A final try at all 3, Craig.
1) Should have rearranged MFI from the start:
MFI:= 100 -100/(1+NegMF/PosMF) = 100 -100*NegMF/(NegMF+PosMF);
no div by 0 and calc may be faster -- see below.
2)diddling the for loop and stepping thru [as I suggested for tsf]
would be a pain for SMA but great for EMA. See EMA code below.
3) Is okay but I changed it to
-----------
typPr:= high(i)+low(i)+close(i);
ptypPr:= high(i-1)+low(i-1)+close(i-1);
if typPr < ptypPr then
NegMF:= NegMF + typPr*vol(i)/3;
endif;
if typPr != ptypPr then
Denom:= Denom + typPr*vol(i)/3;
endif;
------------
for the rearranged MFI.
[I'm more than ready to switch to the TF+ version ;)]:
(V*((H+L+C)-TY1)U2*(H+L+C))F&1*100/(V*((H+L+C)-TY1)U1U0*(H+L+C))F&1
-Bob
-------------
//--MoneyFlow Index--
// Change to eMFI to enable stepping thru a back test
input = "250vol.lst";
output = "mfixx.lst";
issuetype common;
integer i, lenMFI, bar, first, last; //add backtest vars
float typPr, ptypPr, PosMF, NegMF, eMFI, peMFI, Denom;
lenMFI:= 14; // Length of MFI EMA Set this to 27? ******
first:= 0; last:= 0; // Set these neg for BT ******
Daystoload = 1 +3*lenMFI -first; // should settle EMA down enough
DaysRequired = 1 +3*lenMFI -first;
// Now calc starting MFI
PosMF:=0; NegMF:=0; Denom:= 0.0001; // precompile div by 0
for i = first - 3*lenMFI to first -1 do // could reduce 3 to 1.5
typPr:= high(i)+low(i)+close(i);
ptypPr:= high(i-1)+low(i-1)+close(i-1);
if typPr < ptypPr then
NegMF:= NegMF + (typPr*vol(i)/3 -NegMF)*2/(lenMFI+1);
endif;
if typPr != ptypPr then
Denom:= Denom + (typPr*vol(i)/3 -Denom)*2/(lenMFI+1);
endif;
//eATR:= eATR + (tr-eATR)*2/(lenATR+1);
next i;
peMFI:= 100 -100*NegMF/Denom;
// Now into "Backtesting loop
for bar = first to last do // now
typPr:= high(bar)+low(bar)+close(bar);
ptypPr:= high(bar-1)+low(bar-1)+close(bar-1);
if typPr < ptypPr then
NegMF:= NegMF + (typPr*vol(bar)/3 -NegMF)*2/(lenMFI+1);
endif;
if typPr != ptypPr then
Denom:= Denom + (typPr*vol(bar)/3 -Denom)*2/(lenMFI+1);
endif;
eMFI:= 100 -100*NegMF/Denom;
if eMFI > peMFI then
println symbol,",",date(bar),",",close(Bar):8:2,",",
peMFI:8:4,",",eMFI:8:4;
endif;
peMFI:= eMFI; // for next bar
next bar; |
