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?
