Twiggs Money Flow

[MrMilesIL]

Hi all,
I worte this EFS to implement Twiggs Money Flow concept but am having a problem with the calculation of the last bar on the chart. It is often way too lrg or small. I can't figure out what I'm doing wrong in the code.

If anyone could take a look I would really appreciate it!

Jonathan

[MrMilesIL]

screen shot

Screenshot of the error.

[MrMilesIL]

Duh!
Here is the efs.

[ACM]

Jonathan
There are a couple of errors in your formula. The first one which is the cause of the indicator going heywire on the last bar (ie when computing in real time) is that you are compounding the values of Sum and SumVol on every tick instead of smoothing the corresponding prior values and then adding to them the current values of AD and Volume.
The second error which can prevent the indicator to be calculated beyond a certain point is caused by a divide by 0 error which can occurr if the True Range ie TRH-TRL is equal to 0.
The enclosed revision of the relevant section of your script should fix both these errors. Some comments are included in the script
Alex

var xInit = false;
var xClose = null;
var xHigh  = null;
var xLow   = null;
var xVol   = null;
var Sum = 0;//moved from line 13
var Sum1 = 0;//added to store prior value of Sum
var SumVol = 0;//moved from line 14
var SumVol1 = 0;//added to store prior value of SumVol
 
function calcCMF(length,source){
 
    if(xInit == false){//reinstated this routine
        xClose = close();
        xHigh  = high();
        xLow   = low();
        xVol   = volume();
        xInit = true;
    }
    
    if(getBarState()==BARSTATE_NEWBAR){//at every new bar
        Sum1 = Sum;//assign to Sum1 the last computed value of Sum
        SumVol1 = SumVol;//same logic as above
    }
    
    var TRH = Math.max(xHigh.getValue(0),xClose.getValue(-1));
    var TRL = Math.min(xLow.getValue(0),xClose.getValue(-1)); 
    var TR  = TRH-TRL;//compute True Range
    if(TR==0) TR = 999999;//assign a value if TrueRange = 0 to eliminate divide by 0 errors
    var AD = ((xClose.getValue(0)-TRL)-(TRH-xClose.getValue(0)))/TR*xVol.getValue(0);
 
    if(getCurrentBarCount()<= length) {
        Sum    = Sum1+AD;//modified to sum AD to prior value of Sum not current
        SumVol = SumVol1+xVol.getValue(0);//same logic as above
    } else {
        Sum = Sum1*((length-1)/length)+AD;//prior value of Sum by coefficient plus current AD
        SumVol = SumVol1*((length-1)/length)+xVol.getValue(0);//same logic as above
    }
 
 if(SumVol==0) return;
 return (Sum/SumVol);
} 

[MrMilesIL]

Alex,
Thanks for the quick reply! I am still learning the language and didn't even realize there would be a problem with Tick data. Still have more to learn.
Jonathan

[ACM]

Jonathan
The problem is not with tick data but with the fact that your formula computed those sums on every tick when run in real time.
Alex

[MrMilesIL]

Alex,
I just reviewed the formula and can see that it now. Thanks for helping me see this. Formula works like a charm now on all chart time frames
Take care,

Jonathan

[ACM]

Jonathan
You are most welcome
Alex