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TSI - TRUE STRENGTH Index
{As published in Dutch TAM-Jan97 issue p.10.
Plot an EMA7 as the trigger signal}
100*Mov(Mov(C-ref(C,-1),25,e),13,e)/
mov(mov(abs(c-ref(c,-1)),25,e),13,e)
Regards,
Ton Maas
Ms-IRB@xxxxxxxxx
-----Oorspronkelijk bericht-----
Van: Christian Baude <BAUDECB@xxxxxxxxxxxxx>
Aan: metastock@xxxxxxxxxxxxx <metastock@xxxxxxxxxxxxx>
Datum: dinsdag 8 september 1998 2:38
Onderwerp: Re: SMI (13,25,2)
>On Mon, 7 Sep 1998 14:58:06 -0500, Lionel wrote:
>
>>1. SMI(50,25,5)
>>
>>{January '93 TASC, modified}
>>
>>100*(Mov(Mov(C-(.5*(HHV(H,50)+LLV(L,50))),25,E),5,E) /
>>5*Mov( Mov( HHV(H,50) - LLV(L,503),25,E),5,E)))
>
>Oopps... a "typo" for those who do cut & paste!
>
>It should be 50, not 503.... and we need (0.5*Mov( ....Obvious,
>below is a clearer script... maybe I have a typo in there too<g>
>
>From my Formula Databank:
>
>Stochastic Momentum Indicator - by William Blau.
>
>SMI = Stochastic Momentum Index, given symbolically as SMI(q,r,s). q
>is the number of lookback periods; r and s are 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" was discussed in an article
>in January 1993 TASC, p 26.
>
>SMI(13,25,2) {Appeared in the Jan 93, p26 issue of Stocks &
>Commodities magazine}
>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)))
>
>SMI(50,25,5) {January '93 TASC, modified}
>100*(mov(mov(C-(0.5*(hhv(H,50)+llv(L,50))),25,E),5,E) /
>(0.5*Mov(mov(hhv(H,50)-llv(L,50),25,E),5,E)))
>
>In TradeStation:
>When SMI crosses TS at the end of a move, eg: wave 5 it is a good
>buy/sell indicator.
>
>100*(Mov( Mov( ROC(C,1,$),40,E),20,E) /
>(Mov( Abs(ROC(C,1,$)),40,E),20,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 smoothing 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.
>
>Excerpts Courtesy of: Harvey Pearce <hhp@xxxxxxxx>
>
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