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A major problem with CMF (or II% as J. Bollinger would call it) is that it doesn't handle gaps very well. For
instance if price gaps down on high volume but still closes in the upper range of the bar, CMF will only take
the upper range close into consideration, ignoring the fact that price has dropped. The attached gif will show
you what I mean. This can play havoc with your "MoneyFlow Persistency" readings. One way around this is to use True High/Low in the calculation (the light blue line in the gif).
http://tinypic.com/d01v
p=21;th=Max(H,Ref(C,-1));//true hightl=Min(L,Ref(C,-1));//true lowII=Sum( Nz( (2*C-H-L)/(H-L) )*V ,p)/Sum(V,p);IItr=Sum( Nz( (2*C-tH-tL)/(tH-tL) )*V ,p)/Sum(V,p);
Plot(II,""+p+"-day II%",colorBlue,styleLine);Plot(IItr,""+p+"-day II% with true high/low",colorLightBlue,styleLine);
Just my two cents,Johan
--- In amibroker@xxxxxxxxxxxxxxx, "ricko8294_98" <ricko@x...> wrote:> Actually, I believe the Intraday Intensity(II) and the Chaiken> Moneyflow (CMF) indicators are identical.>> II = (2*close-high-low) / (high - low) * volume> CMF = ((Close - low) - Close - high)) / (high - low) * voluume.>> If you reconfigure the "((Close - low) - (Close - high))" you get> (close - close - high - low) - or (2*close - high - low)>> To normalize it I use> Cmf = Sum(((( C-L )-( H-C )) / ( H-L ))*V, 21 ) / Sum(V,21); -which> divides the 21 day sum of the CMF by the sum of the volume alsoover> 21 days.>> I also go a step further and determine "MoneyFlow Persistency" by> finding out how many days out of period "x" the 21-day CMF was> positive. I believe that positive values suggest the stock
isbeing> accumulated.>> For example, when I look at> CMF60 =Sum((CMF > 0),60)/(60/100); and> CMF45 =Sum((CMF > 0),45)/(45/100); (and a few other time periods) I> believe the stock is being accumulated if these values are 80 or> higher.>> I would be interested in comments> RickHöstrusk och grċ moln - köp en resa till solen pċ Yahoo! Resor
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