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

Calculation:

The Candlestick Momentum Index is calculated by formula:

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).