QuanTAlib/lib/oscillators/imi/Imi.md

IMI: Intraday Momentum Index

Intraday momentum index applies RSI logic to candle bodies — bullish closes accumulate strength, bearish closes accumulate weakness.

Property	Value
Category	Oscillator
Inputs	OHLCV bar (TBar)
Parameters	period (default 14)
Outputs	Single series (IMI)
Output range	Varies (see docs)
Warmup	period bars
PineScript	imi.pine

• The Intraday Momentum Index measures buying and selling pressure using the open-to-close relationship within each bar, rather than the close-to-clo...
• Similar: RSI, MFI | Complementary: Volume | Trading note: Intraday Momentum Index; RSI variant using open-close relationship. Measures intrabar conviction.
• Validated against TA-Lib, Skender, and Tulip reference implementations where available.

The Intraday Momentum Index measures buying and selling pressure using the open-to-close relationship within each bar, rather than the close-to-close changes used by RSI. Each bar is classified as a gain (close > open) or loss (close < open), with the magnitude being the absolute open-close difference. Rolling sums of gains and losses over the lookback period produce an RSI-like ratio scaled to 0-100. This bridges Japanese candlestick analysis with Western oscillator theory: bullish candles contribute to the gain sum, bearish candles contribute to the loss sum. Unlike RSI, IMI does not require a previous close and uses simple rolling sums rather than exponential smoothing, making it more responsive but noisier. Output is bounded 0-100 with conventional overbought (>70) and oversold (<30) zones.

Historical Context

Tushar Chande introduced the Intraday Momentum Index in The New Technical Trader (1994), alongside innovations like the Chande Momentum Oscillator. Chande observed that traditional momentum indicators like RSI ignored the intraday price action captured by candlestick patterns. By using the open-close relationship instead of close-close changes, IMI measures a fundamentally different quantity: the directional conviction within each bar rather than the change between bars. On daily charts, the open-close relationship has clear meaning — it captures overnight positioning gaps plus session direction. The indicator is self-contained within each bar, requiring no previous bar's close, which makes it particularly clean for session-based analysis. The formula structure deliberately mirrors RSI (sum of gains over total) to provide familiar overbought/oversold levels while measuring intra-session momentum.

Architecture & Physics

1. Gain/Loss Classification

Each bar is classified based on the open-close relationship:

G_t = \begin{cases} C_t - O_t & \text{if } C_t > O_t \\ 0 & \text{otherwise} \end{cases} L_t = \begin{cases} O_t - C_t & \text{if } C_t < O_t \\ 0 & \text{otherwise} \end{cases}

Doji bars (C = O) contribute zero to both sums.

2. Rolling Sums

Simple rolling sums over the lookback window (no exponential smoothing):

\text{SumGains}_t = \sum_{i=t-N+1}^{t} G_i \text{SumLosses}_t = \sum_{i=t-N+1}^{t} L_i

Implemented with ring buffers and incremental add/subtract for O(1) per bar.

3. IMI Value

\text{IMI}_t = 100 \times \frac{\text{SumGains}_t}{\text{SumGains}_t + \text{SumLosses}_t}

When both sums are zero (all doji bars in window), IMI defaults to 50.0 (neutral).

4. Complexity

• Time: O(1) per bar — rolling sum add/subtract
• Space: O(N) — two ring buffers for gain and loss history
• Warmup: N bars

Mathematical Foundation

Parameters

Symbol	Parameter	Default	Constraint
N	period	14	N \geq 1

IMI vs RSI Comparison

Property	RSI	IMI
Input	Close-to-close change	Open-to-close change
Measures	Inter-session momentum	Intra-session momentum
Smoothing	Wilder's RMA (exponential)	Simple rolling sum
Previous bar	Required (C_{t-1})	Not required (self-contained)
Response	Smoother, more lag	More responsive, noisier
Range	0-100	0-100

Interpretation

IMI Value	Meaning
> 70	Overbought — strong bullish intra-session pressure
< 30	Oversold — strong bearish intra-session pressure
50	Neutral — balanced buying/selling within bars
Rising toward 70	Increasing proportion of bullish candles
Falling toward 30	Increasing proportion of bearish candles

Timeframe Sensitivity

On daily charts, the open-close relationship captures overnight gaps plus session direction — the most informative timeframe for IMI. On very short intraday charts (1-minute), the open-close relationship carries less structural information since the open price has minimal gap significance. Choose timeframes where the opening price carries genuine information about session sentiment.

OHLC Requirement

IMI requires both Open and Close prices per bar. It implements ITValuePublisher directly rather than AbstractBase since it operates on TBar (OHLC) input, not single TValue input.

Performance Profile

Operation Count (Streaming Mode)

IMI (Intraday Momentum Index) tracks rolling sums of up-body and total-body candles over N bars.

Operation	Count	Cost (cycles)	Subtotal
SUB (Close − Open = body)	1	1	1
CMP (up body vs down body)	1	1	1
RingBuffer add + oldest sub × 2 (ΣUp, ΣTotal)	4	1	4
DIV (ΣUp / ΣTotal)	1	15	15
MUL × 100	1	3	3
CMP (guard div-by-zero)	1	1	1
Total	9	—	~25 cycles

~25 cycles per bar. Fast O(1) running sums.

Batch Mode (SIMD Analysis)

Operation	Vectorizable?	Notes
Body computation	Yes	VSUBPD — independent per bar
Up/total conditional accumulation	Partial	VCMPPD mask + VADDPD (masked add)
Prefix-sum sliding window	Partial	Sum scan with subtract-lag
Division + scale	Yes	VDIVPD + VMULPD

The conditional accumulation (masked add for up bodies) is SIMD-friendly with AVX2 blend/mask operations.

Quality Metrics

Metric	Score	Notes
Accuracy	10/10	Exact running sum arithmetic; integer-like body logic
Timeliness	7/10	N-bar window; reacts immediately to intraday momentum shifts
Smoothness	5/10	Raw ratio can swing sharply with candle character changes
Noise Rejection	6/10	Window averaging provides moderate smoothing

Resources

• Chande, T.S. & Kroll, S. — The New Technical Trader (John Wiley & Sons, 1994)
• PineScript reference: imi.pine in indicator directory