# Copyright 2005, 2006, 2007, 2009, 2010, 2011 Kevin Ryde
# This file is part of Chart.
#
# Chart is free software; you can redistribute it and/or modify it under the
# terms of the GNU General Public License as published by the Free Software
# Foundation; either version 3, or (at your option) any later version.
#
# Chart is distributed in the hope that it will be useful, but WITHOUT ANY
# WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
# FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
# details.
#
# You should have received a copy of the GNU General Public License along
# with Chart. If not, see <http://www.gnu.org/licenses/>.
package App::Chart::Series::Derived::MFI;
use 5.010;
use strict;
use warnings;
use Carp;
use List::Util qw(min max);
use Locale::TextDomain ('App-Chart');
use base 'App::Chart::Series::Indicator';
use App::Chart::Series::Derived::RSI;
use App::Chart::Series::Derived::TypicalPrice;
# http://www.linnsoft.com/tour/techind/mfi.htm
# Formula, and sample Apple (AAPL) from 1999/2000 as 9-day MFI smoothed
# by 7-day SMA.
#
# The MFI formula is sometimes written
#
# / 100 \
# | --------------- |
# MFI = 100 - | positive MF |
# | 1 + ----------- |
# \ negative MF /
#
#
# but it's much easier to rearrange that to what's shown in the manual,
#
# positive MF
# MFI = 100 * -----------
# pos+neg MF
sub longname { __('MFI - Money Flow Index') }
sub shortname { __('MFI') }
sub manual { __p('manual-node','Money Flow Index') }
use constant
{ type => 'indicator',
units => 'percentage',
minimum => 0,
maximum => 100,
hlines => [ 20, 80 ],
parameter_info => [ { name => __('Days'),
key => 'mfi_days',
type => 'integer',
minimum => 1,
default => 14 } ],
};
sub new {
my ($class, $parent, $N) = @_;
$N //= parameter_info()->[0]->{'default'};
($N > 0) || croak "MFI bad N: $N";
return $class->SUPER::new
(parent => $parent,
parameters => [ $N ],
arrays => { values => [] },
array_aliases => { });
}
sub warmup_count {
my ($self_or_class, $N) = @_;
return $N;
}
sub proc {
my ($class_or_self, $N) = @_;
my $num_proc = App::Chart::Series::Calculation->sum ($N);
my $den_proc = App::Chart::Series::Calculation->sum ($N);
my $prev_tp;
return sub {
my ($high, $low, $close, $volume) = @_;
my $tp = App::Chart::Series::Derived::TypicalPrice::typical_price
($high, $low, $close);
$volume //= 0;
my $mfi;
if (defined $prev_tp) {
# money flow is +tp*volume, -tp*volume, or 0
my $mf = ($tp <=> $prev_tp) * $tp * $volume;
$prev_tp = $tp;
my $num = $num_proc->(max ($mf, 0));
my $den = $den_proc->(abs ($mf));
$mfi = ($den == 0 ? 0 : $num/$den);
}
$prev_tp = $tp;
return $mfi;
};
}
sub fill_part {
my ($self, $lo, $hi) = @_;
### MFI fill_part(): "$lo $hi"
my $parent = $self->{'parent'};
my $warmup_count = $self->warmup_count_for_position ($lo);
my $start = $parent->find_before ($lo, $warmup_count);
$parent->fill ($lo, $hi);
my $p = $parent->values_array;
my $ph = $parent->array('highs') || $p;
my $pl = $parent->array('lows') || $p;
my $pv = $parent->array('volumes') || [];
my $s = $self->values_array;
$hi = min ($hi, $#$p);
if ($#$s < $hi) { $#$s = $hi; } # pre-extend
my $proc = $self->proc(@{$self->{'parameters'}});
foreach my $i ($start .. $lo-1) {
my $close = $p->[$i] // next;
$proc->($ph->[$i], $pl->[$i], $close, $pv->[$i]);
}
foreach my $i ($lo .. $hi) {
my $close = $p->[$i] // next;
$s->[$i] = $proc->($ph->[$i], $pl->[$i], $close, $pv->[$i]);
}
}
1;
__END__
# =head1 NAME
#
# App::Chart::Series::Derived::MFI -- money flow index
#
# =head1 SYNOPSIS
#
# my $series = $parent->MFI($N);
#
# =head1 DESCRIPTION
#
# ...
#
# =head1 SEE ALSO
#
# L<App::Chart::Series>
#
# =cut