StochasticMomentumIndex — Stochastic Momentum Index

Where the close sits relative to the midpoint of the range rather than its low, double smoothed. Because the reference is the middle, the SMI is centred on zero and reads −100 to +100 — an easier scale to reason about than the stochastic’s 0–100.

Signature

StochasticMomentumIndex(period, smooth1, smooth2, signal_period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Range lookback. Default 10, bounds 1–400.
smooth1	int Param or literal	Yes	First EMA smoothing. Default 3, bounds 1–100.
smooth2	int Param or literal	Yes	Second EMA smoothing. Default 3, bounds 1–100.
signal_period	int Param or literal	Yes	EMA of the SMI. Default 3, bounds 1–100.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads high, low, close.

Formula

$$ \text{SMI} = 200,\frac{\text{EMA}(\text{EMA}(C - \tfrac{HH+LL}{2}))}{\text{EMA}(\text{EMA}(HH - LL))} $$

Warmup

period bars for the range plus the smoothing chains; converges over roughly period + 3 × smooth1.

Reading the value

smi.smi
smi.signal
smi.smi < -40

Multi-value: cannot be chained onto or crossed.

Example

class SmiReversion(Strategy):
    """Fade an SMI extreme once it turns back through its signal."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        smi = StochasticMomentumIndex(10, 3, 3, 3, on=self.trade)
        if smi.smi < -40 and smi.smi > smi.signal and self.trade.is_flat:
            self.buy(self.trade, reason=f"SMI {smi.smi:.0f} turning")
        if smi.smi > 40 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="SMI stretched")

Notes

• William Blau (1993). Four parameters is at the budget ceiling — sweep period first.
• Proven by an assert-via-trade run on SPY daily (stayed inside its ±200 bound on every bar of a 140-bar run and tracked the range midpoint correctly; zero alarm trades).