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89 lines
2.6 KiB
Python
89 lines
2.6 KiB
Python
# -*- coding: utf-8 -*-
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from pandas import DataFrame
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from ..overlap.hlc3 import hlc3
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from ..utils import get_drift, get_offset, verify_series
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def mfi(high, low, close, volume, length=None, drift=None, offset=None, **kwargs):
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"""Indicator: Money Flow Index (MFI)"""
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# Validate arguments
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high = verify_series(high)
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low = verify_series(low)
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close = verify_series(close)
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volume = verify_series(volume)
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length = int(length) if length and length > 0 else 14
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drift = get_drift(drift)
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offset = get_offset(offset)
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# Calculate Result
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typical_price = hlc3(high=high, low=low, close=close)
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raw_money_flow = typical_price * volume
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tdf = DataFrame({'diff': 0, 'rmf': raw_money_flow, '+mf': 0, '-mf': 0})
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tdf.loc[(typical_price.diff(drift) > 0), 'diff'] = 1
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tdf.loc[tdf['diff'] == 1, '+mf'] = raw_money_flow
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tdf.loc[(typical_price.diff(drift) < 0), 'diff'] = -1
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tdf.loc[tdf['diff'] == -1, '-mf'] = raw_money_flow
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psum = tdf['+mf'].rolling(length).sum()
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nsum = tdf['-mf'].rolling(length).sum()
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tdf['mr'] = psum / nsum
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mfi = 100 * psum / (psum + nsum)
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tdf['mfi'] = mfi
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# Offset
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if offset != 0:
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mfi = mfi.shift(offset)
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# Handle fills
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if 'fillna' in kwargs:
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mfi.fillna(kwargs['fillna'], inplace=True)
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if 'fill_method' in kwargs:
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mfi.fillna(method=kwargs['fill_method'], inplace=True)
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# Name and Categorize it
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mfi.name = f"MFI_{length}"
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mfi.category = 'volume'
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return mfi
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mfi.__doc__ = \
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"""Money Flow Index (MFI)
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Money Flow Index is an oscillator indicator that is used to measure buying and
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selling pressure by utilizing both price and volume.
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Sources:
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https://www.tradingview.com/wiki/Money_Flow_(MFI)
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Calculation:
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Default Inputs:
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length=14, drift=1
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tp = typical_price = hlc3 = (high + low + close) / 3
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rmf = raw_money_flow = tp * volume
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pmf = pos_money_flow = SUM(rmf, length) if tp.diff(drift) > 0 else 0
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nmf = neg_money_flow = SUM(rmf, length) if tp.diff(drift) < 0 else 0
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MFR = money_flow_ratio = pmf / nmf
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MFI = money_flow_index = 100 * pmf / (pmf + nmf)
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Args:
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high (pd.Series): Series of 'high's
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low (pd.Series): Series of 'low's
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close (pd.Series): Series of 'close's
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volume (pd.Series): Series of 'volume's
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length (int): The sum period. Default: 14
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drift (int): The difference period. Default: 1
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offset (int): How many periods to offset the result. Default: 0
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Kwargs:
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fillna (value, optional): pd.DataFrame.fillna(value)
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fill_method (value, optional): Type of fill method
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Returns:
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pd.Series: New feature generated.
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""" |