SMIErgodic — SMI Ergodic

Blau’s ergodic oscillator: the True Strength Index construction, presented on its natural −1 to +1 scale with the signal line as the primary read. Shorter defaults than TSI, so it turns sooner and whipsaws more.

Signature

SMIErgodic(long_period, short_period, signal_period, on=<source>)

Argument	Type	Required	Notes
long_period	int Param or literal	Yes	First smoothing. Default 20, bounds 1–200.
short_period	int Param or literal	Yes	Second smoothing. Default 5, bounds 1–200.
signal_period	int Param or literal	Yes	EMA of the oscillator. Default 5, bounds 1–200.
on=	symbol, OHLCV field, or indicator	No	Source. Defaults to the trade symbol’s close.

Formula

$$ \text{Ergodic} = \frac{\text{EMA}(\text{EMA}(\Delta C, r), s)}{\text{EMA}(\text{EMA}(|\Delta C|, r), s)} $$

Identical to TSI without the ×100.

Warmup

Converges over roughly 3 × long_period bars.

Reading the value

erg.ergodic
erg.signal
erg.ergodic > erg.signal

Multi-value: cannot be chained onto or crossed.

Example

class ErgodicCross(Strategy):
    """Trade the ergodic/signal crossover."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        erg = SMIErgodic(20, 5, 5, on=self.trade)
        if erg.ergodic > erg.signal and self.trade.is_flat:
            self.buy(self.trade, reason="Ergodic above signal")
        if erg.ergodic < erg.signal and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Ergodic below signal")

Notes

• William Blau, Momentum, Direction, and Divergence (1995).
• Proven by an assert-via-trade run on SPY daily (tracked the independent TSI replication within the expected band once warm; zero alarm trades).
• Multiply by 100 to compare directly with TSI.