Implement Money Flow Index

Author: tsubus

go.sum

@@ -16,4 +16,4 @@ github.com/stretchr/testify v1.7.0 h1:nwc3DEeHmmLAfoZucVR881uASk0Mfjw8xYJ99tb5Cc
 github.com/stretchr/testify v1.7.0/go.mod h1:6Fq8oRcR53rry900zMqJjRRixrwX3KX962/h/Wwjteg=
 gopkg.in/check.v1 v0.0.0-20161208181325-20d25e280405/go.mod h1:Co6ibVJAznAaIkqp8huTwlJQCZ016jof/cbN4VW5Yz0=
 gopkg.in/yaml.v3 v3.0.0-20200313102051-9f266ea9e77c h1:dUUwHk2QECo/6vqA44rthZ8ie2QXMNeKRTHCNY2nXvo=
-gopkg.in/yaml.v3 v3.0.0-20200313102051-9f266ea9e77c/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=
+gopkg.in/yaml.v3 v3.0.0-20200313102051-9f266ea9e77c/go.mod h1:K4uyk7z7BCEPqu6E+C64Yfv1cQ7kz7rIZviUmN+EgEM=

indicator_money_flow.go

@@ -0,0 +1,73 @@
+package techan
+
+import (
+	"math"
+
+	"github.com/sdcoffey/big"
+)
+
+type moneyFlowIndexIndicator struct {
+	mfIndicator Indicator
+	oneHundred  big.Decimal
+}
+
+// NewMoneyFlowIndexIndicator returns a derivative Indicator which returns the money flow index of the base indicator
+// in a given time frame. A more in-depth explanation of money flow index can be found here:
+// https://www.investopedia.com/terms/m/mfi.asp
+func NewMoneyFlowIndexIndicator(series *TimeSeries, timeframe int) Indicator {
+	return moneyFlowIndexIndicator{
+		mfIndicator: NewMoneyFlowRatioIndicator(series, timeframe),
+		oneHundred:  big.NewFromString("100"),
+	}
+}
+
+func (mfi moneyFlowIndexIndicator) Calculate(index int) big.Decimal {
+	moneyFlowRatio := mfi.mfIndicator.Calculate(index)
+
+	return mfi.oneHundred.Sub(mfi.oneHundred.Div(big.ONE.Add(moneyFlowRatio)))
+}
+
+type moneyFlowRatioIndicator struct {
+	typicalPrice Indicator
+	volume       Indicator
+	window       int
+}
+
+// NewMoneyFlowRatioIndicator returns a derivative Indicator which returns the money flow ratio of the base indicator
+// in a given time frame. Money flow ratio is the positive money flow divided by the negative money flow during the
+// same time frame
+func NewMoneyFlowRatioIndicator(series *TimeSeries, timeframe int) Indicator {
+	return moneyFlowRatioIndicator{
+		typicalPrice: NewTypicalPriceIndicator(series),
+		volume:       NewVolumeIndicator(series),
+		window:       timeframe,
+	}
+}
+
+func (mfr moneyFlowRatioIndicator) Calculate(index int) big.Decimal {
+	if index < mfr.window-1 {
+		return big.ZERO
+	}
+
+	positiveMoneyFlow := big.ZERO
+	negativeMoneyFlow := big.ZERO
+
+	rawMoneyFlow := mfr.typicalPrice.Calculate(index).Mul(mfr.volume.Calculate(index))
+	for i := index; i > index-mfr.window+1; i-- {
+		prevRawMoneyFlow := mfr.typicalPrice.Calculate(i - 1).Mul(mfr.volume.Calculate(i - 1))
+
+		if rawMoneyFlow.GT(prevRawMoneyFlow) {
+			positiveMoneyFlow = positiveMoneyFlow.Add(rawMoneyFlow)
+		} else if rawMoneyFlow.LT(prevRawMoneyFlow) {
+			negativeMoneyFlow = negativeMoneyFlow.Add(rawMoneyFlow)
+		}
+
+		rawMoneyFlow = prevRawMoneyFlow
+	}
+
+	if negativeMoneyFlow.EQ(big.ZERO) {
+		return big.NewDecimal(math.Inf(1))
+	}
+
+	return positiveMoneyFlow.Div(negativeMoneyFlow)
+}

indicator_money_flow_test.go

@@ -0,0 +1,45 @@
+package techan
+
+import (
+	"math"
+	"testing"
+)
+
+var series = mockTimeSeriesOCHLV(
+	[]float64{10, 12, 12, 8, 1000},
+	[]float64{11, 14, 14, 9, 1500},
+	[]float64{10, 20, 24, 10, 1200},
+	[]float64{9, 10, 11, 9, 1800},
+	[]float64{11, 14, 14, 9, 2000},
+	[]float64{9, 10, 11, 9, 1300},
+)
+
+func TestMoneyFlowIndexIndicator(t *testing.T) {
+	indicator := NewMoneyFlowIndexIndicator(series, 3)
+
+	expectedValues := []float64{
+		0,
+		0,
+		100,
+		54.5455,
+		57.8125,
+		65.4867,
+	}
+
+	indicatorEquals(t, expectedValues, indicator)
+}
+
+func TestMoneyFlowRatioIndicator(t *testing.T) {
+	indicator := NewMoneyFlowRatioIndicator(series, 3)
+
+	expectedValues := []float64{
+		0,
+		0,
+		math.Inf(1),
+		1.2,
+		1.3704,
+		1.8974,
+	}
+
+	indicatorEquals(t, expectedValues, indicator)
+}

testutils.go

@@ -4,21 +4,22 @@ import (
 	"fmt"
 	"math"
 	"math/rand"
+	"strconv"
 	"testing"
 	"time"
 
-	"strconv"
-
 	"github.com/sdcoffey/big"
 	"github.com/stretchr/testify/assert"
 )
 
-var candleIndex int
-var mockedTimeSeries = mockTimeSeriesFl(
-	64.75, 63.79, 63.73,
-	63.73, 63.55, 63.19,
-	63.91, 63.85, 62.95,
-	63.37, 61.33, 61.51)
+var (
+	candleIndex      int
+	mockedTimeSeries = mockTimeSeriesFl(
+		64.75, 63.79, 63.73,
+		63.73, 63.55, 63.19,
+		63.91, 63.85, 62.95,
+		63.37, 61.33, 61.51)
+)
 
 func randomTimeSeries(size int) *TimeSeries {
 	vals := make([]string, size)
@@ -56,6 +57,22 @@ func mockTimeSeriesOCHL(values ...[]float64) *TimeSeries {
 	return ts
 }
 
+func mockTimeSeriesOCHLV(values ...[]float64) *TimeSeries {
+	ts := NewTimeSeries()
+	for i, ochlv := range values {
+		candle := NewCandle(NewTimePeriod(time.Unix(int64(i), 0), time.Second))
+		candle.OpenPrice = big.NewDecimal(ochlv[0])
+		candle.ClosePrice = big.NewDecimal(ochlv[1])
+		candle.MaxPrice = big.NewDecimal(ochlv[2])
+		candle.MinPrice = big.NewDecimal(ochlv[3])
+		candle.Volume = big.NewDecimal(ochlv[4])
+
+		ts.AddCandle(candle)
+	}
+
+	return ts
+}
+
 func mockTimeSeries(values ...string) *TimeSeries {
 	ts := NewTimeSeries()
 	for _, val := range values {