mql5/Indicators/MyIndicators/SMI_Pro.md

William Blau's Stochastic Momentum Index (SMI) Pro Suite (Standard & MTF)

1. Summary (Introduction)

The William Blau's Stochastic Momentum Index (SMI) Pro Suite is an institutional-grade, low-latency cyclical momentum and trend-reversal tracking system. It consists of two highly synchronized indicators: SMI_Pro (Standard) and its Multi-Timeframe (MTF) counterpart.

Standard Stochastic oscillators calculate price location relative to the absolute low of the high-low range, which makes them highly sensitive to micro-noise and causes them to peg prematurely at extremes during strong trends.

Developed by William Blau, the Stochastic Momentum Index (SMI) resolves this limitation by measuring the relative position of the close price relative to the median (center) of the high-low range instead:

\text{Median}_t = \frac{\text{HighestHigh}_t + \text{LowestLow}_t}{2} \text{RelativePrice}_t = C_t - \text{Median}_t

By double-smoothing both this relative price and the total high-low range over a double smoothing period (D), the SMI generates exceptionally smooth, fourier-stable, and organic momentum waves.

To deliver maximum quantitative flexibility, this suite elevates Blau's original concept by replacing the hardcoded EMAs with a 5-motor moving average composition. This allows traders to select any moving average type (SMA, EMA, SMMA, LWMA, TMA, DEMA, TEMA, VWMA) for both the double-smoothing stages and the final signal line, introducing volume-weighting (VWMA) capabilities to the entire SMI pipeline for the first time.

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2. Mathematical & Quant Foundations

The indicator calculates a double-smoothed ratio using five independent, state-safe moving average engines:

A. Core Price and Range Calculations

Over the lookback period K (InpLengthK), the highest high and lowest low are calculated to determine the high-low range and the relative price distance from the median:

\text{Range}_t = \max_{j=0 \dots K-1} (H_{t-j}) - \min_{j=0 \dots K-1} (L_{t-j}) \text{Relative}_t = C_t - \frac{\max_{j=0 \dots K-1} (H_{t-j}) + \min_{j=0 \dots K-1} (L_{t-j})}{2}

B. Double Smoothing Pipeline

Both the relative price (\text{Relative}_t) and the absolute range (\text{Range}_t) are processed through two consecutive, state-safe smoothing engines using the slowing period D (InpLengthD) and the selected slowing MA type (InpSlowingType):

\text{Sm1\_Rel}_t = \text{Smoothing1}_{D}(\text{Relative}_t) \text{Sm2\_Rel}_t = \text{Smoothing2}_{D}(\text{Sm1\_Rel}_t) \text{Sm1\_Ran}_t = \text{Smoothing1}_{D}(\text{Range}_t) \text{Sm2\_Ran}_t = \text{Smoothing2}_{D}(\text{Sm1\_Ran}_t)

C. Final SMI & Signal Line Equations

The final SMI represents the ratio of the double-smoothed relative price over half of the double-smoothed absolute range, bounded strictly between -100 and 100:

$$\text{SMI}_t = \begin{cases} 100.0 \times \frac{\text{Sm2_Rel}_t}{\frac{\text{Sm2_Ran}_t}{2.0}} & \text{if } \text{Sm2_Ran}_t > 1.0e-9 \ 0.0 & \text{otherwise} \end{cases}$$

The final plotted Signal Line is computed by smoothing the active \text{SMI}_t over the signal period (InpLengthEMA) using the selected signal MA type (InpSignalType):

\text{Signal}_t = \text{Smoothing}_{\text{SignalPeriod}}(\text{SMI}_t)

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3. Recommended Calibration Presets

Trading Style	Timeframe	SMI Settings (K, D, \text{Slowing MA})	Signal Settings (\text{EMA}, \text{Signal MA})	Quantitative Tactical Role
Intraday Scalping	M5 / M15	10, 3 (EMA)	3 (EMA)	Fast Mean Reversion. Highly responsive crossover triggers on intraday charts.
Trend Following	M30 / H1	14, 5 (SMA)	5 (SMA)	Stable Swing Tracking. Filters out noise on H1 charts, tracking clean cyclical waves.
Institutional Flow	H1 / H4	14, 3 (VWMA)	3 (EMA)	Volume-Backed Momentum. Integrates exchange volume weighting to track true institutional pivots.

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4. Visual & Technical Highlights

• 5-Motor Composite OOP Design: To handle double-smoothing across multiple variables cleanly without visual or computational lag, the CSMICalculator class instantiates five independent CMovingAverageCalculator engines. This modular structure completely isolates the MA calculations, enabling fázis-helyes (phase-correct) and state-safe execution for any combination of MA types.
• Pragmatic Visual Styling: The main oscillator lines are plotted with distinct, professional weights: the SMI line is plotted in bold Steel Blue (clrSteelBlue, width 2) for immediate trend identification, while the Signal line is plotted as a thinner Dark Orange line (clrDarkOrange, width 1.5) for clean crossover visual comfort.
• Chronological Safety Guards: The engine enforces chronological array indexing (ArraySetAsSeries(..., false)) across all internal persistent buffers, price caches, and indicator buffers, completely eliminating phase shift errors during template changes.

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5. Advanced MQL5 MTF Implementation Details

Operating high-order recursive double-smoothings combined with lookback arrays across multiple timeframes requires precise architectural guards:

A. Non-Warping Staircase Solution

To prevent the active, forming HTF candle from drawing a warped diagonal slope on lower timeframe charts, the indicator runs a backward-scanning block-force loop. It identifies the beginning of the active forming HTF block and rewrites the entire block flat on every tick:

int first_bar_of_forming_htf = rates_total - 1;
while(first_bar_of_forming_htf > 0 &&
      iBarShift(_Symbol, g_calc_timeframe, time[first_bar_of_forming_htf], false) == 0)
  {
   first_bar_of_forming_htf--;
  }
first_bar_of_forming_htf++; // Anchor start of current HTF period block

if(start > first_bar_of_forming_htf)
   start = first_bar_of_forming_htf;

B. High-Order IIR State Mocking

Since the SMI MA double-smoothing relies on deep historical smoothed averages, calling calculations continuously on the live forming bar on every tick can cause feedback decay. To solve this, the MTF engine uses State Mocking during live ticks by passing prev_calculated = g_htf_count, which updates only the active live register while keeping historical closed states completely locked.

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6. Symmetrical Momentum Trading Strategies

A. The Symmetrical Extremes Crossover Strategy (40/60 & 80/90 Reversal)

Because the SMI is bounded between -100 and 100, crossovers occurring inside the extreme over-extended zones represent high-probability trend reversal points.

1. Indicator Setup:
   • SMI Pro: K Period = 10, D Period = 3 (EMA), Signal = 3 (EMA).
2. Execution Rules:
   • BUY Trigger: Enter Long when the SMI line crosses above the Signal line strictly while both lines are below the -40.0 or -60.0 levels (Oversold).
   • SELL Trigger: Enter Short when the SMI line crosses below the Signal line strictly while both lines are above the +40.0 or +60.0 levels (Overbought).
3. Risk Management: Place Stop Loss below the local swing low (for Long trades) or above the local swing high (for Short trades). Exit on an opposing crossover at the opposite extreme boundary.

B. The Volume-Weighted Momentum Continuation Squeeze

By utilizing volume-weighted moving averages (VWMA) for the double-smoothing slowing stage, we ensure that trend accelerations are backed by true institutional transaction volume.

1. Indicator Setup:
   • Load the indicator on an M5 or M15 chart.
   • Configure the Slowing MA to VWMA and the Signal MA to EMA.
2. Strategy Mechanics:
   • During consolidation, the SMI and Signal lines contract towards the 0.0 level, forming a tight squeeze.
   • BUY Entry: Enter Long when the SMI line crosses above the Signal line near the 0.0 level, accompanied by a breakout of the SMI line above 0.0. The VWMA double-smoothing ensures this cross is backed by true transaction volume.
   • SELL Entry: Enter Short when the SMI line crosses below the Signal line near the 0.0 level, and breaks below 0.0.
3. Strategic Value: Entering near the 0.0 level allows you to catch the very beginning of a trend expansion immediately after a volatility contraction squeeze.