/// <summary>
/// Calculates Money Flow Index (MFI) indicator
/// </summary>
/// <param name="highs">Signal representing price highs</param>
/// <param name="lows">Signal representing price lows</param>
/// <param name="closes">Signal representing closing prices</param>
/// <param name="periods">Number of periods</param>
/// <param name="volume">Signal representing daily volumes</param>
/// <returns>Object containing operation results</returns>
public static MFIResult MFI(IEnumerable<double> highs, IEnumerable<double> lows, IEnumerable<double> closes, IEnumerable<int> volume, int periods)
{
double lastTypicalPrice = (highs.ElementAt(0) + lows.ElementAt(0) + closes.ElementAt(0)) / 3;
var moneyFlowList = new List<MFIMoneyFlow>();
for (int i = 1; i < highs.Count(); i++)
{
double typicalPrice = (highs.ElementAt(i) + lows.ElementAt(i) + closes.ElementAt(i)) / 3;
bool up = typicalPrice > lastTypicalPrice;
lastTypicalPrice = typicalPrice;
double rawMoneyFlow = typicalPrice * volume.ElementAt(i);
var moneyFlow = new MFIMoneyFlow();
if (up)
{
moneyFlow.PositiveMoneyFlow = rawMoneyFlow;
}
else
{
moneyFlow.NegativeMoneyFlow = rawMoneyFlow;
}
moneyFlowList.Add(moneyFlow);
}
var moneyFlowIndexList = new List<double>();
for (int i = 0; i < moneyFlowList.Count - periods + 1; i++)
{
var range = moneyFlowList.GetRange(i, periods);
double positiveMoneyFlow = range.Sum(x => x.PositiveMoneyFlow);
double negativeMoneyFlow = range.Sum(x => x.NegativeMoneyFlow);
double moneyFlowRatio = positiveMoneyFlow / negativeMoneyFlow;
double moneyFlowIndex = 100 - 100 / (1 + moneyFlowRatio);
moneyFlowIndexList.Add(moneyFlowIndex);
}
var result = new MFIResult()
{
Values = moneyFlowIndexList,
StartIndexOffset = periods
};
return result;
}
/// <summary>
/// Calculates Money Flow Index (MFI) indicator
/// </summary>
/// <param name="highs">Signal representing price highs</param>
/// <param name="lows">Signal representing price lows</param>
/// <param name="closes">Signal representing closing prices</param>
/// <param name="periods">Number of periods</param>
/// <param name="volume">Signal representing daily volumes</param>
/// <returns>Object containing operation results</returns>
public static MFIResult MFI(IEnumerable <double> highs, IEnumerable <double> lows, IEnumerable <double> closes, IEnumerable <int> volume, int periods)
{
double lastTypicalPrice = (highs.ElementAt(0) + lows.ElementAt(0) + closes.ElementAt(0)) / 3;
var moneyFlowList = new List <MFIMoneyFlow>();
for (int i = 1; i < highs.Count(); i++)
{
double typicalPrice = (highs.ElementAt(i) + lows.ElementAt(i) + closes.ElementAt(i)) / 3;
bool up = typicalPrice > lastTypicalPrice;
lastTypicalPrice = typicalPrice;
double rawMoneyFlow = typicalPrice * volume.ElementAt(i);
var moneyFlow = new MFIMoneyFlow();
if (up)
{
moneyFlow.PositiveMoneyFlow = rawMoneyFlow;
}
else
{
moneyFlow.NegativeMoneyFlow = rawMoneyFlow;
}
moneyFlowList.Add(moneyFlow);
}
var moneyFlowIndexList = new List <double>();
for (int i = 0; i < moneyFlowList.Count - periods + 1; i++)
{
var range = moneyFlowList.GetRange(i, periods);
double positiveMoneyFlow = range.Sum(x => x.PositiveMoneyFlow);
double negativeMoneyFlow = range.Sum(x => x.NegativeMoneyFlow);
double moneyFlowRatio = positiveMoneyFlow / negativeMoneyFlow;
double moneyFlowIndex = 100 - 100 / (1 + moneyFlowRatio);
moneyFlowIndexList.Add(moneyFlowIndex);
}
var result = new MFIResult()
{
Values = moneyFlowIndexList,
StartIndexOffset = periods
};
return(result);
}
