public void Removed()
{
int lookbackPeriods = 14;
List <MfiResult> results = quotes.GetMfi(lookbackPeriods)
.RemoveWarmupPeriods()
.ToList();
// assertions
Assert.AreEqual(502 - 14, results.Count);
MfiResult last = results.LastOrDefault();
Assert.AreEqual(39.9494m, Math.Round((decimal)last.Mfi, 4));
}
public void Standard()
{
int lookbackPeriods = 14;
List <MfiResult> results = quotes.GetMfi(lookbackPeriods).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is quotes
Assert.AreEqual(502, results.Count);
Assert.AreEqual(488, results.Where(x => x.Mfi != null).Count());
// sample values
MfiResult r1 = results[439];
Assert.AreEqual(69.0622m, Math.Round((decimal)r1.Mfi, 4));
MfiResult r2 = results[501];
Assert.AreEqual(39.9494m, Math.Round((decimal)r2.Mfi, 4));
}
public void GetMfiTest()
{
int lookbackPeriod = 14;
IEnumerable <MfiResult> results = Indicator.GetMfi(history, lookbackPeriod);
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count());
Assert.AreEqual(502 - lookbackPeriod, results.Where(x => x.Mfi != null).Count());
// sample values
MfiResult r1 = results.Where(x => x.Index == 502).FirstOrDefault();
Assert.AreEqual(39.9494m, Math.Round((decimal)r1.Mfi, 4));
MfiResult r2 = results.Where(x => x.Index == 440).FirstOrDefault();
Assert.AreEqual(69.0622m, Math.Round((decimal)r2.Mfi, 4));
}
public void GetMfiSmall()
{
int lookbackPeriod = 4;
List <MfiResult> results = Indicator.GetMfi(history, lookbackPeriod).ToList();
// assertions
// proper quantities
// should always be the same number of results as there is history
Assert.AreEqual(502, results.Count);
Assert.AreEqual(502 - lookbackPeriod, results.Where(x => x.Mfi != null).Count());
// sample values
MfiResult r1 = results[31];
Assert.AreEqual(100m, Math.Round((decimal)r1.Mfi, 4));
MfiResult r2 = results[43];
Assert.AreEqual(0m, Math.Round((decimal)r2.Mfi, 4));
}
// MONEY FLOW INDEX
/// <include file='./info.xml' path='indicator/*' />
///
public static IEnumerable <MfiResult> GetMfi <TQuote>(
this IEnumerable <TQuote> quotes,
int lookbackPeriods = 14)
where TQuote : IQuote
{
// convert quotes
List <QuoteD> quotesList = quotes.ConvertToList();
// check parameter arguments
ValidateMfi(lookbackPeriods);
// initialize
int length = quotesList.Count;
List <MfiResult> results = new(length);
double[] tp = new double[length]; // true price
double[] mf = new double[length]; // raw MF value
int[] direction = new int[length]; // direction
double?prevTP = null;
// roll through quotes, to get preliminary data
for (int i = 0; i < quotesList.Count; i++)
{
QuoteD q = quotesList[i];
MfiResult result = new()
{
Date = q.Date
};
// true price
tp[i] = (q.High + q.Low + q.Close) / 3;
// raw money flow
mf[i] = tp[i] * q.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 = lookbackPeriods; i < results.Count; i++)
{
MfiResult r = results[i];
int index = i + 1;
double sumPosMFs = 0;
double sumNegMFs = 0;
for (int p = index - lookbackPeriods; 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 = (decimal)(sumPosMFs / sumNegMFs);
r.Mfi = 100 - (100 / (1 + mfRatio));
}
return(results);
}