), applied to result of the 1st smoothing;
  • EMA(EMA(EMA(...,r),s),u) - 3rd smoothing - EMA(u), applied to result of the 2nd smoothing.
Input parameters:
  • q - number of bars, used in calculation of Candlestick Momentum (by default q=1);
  • r - period of the 1st EMA, applied to Candlestick 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);
  • AppliedPrice1 - price type (by default AppliedPrice1=PRICE_CLOSE);
  • AppliedPrice2 - price type (by default AppliedPrice2=PRICE_OPEN).
Note:
  • q>0;
  • r>0, s>0, u>0. If r, s or u are equal to 1, the 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/378

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