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Registered User
Joined: 2/27/2006
Posts: 16
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I would like to plot Money Flow Index (MFI) as a custom indicator and/or PCF.
Say over a 5 day period.
The formula is calculated as follows:
Typical price for the day is (H+L+C)/3.
Money for the day = V*(H+L+C)/3.
If ( H+L+C ) >= (H1+L1+C1) then the volume V is considered positive volume.
If ( H+L+C ) < (H1+L1+C1) then the volume V is considered negative volume.
( positive money/negative money ) in a 5 day period
pnRatio = sum of positive money / sum of negative money
Money flow index = 100 - 100 / ( 1 + pnRatio ).
If the denominator of pnRatio is 0 (divide by zero) MFI is 100.
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I fave so far tried deducing the positive and negative volume by solving
linear equations.
This is what I did so far:
X = (H+L+C)*V +...+ (H4+L4+C4)*V
Y = ABS((H+L+C)*V) +...+ ABS((H4+L4+C4)*V)
Then positive money sum total is
positiveMoney = 0.5*(X+Y)
negativeMoney = 0.5*(X-Y)
pnRatio = (X+Y)/(X-Y)
MFI = 100 - 100 / ( 1 + pnRatio )
When I get the formula out of Maple and put it in a PCF
I always get divide by zero error.
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Please can you give me something that will work even if with a slight approximation.
As I am not a mathematician please can you advise me of ways to get around
divide by zeros in PCF's even with appropriate approximations.
Ideally, Worden language should include simple script capability.
Thanks.
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Worden Trainer
Joined: 10/1/2004
Posts: 18,819
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I just did a search for MONEY FLOW INDEX and found:
Money Flow Index
You too can search these forums for anything. Watch this short video on how to get the most from these forums:
Learn how to use the forums: post a new topic, reply, Search existing topics
- Craig
Here to Help!
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Registered User
Joined: 10/7/2004
Posts: 39
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A better way to calculate MFI is to rearrange the formula, the textbook formula is
100*(1-1/(PMF/NMF)). In many cases it will get divide by 0 error because the time period you specify could be consecutively positive, therefore, there is no NMF. NMF=0 then cause divide by 0 error.
what you can do is to reduce the formula to
100*PMF/(PMF+NMF) = 100*PMF/total MF
where total MF is summation of all price*volume (without the conditional statement)
This way you won't get the divide by 0 error.
Good luck.
QUOTE (krck) I would like to plot Money Flow Index (MFI) as a custom indicator and/or PCF.
Say over a 5 day period.
The formula is calculated as follows:
Typical price for the day is (H+L+C)/3.
Money for the day = V*(H+L+C)/3.
If ( H+L+C ) >= (H1+L1+C1) then the volume V is considered positive volume.
If ( H+L+C ) < (H1+L1+C1) then the volume V is considered negative volume.
( positive money/negative money ) in a 5 day period
pnRatio = sum of positive money / sum of negative money
Money flow index = 100 - 100 / ( 1 + pnRatio ).
If the denominator of pnRatio is 0 (divide by zero) MFI is 100.
---------
I fave so far tried deducing the positive and negative volume by solving
linear equations.
This is what I did so far:
X = (H+L+C)*V +...+ (H4+L4+C4)*V
Y = ABS((H+L+C)*V) +...+ ABS((H4+L4+C4)*V)
Then positive money sum total is
positiveMoney = 0.5*(X+Y)
negativeMoney = 0.5*(X-Y)
pnRatio = (X+Y)/(X-Y)
MFI = 100 - 100 / ( 1 + pnRatio )
When I get the formula out of Maple and put it in a PCF
I always get divide by zero error.
----------
Please can you give me something that will work even if with a slight approximation.
As I am not a mathematician please can you advise me of ways to get around
divide by zeros in PCF's even with appropriate approximations.
Ideally, Worden language should include simple script capability.
Thanks.
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Registered User
Joined: 1/1/2005
Posts: 2,645
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The form:
100*PMF/(PMF+NMF) = 100*PMF/total MF
does not always solve the divide by zero problem.
If you change the form to:
100*PMF/(totalMF+0.000001)
or to:
100*(1-1/(PMF/(NMF+0.000001)))
it will solve the divide by zero problem. This works because the smallest positive number NMF can be is 0.01.
Thanks,
Jim Murphy
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Registered User
Joined: 2/27/2006
Posts: 16
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Thank you all for your help.
I have been successful in creating the 5 day indicator.
There have been no divide by zero episodes even without putting 0.00001.
After having reviewed the links and implemented your suggestions I can say that I am very much relieved that SGN() function can be used in the expressions to test tautologies and implement logical conditions.
But had I not reviewed those posts I would have never guessed the
use for SGN. I think that SGN (signum) in math returns +1 for positive,
-1 for negative and 0 for undefined.
I was therefore automatically biased to think that it tested numbers
for positive or negative. The booleans did not come into mind.
Thanks once again.
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Registered User
Joined: 1/1/2005
Posts: 2,645
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QUOTE (krck) I think that SGN (signum) in math returns +1 for positive,
-1 for negative and 0 for undefined.
The signum function on the real numbers is defined by:
SGN( x ) = +1, x > 0
SGN( x ) = 0, x = 0
SGN( x ) = -1, x < 0
The SGN( x ) is not 0 in mathematics when x is undefined, it remains equally undefined.
Thanks,
Jim Murphy
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Registered User
Joined: 2/27/2006
Posts: 16
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True, my error.
Sgn(0) is undefined but can be either 0 or 1.
Other undefined values are undefined.
signum
or signum function, n. the real function, denoted sgn or sg, that assigns the sign of a nonzero number to that number; alternatively, sgn can be defined as +1 for positive x and -1 for negative x. The term is also used for the corresponding function that sends x to x / || x || for any nonzero x, in any normed space, and especially complex numbers. sgn(0) is generally undefined, but it can be assigned a complex number of absolute value 0 or 1.
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Registered User
Joined: 2/27/2006
Posts: 16
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Heh, just pasted the definition, did not realize that '( x )' was an emoticon.
Sorry, I'll be sure to use preview next time.
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