IntradayMomentumIndex — Intraday Momentum Index

RSI computed on open-to-close moves instead of close-to-close: it aggregates candle bodies rather than bar-to-bar changes, so overnight gaps do not enter the calculation at all. On a gappy instrument the two can disagree sharply, and that disagreement is the point.

Signature

IntradayMomentumIndex(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Window. Default 14, bounds 1–400.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads open and close.

Formula

$$ \text{IMI} = 100,\frac{\sum (C - O)^{+}}{\sum (C - O)^{+} + \sum (O - C)^{+}} $$

Warmup

period bars; 50 on a window with no movement at all.

Reading the value

imi.value
imi < 30
imi.crossed_above(50)

Example

class ImiReversion(Strategy):
    """Fade an intraday-momentum washout."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        imi = IntradayMomentumIndex(14, on=self.trade)
        if imi.value < 30 and self.trade.is_flat:
            self.buy(self.trade, reason=f"IMI {imi.value:.0f}")
        if imi.value > 70 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="IMI overbought")

Notes

• Tushar Chande’s Intraday Momentum Index.
• Uses simple sums rather than Wilder smoothing, matching the original definition.