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Harvey,
Many thanks, I'll ponder the explanation this weekend. I like
the sounds of this already..I've developed my own MACD (dema)
and ever since I've been attached to the words "double
exponential". It's one those terms you drop in conversation to
make people think you know what your talking about.
With only limited "gray matter" (while also deteriorating
synapses daily), I'm more of a pattern recognition guy. You
know: "there's a moose with those horn things on it's head...it
must be male"..."the SMI has caught 7 out of 8 turns in olive
oil this year and it's turning up again, maybe I should consider
a long position".
Get enough reliable indicators, have them turn in close
proximity, and maybe with great money management principles, you
can extract a couple bucks from these markets. So now, I given
away my total trading system. My seminar career is over.
Thanks again for all the time you spent typing and supplying the
additional formula parameters. You contribution to this forum
is really appreciated.
Steve Karnish
CCT
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> From: Harvey Pearce <hhp@xxxxxxxx>
> To: metastock@xxxxxxxxxxxxx
> Subject: Re: SMI (13,25,2)
> Date: Friday, September 04, 1998 10:30 AM
>
> Steve/
>
> (This was supposed to go out last night, but the system was
down. It
> may - or may not - be of interest to others.)
>
> Are you sure you want to know? It is not a simple article to
> summarise. "Stochastic Momentum" by William Blau. SMI =
Stochastic
> Momentum Index, given symbolically as SMI(q,r,s). q is the
number of
> lookback periods; r and s aare the number of days of
exponential
> smoothing. Basically, the SMI plots the close relative to the
mid-point
> between the highest high and the lowest low. Numerator and
denominator
> both have double exponential smoothing. Blau claims very
little lag for
> the indicator.
>
> SMI(13,25,2)
> 100*(mov(mov(C-(0.5*(hhv(H,13)+llv(L,13))),25,E),2,E)/
> (0.5*mov(mov(hhv(H,13)-llv(L,13),25,E),2,E)))
>
> Updating this for MS v.6.5:
>
> q:=Input("Lookback Periods?",1,1000,13);
> r:=Input("First EMA Periods?",1,100,25);
> sm:=Input("Second EMA Periods?",1,100,2);
> 100*(mov(mov(C-(0.5*(hhv(H,q)+llv(L,q))),r,E),sm,E)/
> (0.5*mov(mov(hhv(H,q)-llv(L,q),r,E),sm,E)))
>
> SMI(13,25,2) "The basic configuration of the stochastic
momentum index
> is ... for a q=13-day lookback with EMA smoothings of 25 and
two days
> respectively. The indicator maps into a corresponding range
of from
> -100 to =100 on its scale. Prices are considered to be at
"high" levels
> when the indicator is above its threshold overbought line
(here set at
> +40). Prices are said to be at "low" levels when the
indicator is below
> its threshold oversold line (here set at -40). The signal
line ... is
> the EMA of SMI(q,r,s). It is normally in the range of three
to 12
> bars. When the SMI is above its signal line, a price uptrend
is
> indicated; a downtrend is defined when the SMI is below its
signal
> line."
>
> SMI(20,20,1) "The stochastic momentum index now appears to
trend as
> prices trend." ... "The slow stochastic may now be used as an
entry (or
> exit) vehicle for trading with the stochastic momentum index
defining
> the trend of prices."
> SMI(20,60,1) "Note the smoothness of the SMI due to increased
smoothing
> [of] an EMA of 60 days with essentially very little lag
introduction of
> the major turning points."
>
> SMI(2,300,1) "Comparison with the price chart ... reveals it
to be an
> excellent stand-in for price".
> SMI(2,20,20) "The curve is observed to be timely, low lag,
with access
> to major turning points in prices. The overbought and
oversold
> thresholds here are set at plus and minus 20, respectively.
Generally,
> a buy is indicated for the SMI crossing above its signal line;
a sell is
> indicated for the SMI crossing from above to below its signal
line".
>
> "The one-day stochastic is sensitive to the location of the
close
> relative to the high and low of the day. This characteristic
is useful
> as a sentiment, or trend identification, indicator."
> SMI(1,100,20) "The one-bar stochastic ... gives more of a
sense of the
> overall direction of the market. Often, the one-bar
stochastic may be
> used as a direct trading vehicle signaling major turning
points on a
> smooth and timely basis."
> SMI(1,40,20) "A TSI [True Strength Index] (close,40,20) curve
is
> included for comparison. The TSI curve tracks the
close-to-close prices
> and is greatly affected by the gap opening. The one-bar
stochastic is
> unaffected by the gap opening continuing to rise from one day
to the
> next."
>
> There were several comparisons of the SMI with the True
Strength Index
> (don't ask) which Blau had introduced a couple of years
earlier.
>
> Now aren't you sorry you asked? I'll pass on the moose: we
have
> politicians like that.
>
> Harvey Pearce, Victoria, B.C., Canada
> =====================================
>
>
> Steve Karnish wrote:
> >
> > List,
> >
> > I picked up this indicator and have been working it for the
last
> > month. Maybe it came from support at Equis (don't know for
> > sure). Anyway, the "SMI" was discussed in an article in
January
> > 1993's TASC. Can anyone tell me the name of the indicator
(for
> > ten points) and the concept behind it (bonus ten points).
First
> > one to identify the answers wins a stay at my
mother-in-laws:
> > "Rolling Hills Bed and Breakfast" and when you get here
> > (somewhere in northern Idaho), you get to pet a moose (but
be
> > careful...they're the postal workers of the animal kingdom).
> > Attached is the SMI (13,25,2) and December Silver. This is
> > really bugging me!
> >
> > Steve Karnish
> > CCT
> >
> >
-----------------------------------------------------------------
-------
> >
> > Name: DecSilSMI.gif
> > DecSilSMI.gif Type: GIF Image (image/gif)
> > Encoding: base64
> > Description: DecSilSMI (GIF Image)
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