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Technical Studies Reference


Chaikin Money Flow

This study calculates and displays the Chaikin Money Flow for the Price and Volume Data. The Chaikin Money Flow compares the closing price to the daily high-low range to determine how much volume is flowing into, or out of, a security, and then it compares this result to the total volume. It was developed by Marc Chaikin and is similar to the Chaikin Oscillator.

Let High, Low, and Closing Prices at Index \(t\) be denoted as \(H_t\), \(L_t\), and \(C_t\), respectively, and let the Volume at Index \(t\) be denoted as \(V_t\). We first define the Money Flow Multiplier, whose value at Index \(t\) is denoted as \(MFM_t\). We calculate this as follows.

For \(t = 0\): \(MFM_0 = 1\)

For \(t > 0\): \(\displaystyle{MFM_t =\left\{ \begin{matrix} 1 & H_t = L_t \space and \space C_t \geq C_{t - 1} \\ -1 & H_t = L_t \space and \space C_t < C_{t - 1} \\ \frac{(C_t - L_t) - (H_t - C_t)}{H_t - L_t} & H_t \neq L_t \end{matrix}\right .}\)

Let the Input Length be denoted as \(n\). Then we denote the Chaikin Money Flow for the given Input as \(CMF_t(n)\), and we compute it for \(t \geq n - 1\) as follows.

\(\displaystyle{CMF_t(n) =\left\{ \begin{matrix} \frac{\sum_{i = t - n + 1}^t(MFM_t \cdot V_t)}{\sum_{i = t - n + 1}^t V_t} & \sum_{i = t - n + 1}^t V_t \neq 0 \\ 0 & \sum_{i = t - n + 1}^t V_t = 0 \end{matrix}\right .}\)

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.

Chaikin_Money_Flow.23.scss


*Last modified Wednesday, 03rd January, 2018.