MFI {TTR} | R Documentation |
The MFI is a ratio of positive and negative money flow over time.
MFI(HLC, volume, n=14)
HLC |
Object that is coercible to xts or matrix and contains High-Low-Close prices. If only a univariate series is given, it will be used. See details. |
volume |
Vector or matrix of volume observations corresponding
to HLC object. |
n |
Number of periods to use. |
Money Flow (MF) is the product of price and volume. Positive/negative
MF occur when today's price is higher/lower than yesterday's price.
The MFI is calculated by dividing positive MF by negative MF for the
past n
periods. It is then scaled between 0 and 100.
MFI is usually calculated using the typical price, but if a univariate series (e.g. Close, Weighted Close, Median Price, etc.) is provided, it will be used instead.
A object of the same class as HLC
and volume
or a vector
(if try.xts
fails) containing the MFI values.
Divergence between MFI and price can be indicative of a reversal. In addition, values above/below 80/20 indicate market tops/bottoms.
Josh Ulrich
The following site(s) were used to code/document this indicator:
http://www.fmlabs.com/reference/default.htm?url=MoneyFlowIndex.htm
http://www.linnsoft.com/tour/techind/mfi.htm
http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:money_flow_index_mfi
data(ttrc) mfi <- MFI(ttrc[,c("High","Low","Close")], ttrc[,"Volume"])