Wilder Swing Index (SI)

Summary

Wilder's Swing Index: one number rating each bar against the bar before it, from both bars' open and close and the current bar's high and low, signed by the direction of the swing. A strong close above the prior close on a wide range reads high and positive, a strong down swing reads high and negative. It is scaled against the limit move, the largest one-bar move the market allows, and stays between -100 and +100 while every move is within that limit. J. Welles Wilder Jr. introduced it in 1978 and trades its running total, ASI.

Chart

Reference data (CSV) · Chart (SVG)

Chart metadata i

Outputs

• outReal: line · zero · positive · negative

Formula

$$\mathrm{SI}_t = 50 \cdot \frac{N_t}{R_t} \cdot \frac{K_t}{T}, \text{ or } 0 \text{ when } R_t = 0$$

$$N_t = (C_t - C_{t-1}) + \tfrac{1}{2}(C_t - O_t) + \tfrac{1}{4}(C_{t-1} - O_{t-1}) \qquad K_t = \max(a, b)$$

$$R_t = \begin{cases} a - \tfrac{1}{2}b + q & \text{if } a \ge b \text{ and } a \ge d \\ b - \tfrac{1}{2}a + q & \text{else if } b \ge d \\ d + q & \text{otherwise} \end{cases}$$

where $a = |H_t - C_{t-1}|$, $b = |L_t - C_{t-1}|$, $d = |H_t - L_t|$, $q = \tfrac{1}{4}|C_{t-1} - O_{t-1}|$, and $T$ is optInLimitMove (Wilder writes it $L$).

Notes

• Wilder rounds each value to a whole number when working by hand; the output is not rounded.
• A bar that moves more than the limit move can read beyond -100 or +100; the output is not clamped.

Inputs

• inOpen — Open price of each bar
• inHigh — High price of each bar
• inLow — Low price of each bar
• inClose — Close price of each bar

Outputs

• outReal — Swing index of the bar against the previous bar

Parameters

Parameter	Type	Default	Accepted values	Description
optInLimitMove	real	3	≥ 0.00000001	Limit move, the largest one-bar price move the index is scaled against, in price units

Properties

Numerical Stability: Start-Independent

☐ Overlap Input
✅ Independent Y-Axis i
☐ Candlestick
☐ Display Shift

☐ Can Output NaN or ±Inf
☐ Identity at Period 1
☐ Uses Transcendental
☐ Input Must Be Positive

Example

C

#include <stdio.h>
#include <ta_libc.h>

int n = 252;
double open[252]; /* your data, oldest first */
double high[252]; /* your data, oldest first */
double low[252]; /* your data, oldest first */
double close[252]; /* your data, oldest first */
double out[252];
int outBegIdx, outNBElement;

TA_Initialize();
TA_SI( 0, n - 1, open, high, low, close, 3.0, &outBegIdx, &outNBElement, out );
printf( "%d values from bar %d; last out = %f\n", outNBElement, outBegIdx, out[outNBElement - 1] );

Rust

use ta_lib::Core;

let open = vec![0.0; 252]; // your data, oldest first
let high = vec![0.0; 252]; // your data, oldest first
let low = vec![0.0; 252]; // your data, oldest first
let close = vec![0.0; 252]; // your data, oldest first
let mut out = vec![0.0; 252];

let core = Core::new();
let range = core.si(0, open.len() - 1, &open, &high, &low, &close, 3.0, &mut out)?;
println!("{} values from bar {}; last out = {}", range.count, range.beg_idx, out[range.count - 1]);

Java

import io.github.talib.Core;
import io.github.talib.OutRange;

double[] open = new double[252]; // your data, oldest first
double[] high = new double[252]; // your data, oldest first
double[] low = new double[252]; // your data, oldest first
double[] close = new double[252]; // your data, oldest first
double[] out = new double[252];

Core core = Core.DEFAULT;
OutRange r = core.si(0, open.length - 1, open, high, low, close, 3.0, out);
System.out.println(r.count() + " values from bar " + r.begIdx() + "; last out = " + out[r.count() - 1]);

C#

using System;
using TALib;

var open = new double[252]; // your data, oldest first
var high = new double[252]; // your data, oldest first
var low = new double[252]; // your data, oldest first
var close = new double[252]; // your data, oldest first
var outReal = new double[252];

var core = Core.Default;
OutRange r = core.Si(0, open.Length - 1, open, high, low, close, 3.0, outReal);
Console.WriteLine($"{r.Count} values from bar {r.BegIdx}; last outReal = {outReal[r.Count - 1]}");

TypeScript

import { si } from 'ta-lib';

const open = new Float64Array(252); // your data, oldest first
const high = new Float64Array(252); // your data, oldest first
const low = new Float64Array(252); // your data, oldest first
const close = new Float64Array(252); // your data, oldest first

const { begIdx, values } = si({ open, high, low, close }, { limitMove: 3 });
console.log(values.length + ' values from bar ' + begIdx + '; last values = ' + values[values.length - 1]);

Implementation

Added in 0.8.3 (ta-lib-python 0.8.3).

TA-Lib Definition: si.c · si.yaml

Native	File
C	ta_SI.c
Rust	si.rs
Java	Core_SI.java
C#	Core_SI.cs
TypeScript	si.ts

Python: talib.SI (ta-lib-python 0.8.3 or later), see ta-lib-python.

TA-Lib is also available for R and more using a wrapper.

See Also

ASI · WAD · TRANGE · BOP

References

• J. Welles Wilder Jr., New Concepts in Technical Trading Systems, Trend Research, 1978, section VIII "The Swing Index", pp.87-106