Method: TechnicalAnalysis::Mfi.calculate

Defined in:
lib/technical_analysis/indicators/mfi.rb

.calculate(data, period: 14) ⇒ Array<MfiValue>

Calculates the money flow index (MFI) for the data over the given period en.wikipedia.org/wiki/Money_flow_index

Parameters:

  • data (Array) —

    Array of hashes with keys (:date_time, :high, :low, :close, :volume)

  • period (Integer) (defaults to: 14) —

    The given period to calculate the MFI

Returns:

  • (Array<MfiValue>) —

    An array of MfiValue instances



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# File 'lib/technical_analysis/indicators/mfi.rb', line 52

def self.calculate(data, period: 14)
  period = period.to_i
  Validation.validate_numeric_data(data, :high, :low, :close, :volume)
  Validation.validate_length(data, min_data_size(period: period))
  Validation.validate_date_time_key(data)

  data = data.sort_by { |row| row[:date_time] }

  output = []
  prev_typical_price = StockCalculation.typical_price(data.first)
  raw_money_flows = []

  data.shift

  data.each do |v|
    typical_price = StockCalculation.typical_price(v)

    if typical_price < prev_typical_price
      money_flow = (-1.0 * typical_price * v[:volume])
    elsif typical_price > prev_typical_price
      money_flow = (typical_price * v[:volume])
    else
      money_flow = 0.0
    end

    raw_money_flows << money_flow

    if raw_money_flows.size == period
      positive_period_flows = ArrayHelper.sum(raw_money_flows.map { |rmf| rmf.positive? ? rmf : 0 })
      negative_period_flows = ArrayHelper.sum(raw_money_flows.map { |rmf| rmf.negative? ? rmf.abs : 0 })

      money_flow_ratio = (positive_period_flows / negative_period_flows)
      mfi = (100.00 - (100.00 / (1.0 + money_flow_ratio)))

      output << MfiValue.new(date_time: v[:date_time], mfi: mfi)

      raw_money_flows.shift
    end

    prev_typical_price = typical_price
  end

  output.sort_by(&:date_time).reverse
end