MoneyFlowIndex — Money Flow Index

The volume-weighted RSI: typical-price money flow split into positive and negative streams over the window, scaled 0–100. Extremes mean the same as RSI’s, but backed by traded money rather than price alone.

Signature

MoneyFlowIndex(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Window. Default 14, bounds 1–400.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads high, low, close, volume.

Formula

$$ TP = \tfrac{H+L+C}{3}, \quad RMF = TP \cdot V $$ $$ \text{MFI} = 100 - \frac{100}{1 + \sum RMF^{+} / \sum RMF^{-}} $$

Flows are positive on a bar whose typical price rose, negative when it fell. All-positive flow reads 100, all-negative 0, a fully flat window 50.

Warmup

period + 1 bars; 50 until then.

Reading the value

mfi.value
mfi < 20
mfi.crossed_above(50)

Example

class MfiReversion(Strategy):
    """Buy an MFI washout, exit at the midline."""
    period = Param(14, min=1, max=400)
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        mfi = MoneyFlowIndex(self.period, on=self.trade)
        if mfi.value < 20 and self.trade.is_flat:
            self.buy(self.trade, reason=f"MFI {mfi.value:.0f}")
        if mfi.value > 50 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="MFI recovered")

Notes

• Gene Quong & Avrum Soudack’s construction.
• Division-free edge handling: all-positive flow returns 100 directly rather than dividing.