Stochastic Momentum Index

S&P 500SP

Beskrivning

⋅ 15 jan 2017 15:01

Stochastic Momentum Index
William Blau "Momentum, Direction, and Divergence",
John Wiley and Sons, Inc. 1995, ISBN 0-471-02729-4, page 29:

SM(q) = close - 0.5*(HH(q) + LL(q))
SMI(q, r, s) = 100*(EMA(EMA(SM(q), r)), s)/(0.5*EMA(EMA(HH(q)-LL(q)), r), s)

SMI

Kommentarer

syracusepro

⋅ 16 jan 2017 18:08

Any way of finding the highest high and lowest low of the this SMI and or SMISignals? Thanks.

peterdv

⋅ 19 jan 2017 07:18

@syracusepro, I have a feeling that I might misunderstand Your question, but here we go:

SMI and SMISinal are both by definition bound to the interval -100 to 100.

If You are seeking a way to implement a calculation of the highest high in the recent past, say u samples, this could be implemented similar to lines 17 and 18 - something like (I have not tested this code): "hhSMI = highest(SMI, u)".

syracusepro

⋅ 19 jan 2017 15:17

@peterdv, Thanks a lot.

Mer