Stochastic Momentum Index (SMI)

Created by William Blau, the Stochastic Momentum Index (SMI) oscillator is a double-smoothed variant of the Stochastic Oscillator, depicted on a scale from -100 to 100. [Discuss] 💬

// C# usage syntax (standard)
IReadOnlyList<SmiResult> results =
  bars.ToSmi(lookbackPeriods, firstSmoothPeriods,
                 secondSmoothPeriods, signalPeriods);

Parameters

param	type	description
lookbackPeriods	int	Lookback period (N) for the stochastic. Must be greater than 0. Default is 13.
firstSmoothPeriods	int	First smoothing factor lookback. Must be greater than 0. Default is 25.
secondSmoothPeriods	int	Second smoothing factor lookback. Must be greater than 0. Default is 2.
signalPeriods	int	EMA of SMI lookback periods. Must be greater than 0. Default is 3.

Historical price bars requirements

You must have at least N+100 periods of bars to cover the warmup and convergence periods.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IReadOnlyList<SmiResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• It does not return a single incremental indicator value.
• The first N-1 periods will have null SMI values since there's not enough data to calculate.

🚩 ⚞ Convergence warning

The first N+100 periods will have decreasing magnitude, convergence-related precision errors that can be as high as ~5% deviation in indicator values for earlier periods.

SmiResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
Smi	double	Stochastic Momentum Index (SMI)
Signal	double	Signal line: an Exponential Moving Average (EMA) of SMI

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

Results can be further processed on Smi with additional chain-enabled indicators.

// example
var results = bars
    .ToSmi(..)
    .ToSlope(..);

This indicator must be generated from bars and cannot be generated from results of another chain-enabled indicator or method.

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

SmiList smiList = new(lookbackPeriods, firstSmoothPeriods,
                 secondSmoothPeriods, signalPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  smiList.Add(bar);
}

// based on `ICollection<SmiResult>`
IReadOnlyList<SmiResult> results = smiList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
SmiHub observer = barHub.ToSmiHub(lookbackPeriods, firstSmoothPeriods,
                 secondSmoothPeriods, signalPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<SmiResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.