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10.19 Intraday Momentum Index

The intraday momentum index (IMI) by Tushar Chande expresses upward open-to-close movement in the past N days as percentage of total open-to-close movement (up and down).

      Sum[N] of max(close-open, 0)
IMI = ----------------------------
        Sum[N] of abs(close-open)

This is like an RSI (see Relative Strength Index) but on open-to-close movement and with a simple moving average.

The use of open-to-close is also similar to the way QStick (see QStick) shows proportions of black and white candlesticks, with IMI scaling according to the total real-body height in the past N days.

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