Stochastic Index Blau_TStochI – indicator MetaTrader 5

Author: Andrey N. Bolkonsky

Stochastic Index (normalized smoothed q-period Stochastic) by William Blau, described in the book Momentum, Direction, and Divergence: Applying the Latest Momentum Indicators for Technical Analysis.

The values of q-period smoothed Stochastic is normalized and mapped into the [0,+100] interval. It allows to determine the overbought/oversold of the market.

• WilliamBlau.mqh must be placed in terminal_data_folder\MQL5\Include\
• Blau_TStochI.mq5 must be placed in terminal_data_folder\MQL5\Indicators\

Stochatic Index Indicator by William Blau

Calculation:

The Stochastic Index Indicator is calculated by formula:

where:

• price – close price;
• q – number of bars, used in calculation;
• LL(q) – lowest price of the q bars;
• HH(q) – highest price of the q bars;
• stoch(q)=price-LL(q) – q-period Stochastic;
• TStoch(price,q,r,s,u) – triple smoothed q-period Stochastic;
• HH(q)-LL(q) – q-period price range;
• EMA(…,r) – first smoothing 1st smoothing- exponentially smoothed moving average with period r, applied to:
  
  1. q-period Stochastic;
  2. q-period Price Range;
• EMA(EMA(…,r),s) – 2nd smoothing – EMA of period s, applied to result of the 1st smoothing;
• EMA(EMA(EMA(…,r),s),u) – 3rd smoothing – EMA of period u, applied to result of the 2nd smoothing.

if EMA(EMA(EMA(HH(q)-LL(q),r),s),u)=0, the TStochI(price,q,r,s,u)=0.

Input parameters:

• q – period, used for the calculation of Stochastic (by default q=5);
• r – period of the 1st EMA, applied to Stochastic (by default r=20);
• s – period of the 2nd EMA, applied to result of the 1st smoothing (by default s=5);
• u – period of the 3rd EMA, applied to result of the 2nd smoothing (by default u=3);
• AppliedPrice – price type (by default AppliedPrice=PRICE_CLOSE).

Note:

• q>0;
• r>0, s>0, u>0.  If r, s or u =1, smoothing is not used;
• Min. rates =(q-1+r+s+u-3+1).