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MFI Indicator #30

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MFI Indicator #30

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24bb1ea
added MFI
darthur11 Aug 6, 2020
06f3436
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darthur11 Aug 6, 2020
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36 changes: 36 additions & 0 deletions src/mom.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -319,3 +319,39 @@ function smi(hlc::Matrix{T}; n::Int64=13, nFast::Int64=2, nSlow::Int64=25, nSig:
out[:,2] = maSig(out[:,1], n=nSig)
return out
end


"""
MFI (Money Flow Index) gives almost the same results as tradingview.com
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Documentation comments should follow the same convention as other functions (function signature in triple-backticks followed by indicator name/interpretation two lines below).

"""
function MFI_logic(x::Array{T}; n::Int64=14, args...)::Array{T} where {T<:Real}
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Function naming convention is all lowercase, e.g. mfi.

@assert n<size(x,1) && n>0 "Argument n is out of bounds."
N = size(x,1)
ups = zeros(N)
dns = zeros(N)
zro = 0.0
dx = [NaN; ndims(x[:,2]) > 1 ? diff(x[:,2], dims=1) : diff(x[:,2])]
@inbounds for i=2:N
if dx[i] > zro
ups[i] = x[i,3]
elseif dx[i] < zro
dns[i] = x[i,3]
end
end
rs = sma(ups[1:end], n=n;) ./ sma(dns[1:end], n=n;)
return 100.0 .- 100.0 ./ (1.0 .+ rs)
end

##### X::TS should contain traditional OHLC+Volume too
function MFI(X::TS, flds::Vector{Symbol}; args...)
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Same comment about naming convention. The MFI method that takes a TS type as input should go in src/temporal.jl and should have the same function name as the base Array type method (mfi). Julia will automatically know which method to apply based on the input types :)

if size(X,2) > 1 && has_close(X)
typical_price = sum(X[[:high, :low, :close]].values, dims = 2)/3
close = X[:close].values
volume = X[:volume].values
rmf = typical_price.*volume
return ts(MFI_logic([close typical_price rmf]; args...), X.index, flds)
#return ts(MFI_logic(X.values; args...), X.index, flds)
else
error("Must be univariate or contain Close/Settle/Last.")
end
end