Money Flow Index (MFI)

[Rodrigo Brito]

I implemented the MFI for Backtrader, but I think this can be improved:

#!/usr/bin/env python3

import math
import backtrader as bt

class MFI(bt.Indicator):
    lines = ('mfi', 'money_flow_raw', 'typical', 'money_flow_pos', 'money_flow_neg')

    plotlines = dict(
        money_flow_raw=dict(_plotskip=True),
        money_flow_pos=dict(_plotskip=True),
        money_flow_neg=dict(_plotskip=True),
        typical=dict(_plotskip=True),
    )

    params = (
        ('period', 14),
    )

    def next(self):
        typical_price = (self.data.close[0] + self.data.low[0] + self.data.high[0]) / 3
        money_flow_raw = typical_price * self.data.volume[0]
        
        self.lines.typical[0] = typical_price
        self.lines.money_flow_raw[0] = money_flow_raw

        self.lines.money_flow_pos[0] = money_flow_raw if self.lines.typical[0] >= self.lines.typical[-1] else 0
        self.lines.money_flow_neg[0] = money_flow_raw if self.lines.typical[0] <= self.lines.typical[-1] else 0

        pos_period = math.fsum(self.lines.money_flow_pos.get(size=self.p.period))
        neg_period = math.fsum(self.lines.money_flow_neg.get(size=self.p.period))
        
        if neg_period == 0:
            self.lines.mfi[0] = 100
            return

        self.lines.mfi[0] =  100 - 100 / (1 +  pos_period / neg_period)

I used two auxiliary lines to sum negative/positive values when typical_price change. There are some alternative to reduce it and compare two different lines given a period?

[backtrader]

1. A reference is always a good starting point. It does let people be on common ground. For example

   • https://school.stockcharts.com/doku.php?id=technical_indicators:money_flow_index_mfi

2. You probably want to read the documentation about line delaying and stage-1, stage-2 operations.

   • Docs - Platform Concepts

3. What some people would call a "canonical" implementation can be found here ... (which you probably can better grasp after seeing the Stage-1 explanation about operators)

   • https://www.backtrader.com/blog/2019-07-08-canonical-or-not/canonical-or-not/