Calculating the Smart Money Index from Opening and Closing Moves

Summary

This document explains a daily Smart Money Index calculation based on the S&P 500’s early-session and late-session price changes. Each day, the prior index value is reduced by the gain or loss during the opening interval and increased by the gain or loss during the closing interval. The opening and closing times can be customized for another index or time zone. The accompanying ProRealTime example captures prices at those boundaries and updates the running index at the end of the closing interval.

The method is intended for intraday charts that contain all four configured time points. The source does not provide empirical evidence that the resulting measure identifies informed trading or predicts future returns; it describes an indicator construction, not a validated strategy. Correct use depends on matching session times to the instrument and chart time zone and ensuring the chosen interval data are available. The document also includes unrelated account and privacy material, which does not contribute to the indicator method.

Key ideas

• The index subtracts the market move in the opening interval and adds the move in the closing interval to the prior value.
• The default definition uses the S&P 500’s first half-hour and final trading hour.
• The session boundaries can be adjusted for other indexes and time zones.
• The calculation requires intraday data containing each configured time point.
• The document provides no evidence that the indicator predicts returns or measures informed trading reliably.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.