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Try Murray Ruggiero, of Ruggiero Associates. He is an expert on John
Herrick's Money Flow Index and has successfully applied it within
TradeStation for example to modeling oil and other commodities. If I
recall, it was particularly accurate system-wise, on oil index price
prediction and maybe even on bonds, for some reason. He has added a couple
of twists to the original work of Herrick which is Murray's normal style in
R&D. My impression at the time I saw it was that he was on to something
quite interesting.
Murray has published a lot of material in Futures Magazine and he also has a
subscription service called Inside Advantage which I subscribe to, which is
excellent quality trading research and a great value. He has a book which is
pretty good value in research also, called Cybernetic Trading Strategies.
IMO it's got some good 'original' research worth looking at. Murray can be
reached at 203 469 0880.
At 04:37 PM 10/2/98 +0100, you wrote:
>Hi,
>
>I am looking for the algorithm for John Herrick's Money Flow Index (MF).
>
>It was published in March and April 1998, magazine 'Technical Analysis of
>Stocks and Commodities' in the
>Article by Thomas Aspray.
>
>It is based on: mean price, volume and open interest and it goes like this:
>
>MF = C * V * (M-My) * (1 +/- 2 * Abs(OI-Oiy)/I)
>
>C - dollar value of 1-point move.
>V - trading volume,
>M - daily mean price.
>I - larger of today's or yesterday's open interest.
>
>I am not sure whether my algorithm is correct, and should like to check by
>comparing with
>Somebody else's.
>
>Does anybody has EL algorithm for it? Or maybe contents of those articles?
>
>Regards
>Dejan
>
>
Michael Paauwe
mpaauwe@xxxxxxxxxx
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