MFI

Description

Money Flow Index - a volume-weighted analogue of RSI on the typical price:

\[\begin{split} \begin{aligned} \text{TP}[t] &= (H + L + C) / 3 \\ \text{MF}[t] &= \text{TP} \cdot V \\ \text{pos\_MF}_w &= \sum_w \text{MF}[\text{where}\ \text{TP} > \text{TP}_{t-1}] \\ \text{neg\_MF}_w &= \sum_w \text{MF}[\text{where}\ \text{TP} < \text{TP}_{t-1}] \\ \text{MFI}[t] &= 100\ \cdot\ \dfrac{\text{pos\_MF}_w}{\text{pos\_MF}_w + \text{neg\_MF}_w} \end{aligned} \end{split}\]

4-input, 1-output on (high, low, close, volume). First valid output at sample index window_size. Bit-exact to talib.MFI (~1e-14).

NaN handling

Policy: ignore. A NaN in any input at index t causes the function to skip that step: output at t is NaN and internal state is unchanged. Subsequent finite samples are processed as if step t had not occurred.

Examples

Usage example

import numpy as np
import plotly.graph_objects as go
from plotly.subplots import make_subplots
from screamer import MFI

np.random.seed(0)
close = 100*np.exp(np.cumsum(np.random.normal(0, 0.01, size=300)))
open_ = np.concatenate([[close[0]], close[:-1]])
wick = np.abs(np.random.normal(0, 0.4, size=300))
high = np.maximum(open_, close) + wick
low  = np.minimum(open_, close) - wick
volume = np.random.uniform(1e5, 5e5, size=300)
out = MFI(14)(high, low, close, volume)

fig = make_subplots(rows=2, cols=1, shared_xaxes=True,
                    row_heights=[0.55, 0.45], vertical_spacing=0.08)
fig.add_trace(go.Scatter(y=close, name="close", line=dict(color="royalblue")), row=1, col=1)
fig.add_trace(go.Scatter(y=out, name="MFI(14)", line=dict(color="red")), row=2, col=1)
fig.update_layout(title="Money flow index (MFI)",
                  margin=dict(l=20, r=20, t=60, b=20),
                  legend=dict(orientation="h", yanchor="bottom", y=1.02, xanchor="right", x=1))
fig.update_yaxes(title_text="close", row=1, col=1)
fig.update_yaxes(title_text="MFI (0-100)", row=2, col=1)
fig.show()