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Technical Studies Reference


Money Flow Index

This study calculates and displays a Money Flow Index (MFI) for the Price Data. The MFI is a momentum indicator that measures the strength of money flowing in and out of a security. It is related to the relative Strength Index (RSI), but whereas the RSI incorporates only prices, the MFI accounts for volume.

The MFI makes use of the notion of a Typical Price. We denote the Typical Price at Index \(t\) as \(P^{(Typ)}_t\), and we take this to be the average of the High \(H\), Low \(L\), and Close \(C\) Prices at Index \(t\). We state this symbolically as follows.

\(\displaystyle{P^{(Typ)}_t = \frac{H_t + L_t + C_t}{3}}\)

Let \(V_t\) denote the Volume at Index \(t\). We denote the Raw Money Flow, Positive Money Flow, and Negative Money Flow at Index \(t\) as \(RMF_t\), \(MF^{(+)}_t\), and \(MF^{(-)}_t\), respectively, and we compute them as follows.

\(RMF_t = P^{(Typ)}_t \cdot V_t\)

\(MF^{(+)}_t = \left\{ \begin{matrix} RMF_t & P^{(Typ)}_t > P^{(Typ)}_{t - 1} \\ 0 & P^{(Typ)}_t \leq P^{(Typ)}_{t - 1} \end{matrix}\right .\)

\(MF^{(-)}_t = \left\{ \begin{matrix} RMF_t & P^{(Typ)}_t < P^{(Typ)}_{t - 1} \\ 0 & P^{(Typ)}_t \geq P^{(Typ)}_{t - 1} \end{matrix}\right .\)

Let \(n\) denote the Length Input. Then we denote \(n\)-period Positive and Negative Money Flows as \(MF^{(+)}(n)_t\), and \(MF^{(-)}(n)_t\), respectively, and we compute them as follows.

\(\displaystyle{MF^{(+)}_t(n) = \sum_{i = t - n + 1}^t} MF^{(+)}_i\)

\(\displaystyle{MF^{(-)}_t(n) = \sum_{i = t - n + 1}^t} MF^{(-)}_i\)

We denote the Money Flow Ratio at Index \(t\) as \(MFR_t(n)\), and we compute it as follows.

\(\displaystyle{MFR_t(n) = \frac{MF^{(+)}_t(n)}{MF^{(-)}_t(n)}}\)

Finally, we denote the Money Flow Index at Index \(t\) as \(MFI_t(n)\), and we compute it as follows.

\(\displaystyle{MFI_t(n) = 100 - \frac{100}{1 + MFR_t(n)}}\)

Inputs

Spreadsheet

The spreadsheet below contains the formulas for this study in Spreadsheet format. Save this Spreadsheet to the Data Files Folder.

Open it through File >> Open Spreadsheet.

Money_Flow_Index.106.scss


*Last modified Thursday, 17th October, 2019.