SIROC: A Smoothed Oscillator from Normalized Price Residuals

Summary

SIROC is described as an oscillator on a 0-to-100 scale. Its calculation starts with the difference between closing price and a moving average, normalized by a lagged value of that average. The normalized residual series is smoothed with another exponential moving average, then transformed by a short-period RSI. The provided example uses settings of 36 periods for the first average, 8 for the smoothing average, and 3 for the RSI, with reference lines at 20, 50, and 80.

This construction combines distance from a smoothed price baseline with a momentum-style RSI transformation. The document defines the calculation and supplies indicator code, but it does not explain entry or exit rules, asset selection, or how the reference levels should be interpreted in different markets. It presents no backtest or performance evidence. SIROC is therefore a technical feature that would need independent testing and parameter review before being used in a trading system.

Key ideas

• SIROC applies an RSI transformation to a smoothed series of normalized price deviations from an average.
• The example specifies periods for the baseline average, residual smoothing, and RSI calculation.
• Reference levels at 20, 50, and 80 are plotted alongside the oscillator.
• The document defines an indicator but does not provide trading rules or performance testing.

Tags

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