Money Flow Index for Pipeline

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posted Jul 12, 2018

Hey girls and guys,

I am new to the community and love it so far. I am now trying to implement some CustomFactors, however, there is a challenge, I don't really know how to approach maybe somebody could help.

Basically what I am trying to do ist to program the Money Flow Index as described in here: MFI

class MoneyFlowIndex(CustomFactor):  
    inputs = [USEquityPricing.high, USEquityPricing.low, USEquityPricing.close, USEquityPricing.volume]  
    window_length = 20  
    def compute(self, today, asset_ids, out, high, low, close, volume):  
        typical_price = (high + low + close)/3  
        money_flow = typical_price * volume  
        pos_money_flow = 0  
        neg_money_flow = 0  
        for i in range(1, self.window_length):  
            if money_flow[i-1] - money_flow[i] > 0:  
                pos_money_flow += money_flow[i]  
            elif money_flow[i-1] - money_flow[i] < 0:  
                neg_money_flow += money_flow[i]  
        money_ration = pos_money_flow/neg_money_flow  
        out[:] = 100 - 100/(1 + money_ratio)

There are basically two problems I see. First of all I would need a window which goes one further than the window size to calculate all the changes.

Second, my iteration over the data rows doesn't work out and I probably have to use a filter I only have limited experience. Sorry for the beginner questions but the pipeline really needs some getting used to.

Thanks
Benjamin

5 responses

Karl Mun

Jul 12, 2018

Hi Benjamin, you may find this post by Gil Wassermann helpful.

Benjamin Hofmann

Jul 12, 2018

Sweet thanks Karl, exactly what I was looking for!

ali al-karaawi

Mar 10, 2020

Hello, I'm a new quantopian 🤣. how to add this to pipeline?

Dan Whitnable

Mar 10, 2020

@ali al-karaawi. First off, welcome to Quantopian. For an understanding of pipeline and how to add factors you should read the tutorial on pipelines especially lesson 10 on custom factors. Basically, you first define your custom factor. I this case (thanks to Gil Wassermann) one can simply copy the code from the notebook referenced in the above linked post.

class MFI(CustomFactor):  
    """  
    Money Flow Index  
    Volume Indicator  
    **Default Inputs:**  USEquityPricing.high, USEquityPricing.low, USEquityPricing.close, USEquityPricing.volume  
    **Default Window Length:** 15 (14 + 1-day for difference in prices)  
    http://www.fmlabs.com/reference/default.htm?url=MoneyFlowIndex.htm  
    """     

    inputs = [USEquityPricing.high, USEquityPricing.low, USEquityPricing.close, USEquityPricing.volume]  
    window_length = 15

    def compute(self, today, assets, out, high, low, close, vol):

        # calculate typical price  
        typical_price = (high + low + close) / 3.

        # calculate money flow of typical price  
        money_flow = typical_price * vol

        # get differences in daily typical prices  
        tprice_diff = (typical_price - np.roll(typical_price, 1, axis=0))[1:]

        # create masked arrays for positive and negative money flow  
        pos_money_flow = np.ma.masked_array(money_flow[1:], tprice_diff < 0, fill_value = 0.)  
        neg_money_flow = np.ma.masked_array(money_flow[1:], tprice_diff > 0, fill_value = 0.)

        # calculate money ratio  
        money_ratio = np.sum(pos_money_flow, axis=0) / np.sum(neg_money_flow, axis=0)

        # MFI  
        out[:] = 100. - (100. / (1. + money_ratio))

Once the custom factor is defined, simply place it into the pipeline definition. Something like this

def make_pipeline():  
    money_flow_index = MFI()  
    close_price = USEquityPricing.close.latest  
    return Pipeline(  
        columns={  
            'money_flow_index': money_flow_index,  
            'close_price': close_price,  
        },  
        screen=QTradableStocksUS(),  
    )

Hope that helps. See attached notebook.

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ali al-karaawi

Mar 11, 2020

thank u so much @Dan Whitnable
it's great idea to use np.ma.masked_array instead of if

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