Candlestick Index Blau_CSI – indicator MetaTrader 5

Author: Andrey N. Bolkonsky

Candlestick Index (CSI, 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”.

The values of Candlestick Index are normalized (price range) and mapped into the [–100,+100] interval. The positive values of CSI correspond to overbought states of the market, the negative values correspond to the oversold states of the market.

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

Candlestick Index by Wiliam Blau

Calculation:

Candlestick Index is calculated by formula:

when:

• q – number of bars, used in calculation of q-period Candlestick Momentum;
• price1 – close price;
• price2 – open price q bars ago;
• cmtm(price1,pric2,q)=price1-price2[q-1] – q-period Candlestick Momentum;
• LL(q) – lowest price (q bars);
• HH(q) – highest price (q bars);
  
• HH(q) – LL(q) – Price Range (q-bars);
• CMtm(price1,pric2,q,r,s,u) – triple smoothed Candlestick Momentum;
• EMA(…,r) – 1st smoothing – EMA(r), applied to:
  
  1. Candlestick Momentum (q bars);
  2. Price Range (q bars);
• 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(r), applied to Candlestick Momentum(by default r=20);
• s – period of the 2nd EMA(s), applied to result of the 1st smoothing (by default s=5);
• u – period of the 3rd EMA(u), 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, smoothing is not used;
• Min. rates = (q-1+r+s+u-3+1).