Advanced Chaikin Money Flow (CMF)

29 thg 6, 2018

TL;DR: change the aggregation to EMA to achieve similar results to Twiggs Money Flow. Play with the rest of parameters to get the desired results.

This script allows customization of CMF. It also includes all the improvements made by Twiggs Money flow.

Regular CMF does not take price gaps into account as you can see in the chart below. True range fixes this issue, as done in Twiggs Money flow (TMF).



More info here: incrediblecharts.com/indicators/twiggs_money_flow.php

Customization Options:
- You can change the effect of volume by setting volume exponent. 0 to 10 reduces the effect and 10+ increases it. In exchanges with too much wash trading, you may want to reduce volume effect.
- You can factor in price in CMF. It gives you a slightly different results. See my Volume x price (VxP) indicator for why it might be useful.
- The range can be changed to percentage (similar to RSI)

PS: I do not recommend using CMF in today's Crypto markets. Chaikin uses the same multiplier in CMF and Accumulation/Distribution Line (ADL). ADL is a totally broken indicator for BTC. If you look at the period after ATH (chart below), you will notice that ADL keeps increasing implying accumulation. While it is clear that there was distribution going on. The reason might be the artificially inflated prices in Crypto that is achieved by the help of bots and having "certain" exchanges as a price reference. So, my reasoning is that if ADL is a broken indicator, so should be CMF. CMF diverges from BTC price frequently. This is a double edged sword IMO. Still CMF is a much better indicator than ADL because it works relative to prior periods which covers some of its flaws.




Note for super nerds: Twiggs Money Flow includes true range and Welles Wilder's Moving Average (WWMA). I have seen some other scripts using their own calculations for WWMA which is not efficient. WWMA is equal to built-in RMA/SMMA which is equal to EMA with length 2x-1.

14 thg 12, 2018

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TV pine upgrade f...ed up the scrip and I had to fix it