Stochastic Momentum Index Blau_SMI - indicatore per MetaTrader 5

Author: Andrey N. Bolkonsky

Stochastic Momentum Index (SMI) by William Blau is based on Stochastic Momentum Indicator (see Momentum, Direction, and Divergence: Applying the Latest Momentum Indicators for Technical Analysis).

Stochatic Momentum Index is normalized (to half of q-period price range) and mapped into the [–100,+100] interval. The values of SMI is interpreted as overbought (positive) and oversold (negative) states of the market.

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

Calculation:

Stochastic Momentum Index is calculated by formula:

where:

• price - close price;
• LL(q) - minimal price (q bars);
• HH(q) - maximal price (q bars);
• sm(price,q)=price-1/2*[LL(q)+HH(q)] - q-period Stochastic Momentum;
• SM(price,q,r,s,u) - triple smoothed q-period Stochastic Momentum;
• HH(q)-LL(q) - q-period price range;
• 1/2*[LL(q)+HH(q)] - midpoint of q-period price range;
• 1/2*[HH(q)-LL(q)] - half of q-period price range;
• EMA(...,r) - 1st smoothing- exponentially smoothed moving average with period r, applied to:
  • to the Stochastic Momentum;
  • to the half of q-period price range;
• EMA(EMA(...,r),s) - 2nd smoothing - EMA of period s, applied to result of the 1st smoothing;
• EMA(EMA(EMA(...,r),s),u) - 3rd smoothing - EMA of period u, applied to result of the 2nd smoothing.

Input parameters:

• q - period, used for the calculation of Stochastic Momentum (by default q=5);
• r - period of the 1st EMA, applied to stochastic (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).