SMI Ergodic Oscillator Signals from Smoothed Price Momentum

Summary

The document’s prose describes a dual moving average trend-following strategy, but the included source code implements a different method: an SMI Ergodic oscillator, a normalized measure based on smoothed price changes. It applies successive exponential averages to price changes and to absolute price changes, then smooths the ratio with a signal line. The code takes a long position when the oscillator is above its signal line and a short position when it is below; an optional reverse setting flips those directions. The listed defaults are fast and slow periods of 4 and 8, with signal smoothing of 3.

The text discusses moving average and MACD crossovers, while the source does not implement those signals, so the strategy description is internally inconsistent. A BTC/USDT futures backtest period is provided without performance results. The source enters directional positions based on the oscillator comparison and does not show explicit stop-loss, take-profit, or position-sizing rules. Its lag and potential false signals in ranging conditions remain practical limitations.

Key ideas

• The source code computes a normalized oscillator from smoothed price changes and absolute price changes.
• It compares the oscillator with a smoothed signal line to select long or short positions.
• An optional reverse setting inverts the directional position signals.
• The prose describes a different dual moving average and MACD strategy, so it does not match the supplied implementation.
• The backtest configuration reports no results, and the code shows no explicit stop-loss or position-sizing rules.

Tags

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