-- The formula is described in the Kaufman "Trading Systems and Methods" chapter 12 "Charting Systems" (page 286-287)

-- Indicator profile initialization routine
-- Defines indicator profile properties and indicator parameters
function Init()
    indicator:name(resources:get("name"));
    indicator:description(resources:get("description"));
    indicator:requiredSource(core.Bar);
    indicator:type(core.Oscillator);

    indicator.parameters:addColor("clrSI", resources:get("param_clrSI_name"), resources:get("param_clrSI_description"), core.rgb(255, 0, 0));
end

-- Indicator instance initialization routine
-- Processes indicator parameters and creates output streams
-- Parameters block

local first;
local source = nil;

-- Streams block
local SI = nil;
local T = nil;

-- Routine
function Prepare()
    source = instance.source;
    first = source:first() + 1;

    local name = profile:id() .. "(" .. source:name() .. ")";
    instance:name(name);
    SI = instance:addStream("SI", core.Line, name, "SI", instance.parameters.clrSI, first)
    T = source:pipSize() * 300;
end

-- Indicator calculation routine
function Update(period)
    if period >= first then
        local nom = source.close[period] - source.close[period - 1]
            + (.5 * (source.close[period] - source.open[period]))
            + (.25 * (source.close[period - 1] - source.open[period - 1]));

        local closePrev = source.close[period - 1];
        local highCurr = source.high[period];
        local lowCurr = source.low[period];
        local hc = math.abs(highCurr - closePrev);
        local lc = math.abs(lowCurr - closePrev);
        local hl = math.abs(highCurr - lowCurr);
        local co = math.abs(closePrev - source.open[period - 1]);

        local TR = math.max(hc, lc, hl);
        local ER = 0;
        if (closePrev > highCurr) then
            ER = hc;
        elseif (closePrev < lowCurr) then
            ER = lc;
        end
        local SH = co;
        local R = TR - 0.5 * ER + 0.25 * SH;
        local K = math.max(hc, lc);

        if (math.abs(R) < 1e-10) then
            SI[period] = 0;
        else
            SI[period] = 50.0 * nom * (K / T) / R;
        end
    end
end