Money Flow Index (MFI) is added.

README.md

@@ -55,6 +55,7 @@ The following list of indicators are currently supported by this package:
 
 - [Accumulation/Distribution (A/D)](volume_indicators.md#accumulationdistribution-ad)
 - [On-Balance Volume (OBV)](volume_indicators.md#on-balance-volume-obv)
+- [Money Flow Index (MFI)](volume_indicators.md#money-flow-index-mfi)
 
 ## Strategies Provided
 
@@ -87,7 +88,7 @@ The following list of strategies are currently supported by this package:
 
 ### Volume Strategies
 
-- No Strategies.
+- [Money Flow Index Strategy](volume_strategies.md#money-flow-index-strategy)
 
 ### Compound Strategies
 

helper.go

@@ -151,3 +151,70 @@ func generateNumbers(begin, end, step float64) []float64 {
 
 	return numbers
 }
+
+// Convets the []int64 to []float64.
+func asFloat64(values []int64) []float64 {
+	result := make([]float64, len(values))
+
+	for i := 0; i < len(values); i++ {
+		result[i] = float64(values[i])
+	}
+
+	return result
+}
+
+// Calculate power of base with exponent.
+func pow(base []float64, exponent float64) []float64 {
+	result := make([]float64, len(base))
+
+	for i := 0; i < len(result); i++ {
+		result[i] = math.Pow(base[i], exponent)
+	}
+
+	return result
+}
+
+// Extact sign.
+func extractSign(values []float64) []float64 {
+	result := make([]float64, len(values))
+
+	for i := 0; i < len(result); i++ {
+		if values[i] >= 0 {
+			result[i] = 1
+		} else {
+			result[i] = -1
+		}
+	}
+
+	return result
+}
+
+// Keep positives.
+func keepPositives(values []float64) []float64 {
+	result := make([]float64, len(values))
+
+	for i := 0; i < len(values); i++ {
+		if values[i] > 0 {
+			result[i] = values[i]
+		} else {
+			result[i] = 0
+		}
+	}
+
+	return result
+}
+
+// Keep negatives.
+func keepNegatives(values []float64) []float64 {
+	result := make([]float64, len(values))
+
+	for i := 0; i < len(values); i++ {
+		if values[i] < 0 {
+			result[i] = values[i]
+		} else {
+			result[i] = 0
+		}
+	}
+
+	return result
+}

helper_test.go

@@ -221,3 +221,89 @@ func TestGenerateNunbers(t *testing.T) {
 		}
 	}
 }
+
+func TestAsFloat64(t *testing.T) {
+	values := []int64{1, 2, 3, 4}
+	expected := []float64{1, 2, 3, 4}
+
+	actual := asFloat64(values)
+
+	if len(actual) != len(expected) {
+		t.Fatal("not the same size")
+	}
+
+	for i := 0; i < len(expected); i++ {
+		if actual[i] != expected[i] {
+			t.Fatalf("at %d actual %f expected %f", i, actual[i], expected[i])
+		}
+	}
+}
+
+func TestPow(t *testing.T) {
+	values := []float64{1, 2, 3, 4}
+	expected := []float64{1, 4, 9, 16}
+	exponent := 2.0
+
+	actual := pow(values, exponent)
+
+	if len(actual) != len(expected) {
+		t.Fatal("not the same size")
+	}
+
+	for i := 0; i < len(expected); i++ {
+		if actual[i] != expected[i] {
+			t.Fatalf("at %d actual %f expected %f", i, actual[i], expected[i])
+		}
+	}
+}
+
+func TestExtractSign(t *testing.T) {
+	values := []float64{1, -2, 3, 4, -5, 0, 6, -8, -9, 10}
+	expected := []float64{1, -1, 1, 1, -1, 1, 1, -1, -1, 1}
+
+	actual := extractSign(values)
+
+	if len(actual) != len(expected) {
+		t.Fatal("not the same size")
+	}
+
+	for i := 0; i < len(expected); i++ {
+		if actual[i] != expected[i] {
+			t.Fatalf("at %d actual %f expected %f", i, actual[i], expected[i])
+		}
+	}
+}
+
+func TestKeepPositives(t *testing.T) {
+	values := []float64{1, -2, -3, 4}
+	expected := []float64{1, 0, 0, 4}
+
+	actual := keepPositives(values)
+
+	if len(actual) != len(expected) {
+		t.Fatal("not the same size")
+	}
+
+	for i := 0; i < len(expected); i++ {
+		if actual[i] != expected[i] {
+			t.Fatalf("at %d actual %f expected %f", i, actual[i], expected[i])
+		}
+	}
+}
+
+func TestKeepNegatives(t *testing.T) {
+	values := []float64{1, -2, -3, 4}
+	expected := []float64{0, -2, -3, 0}
+
+	actual := keepNegatives(values)
+
+	if len(actual) != len(expected) {
+		t.Fatal("not the same size")
+	}
+
+	for i := 0; i < len(expected); i++ {
+		if actual[i] != expected[i] {
+			t.Fatalf("at %d actual %f expected %f", i, actual[i], expected[i])
+		}
+	}
+}

volume_indicators.go

@@ -57,3 +57,36 @@ func Obv(closing []float64, volume []int64) []int64 {
 
 	return obv
 }
+
+// The Money Flow Index (MFI) analyzes both the closing price and the volume
+// to measure to identify overbought and oversold states. It is similar to
+// the Relative Strength Index (RSI), but it also uses the volume.
+//
+// Raw Money Flow = Typical Price * Volume
+// Money Ratio = Positive Money Flow / Negative Money Flow
+// Money Flow Index = 100 - (100 / (1 + Money Ratio))
+//
+// Retruns money flow index values.
+func MoneyFlowIndex(period int, high, low, closing []float64, volume []int64) []float64 {
+	typicalPrice, _ := TypicalPrice(low, high, closing)
+	rawMoneyFlow := multiply(typicalPrice, asFloat64(volume))
+
+	signs := extractSign(diff(rawMoneyFlow, 1))
+	moneyFlow := multiply(signs, rawMoneyFlow)
+
+	positiveMoneyFlow := keepPositives(moneyFlow)
+	negativeMoneyFlow := keepNegatives(moneyFlow)
+
+	moneyRatio := divide(
+		Sum(period, positiveMoneyFlow),
+		Sum(period, negativeMoneyFlow))
+
+	moneyFlowIndex := addBy(multiplyBy(pow(addBy(moneyRatio, 1), -1), -100), 100)
+
+	return moneyFlowIndex
+}
+
+// Default money flow index with period 14.
+func DefaultMoneyFlowIndex(high, low, closing []float64, volume []int64) []float64 {
+	return MoneyFlowIndex(14, high, low, closing, volume)
+}

volume_indicators.md

@@ -4,6 +4,7 @@ Volumne indicators measure the strength of a trend based the volume.
 
 - [Accumulation/Distribution (A/D)](#accumulationdistribution-ad)
 - [On-Balance Volume (OBV)](#on-balance-volume-obv)
+- [Money Flow Index (MFI)](#money-flow-index-mfi)
 
 #### Accumulation/Distribution (A/D)
 
@@ -37,6 +38,23 @@ OBV = OBV-Prev +       0, if Closing = Closing-Prev
 result := indicator.Obv(closing, volume)
 ```
 
+#### Money Flow Index (MFI)
+
+The [MoneyFlowIndex](https://pkg.go.dev/github.com/cinar/indicator#MoneyFlowIndex) function analyzes both the closing price and the volume to measure to identify overbought and oversold states. It is similar to the Relative Strength Index (RSI), but it also uses the volume.
+
+```
+Raw Money Flow = Typical Price * Volume
+Money Ratio = Positive Money Flow / Negative Money Flow
+Money Flow Index = 100 - (100 / (1 + Money Ratio))
+```
+
+```Golang
+result := indicator.MoneyFlowIndex(period, high, low, closing, volume)
+```
+
+The [DefaultMoneyFlowIndex](https://pkg.go.dev/github.com/cinar/indicator#DefaultMoneyFlowIndex) function uses the default period of 14.
+
+
 ## Disclaimer
 
 The information provided on this project is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.

volume_indicators_test.go

@@ -0,0 +1,30 @@
+// Copyright (c) 2021 Onur Cinar. All Rights Reserved.
+// The source code is provided under MIT License.
+//
+// https://github.com/cinar/indicator
+
+package indicator
+
+import "testing"
+
+func TestMoneyFlowIndex(t *testing.T) {
+	high := []float64{10, 9, 12, 14, 12}
+	low := []float64{6, 7, 9, 12, 10}
+	closing := []float64{9, 11, 7, 10, 8}
+	volume := []int64{100, 110, 80, 120, 90}
+	expected := []float64{100, 100, 406.85, 207.69, 266.67}
+	period := 2
+
+	result := MoneyFlowIndex(period, high, low, closing, volume)
+	if len(result) != len(expected) {
+		t.Fatal("result not same size")
+	}
+
+	for i := 0; i < len(result); i++ {
+		actual := roundDigits(result[i], 2)
+
+		if actual != expected[i] {
+			t.Fatalf("result %d actual %f expected %f", i, actual, expected[i])
+		}
+	}
+}

volume_strategies.go

@@ -0,0 +1,26 @@
+// Copyright (c) 2021 Onur Cinar. All Rights Reserved.
+// The source code is provided under MIT License.
+//
+// https://github.com/cinar/indicator
+
+package indicator
+
+func MoneyFlowIndexStrategy(asset Asset) []Action {
+	actions := make([]Action, len(asset.Date))
+
+	moneyFlowIndex := DefaultMoneyFlowIndex(
+		asset.High,
+		asset.Low,
+		asset.Closing,
+		asset.Volume)
+
+	for i := 0; i < len(actions); i++ {
+		if moneyFlowIndex[i] >= 80 {
+			actions[i] = SELL
+		} else {
+			actions[i] = BUY
+		}
+	}
+
+	return actions
+}

volume_strategies.md

@@ -2,6 +2,16 @@
 
 Volume strategies generate signals based on a volume indicator.
 
+- [Money Flow Index Strategy](#money-flow-index-strategy)
+
+#### Money Flow Index Strategy
+
+The [MoneyFlowIndexStrategy](https://pkg.go.dev/github.com/cinar/indicator#MoneyFlowIndexStrategy) uses the _mfi_ values that are generated by the [Money Flow Index (MFI)](volume_indicators.md#money-flow-index-mfi) indicator function to provide a _SELL_ action when _mfi_ is greather than or equal to 80, and a _BUY_ action when _mfi_ is less than or equal to 20.
+
+```Golang
+actions := MoneyFlowIndexStrategy(asset)
+```
+
 ## Disclaimer
 
 The information provided on this project is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.