new indicators

lib/oscillators/Smi.cs

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+using System.Runtime.CompilerServices;
+namespace QuanTAlib;
+
+/// <summary>
+/// SMI: Stochastic Momentum Index
+/// A double-smoothed momentum indicator that shows where the close is relative
+/// to the midpoint of the recent high/low range. It helps identify overbought
+/// and oversold conditions with higher accuracy than traditional stochastics.
+/// </summary>
+/// <remarks>
+/// The SMI calculation process:
+/// 1. Calculate median price distance (Close - (High + Low)/2)
+/// 2. Calculate highest high and lowest low over period
+/// 3. First smoothing of median distance and range
+/// 4. Second smoothing of first smoothed values
+/// 5. Scale to percentage (-100 to +100)
+///
+/// Key characteristics:
+/// - Oscillates between -100 and +100
+/// - Double smoothing reduces noise
+/// - Traditional overbought level at +40
+/// - Traditional oversold level at -40
+/// - Centerline crossovers signal trend changes
+///
+/// Formula:
+/// D = Close - (High + Low)/2
+/// HL = Highest High - Lowest Low
+/// First smoothing:
+///   SD = EMA(EMA(D, period1), period2)
+///   SHL = EMA(EMA(HL, period1), period2)
+/// SMI = 100 * (SD / (SHL/2))
+///
+/// Sources:
+///     William Blau - "Momentum, Direction, and Divergence" (1995)
+///     https://www.tradingview.com/scripts/stochasticmomentumindex/
+///
+/// Note: Default periods (10,3,3) are commonly used values
+/// </remarks>
+[SkipLocalsInit]
+public sealed class Smi : AbstractBase
+{
+    private readonly CircularBuffer _highs;
+    private readonly CircularBuffer _lows;
+    private readonly Ema _dEma1;
+    private readonly Ema _dEma2;
+    private readonly Ema _hlEma1;
+    private readonly Ema _hlEma2;
+    private const int DefaultPeriod = 10;
+    private const int DefaultSmooth1 = 3;
+    private const int DefaultSmooth2 = 3;
+    private const double ScalingFactor = 100.0;
+
+    /// <param name="period">The lookback period (default 10).</param>
+    /// <param name="smooth1">First smoothing period (default 3).</param>
+    /// <param name="smooth2">Second smoothing period (default 3).</param>
+    /// <exception cref="ArgumentOutOfRangeException">Thrown when any period is less than 1.</exception>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Smi(int period = DefaultPeriod, int smooth1 = DefaultSmooth1, int smooth2 = DefaultSmooth2)
+    {
+        if (period < 1)
+            throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than 0");
+        if (smooth1 < 1)
+            throw new ArgumentOutOfRangeException(nameof(smooth1), "Smooth1 must be greater than 0");
+        if (smooth2 < 1)
+            throw new ArgumentOutOfRangeException(nameof(smooth2), "Smooth2 must be greater than 0");
+
+        _highs = new(period);
+        _lows = new(period);
+        _dEma1 = new(smooth1);
+        _dEma2 = new(smooth2);
+        _hlEma1 = new(smooth1);
+        _hlEma2 = new(smooth2);
+        WarmupPeriod = period + smooth1 + smooth2;
+        Name = $"SMI({period},{smooth1},{smooth2})";
+    }
+
+    /// <param name="source">The data source object that publishes updates.</param>
+    /// <param name="period">The lookback period.</param>
+    /// <param name="smooth1">First smoothing period.</param>
+    /// <param name="smooth2">Second smoothing period.</param>
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    public Smi(object source, int period = DefaultPeriod, int smooth1 = DefaultSmooth1, int smooth2 = DefaultSmooth2)
+        : this(period, smooth1, smooth2)
+    {
+        var pubEvent = source.GetType().GetEvent("Pub");
+        pubEvent?.AddEventHandler(source, new BarSignal(Sub));
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void ManageState(bool isNew)
+    {
+        if (isNew)
+        {
+            _highs.Add(BarInput.High);
+            _lows.Add(BarInput.Low);
+            _index++;
+        }
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining | MethodImplOptions.AggressiveOptimization)]
+    protected override double Calculation()
+    {
+        ManageState(BarInput.IsNew);
+
+        // Calculate median price distance and range
+        double midpoint = (BarInput.High + BarInput.Low) / 2.0;
+        double distance = BarInput.Close - midpoint;
+        double range = _highs.Max() - _lows.Min();
+
+        // First smoothing
+        double smoothD1 = _dEma1.Calc(new TValue(BarInput.Time, distance, BarInput.IsNew));
+        double smoothHL1 = _hlEma1.Calc(new TValue(BarInput.Time, range, BarInput.IsNew));
+
+        // Second smoothing
+        double smoothD2 = _dEma2.Calc(new TValue(BarInput.Time, smoothD1, BarInput.IsNew));
+        double smoothHL2 = _hlEma2.Calc(new TValue(BarInput.Time, smoothHL1, BarInput.IsNew));
+
+        // Calculate SMI
+        return smoothHL2 >= double.Epsilon ? ScalingFactor * (smoothD2 / (smoothHL2 / 2.0)) : 0;
+    }
+}