// MONEY FLOW INDEX
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <MfiResult> GetMfi <TQuote>(
IEnumerable <TQuote> history,
int lookbackPeriod = 14)
where TQuote : IQuote
{
// sort history
List <TQuote> historyList = history.Sort();
// check parameter arguments
ValidateMfi(history, lookbackPeriod);
// initialize
int size = historyList.Count;
List <MfiResult> results = new List <MfiResult>(size);
decimal[] tp = new decimal[size]; // true price
decimal[] mf = new decimal[size]; // raw MF value
int[] direction = new int[size]; // direction
decimal?prevTP = null;
// roll through history, to get preliminary data
for (int i = 0; i < historyList.Count; i++)
{
TQuote h = historyList[i];
MfiResult result = new MfiResult
{
Date = h.Date
};
// true price
tp[i] = (h.High + h.Low + h.Close) / 3;
// raw money flow
mf[i] = tp[i] * h.Volume;
// direction
if (prevTP == null || tp[i] == prevTP)
{
direction[i] = 0;
}
else if (tp[i] > prevTP)
{
direction[i] = 1;
}
else if (tp[i] < prevTP)
{
direction[i] = -1;
}
results.Add(result);
prevTP = tp[i];
}
// add money flow index
for (int i = lookbackPeriod; i < results.Count; i++)
{
MfiResult r = results[i];
int index = i + 1;
decimal sumPosMFs = 0;
decimal sumNegMFs = 0;
for (int p = index - lookbackPeriod; p < index; p++)
{
if (direction[p] == 1)
{
sumPosMFs += mf[p];
}
else if (direction[p] == -1)
{
sumNegMFs += mf[p];
}
}
// handle no negative case
if (sumNegMFs == 0)
{
r.Mfi = 100;
continue;
}
// calculate MFI normally
decimal mfRatio = sumPosMFs / sumNegMFs;
r.Mfi = 100 - (100 / (1 + mfRatio));
}
return(results);
}
// Money Flow Index
public static IEnumerable <MfiResult> GetMfi(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
List <Quote> historyList = history.Sort();
// check parameters
ValidateMfi(history, lookbackPeriod);
// initialize
List <MfiResult> results = new List <MfiResult>();
decimal?prevTP = null;
// preliminary data
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
MfiResult result = new MfiResult
{
Date = h.Date,
TruePrice = (h.High + h.Low + h.Close) / 3
};
// raw money flow
result.RawMF = result.TruePrice * h.Volume;
// direction
if (prevTP == null || result.TruePrice == prevTP)
{
result.Direction = 0;
}
else if (result.TruePrice > prevTP)
{
result.Direction = 1;
}
else if (result.TruePrice < prevTP)
{
result.Direction = -1;
}
results.Add(result);
prevTP = result.TruePrice;
}
// add money flow index
for (int i = lookbackPeriod; i < results.Count; i++)
{
MfiResult r = results[i];
int index = i + 1;
decimal sumPosMFs = 0;
decimal sumNegMFs = 0;
for (int p = index - lookbackPeriod; p < index; p++)
{
MfiResult d = results[p];
if (d.Direction == 1)
{
sumPosMFs += d.RawMF;
}
else if (d.Direction == -1)
{
sumNegMFs += d.RawMF;
}
}
// handle no negative case
if (sumNegMFs == 0)
{
r.Mfi = 100;
continue;
}
// calculate MFI normally
decimal mfRatio = sumPosMFs / sumNegMFs;
r.Mfi = 100 - (100 / (1 + mfRatio));
}
return(results);
}
// Money Flow Index
public static IEnumerable <MfiResult> GetMfi(IEnumerable <Quote> history, int lookbackPeriod = 14)
{
// clean quotes
Cleaners.PrepareHistory(history);
// check parameters
ValidateMfi(history, lookbackPeriod);
// initialize
List <Quote> historyList = history.ToList();
List <MfiResult> results = new List <MfiResult>();
decimal?prevTP = null;
// preliminary data
for (int i = 0; i < historyList.Count; i++)
{
Quote h = historyList[i];
MfiResult result = new MfiResult
{
Index = (int)h.Index,
Date = h.Date,
TruePrice = (h.High + h.Low + h.Close) / 3
};
// raw money flow
result.RawMF = result.TruePrice * h.Volume;
// direction
if (prevTP == null || result.TruePrice == prevTP)
{
result.Direction = 0;
}
else if (result.TruePrice > prevTP)
{
result.Direction = 1;
}
else if (result.TruePrice < prevTP)
{
result.Direction = -1;
}
results.Add(result);
prevTP = result.TruePrice;
}
// add money flow index
for (int i = lookbackPeriod; i < results.Count; i++)
{
MfiResult r = results[i];
List <MfiResult> period = results
.Where(x => x.Index > r.Index - lookbackPeriod && x.Index <= r.Index)
.ToList();
List <MfiResult> posMFs = period.Where(x => x.Direction == 1).ToList();
List <MfiResult> negMFs = period.Where(x => x.Direction == -1).ToList();
// handle no negative case
if (!negMFs.Any() || negMFs.Select(x => x.RawMF).Sum() == 0)
{
r.Mfi = 100;
continue;
}
// calculate MFI normally
decimal mfRatio = posMFs.Select(x => x.RawMF).Sum() / negMFs.Select(x => x.RawMF).Sum();
r.Mfi = 100 - (100 / (1 + mfRatio));
}
return(results);
}
