Stochastic Momentum Index Blau_SMI – indicator 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).