Money Flow Index Strategy

README.md

@@ -111,6 +111,7 @@ The following list of strategies are currently supported by this package:
 -	Chande Forecast Oscillator Strategy
 -	[Community Channel Index (CCI) Strategy](strategy/trend/README.md#type-ccistrategy)
 -	[Double Exponential Moving Average (DEMA) Strategy](strategy/trend/README.md#type-demastrategy)
+-   [Envelope Strategy](strategy/trend/README.md#type-envelope)
 -	[Golden Cross Strategy](strategy/trend/README.md#type-goldencrossstrategy)
 -	[Kaufman's Adaptive Moving Average (KAMA) Strategy](strategy/trend/README.md#type-kamastrategy)
 -	[Moving Average Convergence Divergence (MACD) Strategy](strategy/trend/README.md#type-macdstrategy)
@@ -139,7 +140,7 @@ The following list of strategies are currently supported by this package:
 -	Chaikin Money Flow Strategy
 -	Ease of Movement Strategy
 -	Force Index Strategy
--	Money Flow Index Strategy
+-	[Money Flow Index Strategy](strategy/volume/README.md#type-moneyflowindexstrategy)
 -	Negative Volume Index Strategy
 -	Volume Weighted Average Price Strategy
 

strategy/volume/README.md

@@ -0,0 +1,123 @@
+<!-- Code generated by gomarkdoc. DO NOT EDIT -->
+
+# volume
+
+```go
+import "github.com/cinar/indicator/v2/strategy/volume"
+```
+
+Package volume contains the volume strategy functions.
+
+This package belongs to the Indicator project. Indicator is a Golang module that supplies a variety of technical indicators, strategies, and a backtesting framework for analysis.
+
+### License
+
+```
+Copyright (c) 2021-2024 Onur Cinar.
+The source code is provided under GNU AGPLv3 License.
+https://github.com/cinar/indicator
+```
+
+### Disclaimer
+
+The information provided on this project is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.
+
+## Index
+
+- [Constants](<#constants>)
+- [func AllStrategies\(\) \[\]strategy.Strategy](<#AllStrategies>)
+- [type MoneyFlowIndexStrategy](<#MoneyFlowIndexStrategy>)
+  - [func NewMoneyFlowIndexStrategy\(\) \*MoneyFlowIndexStrategy](<#NewMoneyFlowIndexStrategy>)
+  - [func NewMoneyFlowIndexStrategyWith\(sellAt, buyAt float64\) \*MoneyFlowIndexStrategy](<#NewMoneyFlowIndexStrategyWith>)
+  - [func \(m \*MoneyFlowIndexStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan strategy.Action](<#MoneyFlowIndexStrategy.Compute>)
+  - [func \(m \*MoneyFlowIndexStrategy\) Name\(\) string](<#MoneyFlowIndexStrategy.Name>)
+  - [func \(m \*MoneyFlowIndexStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#MoneyFlowIndexStrategy.Report>)
+
+
+## Constants
+
+<a name="DefaultMoneyFlowIndexStrategySellAt"></a>
+
+```go
+const (
+    // DefaultMoneyFlowIndexStrategySellAt is the default sell at of 80.
+    DefaultMoneyFlowIndexStrategySellAt = 80
+
+    // DefaultMoneyFlowIndexStrategyBuyAt is the default buy at of 20.
+    DefaultMoneyFlowIndexStrategyBuyAt = 20
+)
+```
+
+<a name="AllStrategies"></a>
+## func [AllStrategies](<https://github.com/cinar/indicator/blob/master/strategy/volume/volume.go#L26>)
+
+```go
+func AllStrategies() []strategy.Strategy
+```
+
+AllStrategies returns a slice containing references to all available volume strategies.
+
+<a name="MoneyFlowIndexStrategy"></a>
+## type [MoneyFlowIndexStrategy](<https://github.com/cinar/indicator/blob/master/strategy/volume/money_flow_index_strategy.go#L26-L35>)
+
+MoneyFlowIndexStrategy represents the configuration parameters for calculating the Money Flow Index strategy. Recommends a Sell action when it crosses over 80, and recommends a Buy action when it crosses below 20.
+
+```go
+type MoneyFlowIndexStrategy struct {
+    // MoneyFlowIndex is the Money Flow Index indicator instance.
+    MoneyFlowIndex *volume.Mfi[float64]
+
+    // SellAt is the sell at value.
+    SellAt float64
+
+    // BuyAt is the buy at value.
+    BuyAt float64
+}
+```
+
+<a name="NewMoneyFlowIndexStrategy"></a>
+### func [NewMoneyFlowIndexStrategy](<https://github.com/cinar/indicator/blob/master/strategy/volume/money_flow_index_strategy.go#L38>)
+
+```go
+func NewMoneyFlowIndexStrategy() *MoneyFlowIndexStrategy
+```
+
+NewMoneyFlowIndexStrategy function initializes a new Money Flow Index strategy instance with the default parameters.
+
+<a name="NewMoneyFlowIndexStrategyWith"></a>
+### func [NewMoneyFlowIndexStrategyWith](<https://github.com/cinar/indicator/blob/master/strategy/volume/money_flow_index_strategy.go#L47>)
+
+```go
+func NewMoneyFlowIndexStrategyWith(sellAt, buyAt float64) *MoneyFlowIndexStrategy
+```
+
+NewMoneyFlowIndexStrategyWith function initializes a new Money Flow Index strategy instance with the given parameters.
+
+<a name="MoneyFlowIndexStrategy.Compute"></a>
+### func \(\*MoneyFlowIndexStrategy\) [Compute](<https://github.com/cinar/indicator/blob/master/strategy/volume/money_flow_index_strategy.go#L61>)
+
+```go
+func (m *MoneyFlowIndexStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action
+```
+
+Compute processes the provided asset snapshots and generates a stream of actionable recommendations.
+
+<a name="MoneyFlowIndexStrategy.Name"></a>
+### func \(\*MoneyFlowIndexStrategy\) [Name](<https://github.com/cinar/indicator/blob/master/strategy/volume/money_flow_index_strategy.go#L56>)
+
+```go
+func (m *MoneyFlowIndexStrategy) Name() string
+```
+
+Name returns the name of the strategy.
+
+<a name="MoneyFlowIndexStrategy.Report"></a>
+### func \(\*MoneyFlowIndexStrategy\) [Report](<https://github.com/cinar/indicator/blob/master/strategy/volume/money_flow_index_strategy.go#L90>)
+
+```go
+func (m *MoneyFlowIndexStrategy) Report(c <-chan *asset.Snapshot) *helper.Report
+```
+
+Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
+
+Generated by [gomarkdoc](<https://github.com/princjef/gomarkdoc>)

strategy/volume/money_flow_index_strategy.go

@@ -0,0 +1,137 @@
+// Copyright (c) 2021-2024 Onur Cinar.
+// The source code is provided under GNU AGPLv3 License.
+// https://github.com/cinar/indicator
+
+package volume
+
+import (
+	"fmt"
+
+	"github.com/cinar/indicator/v2/asset"
+	"github.com/cinar/indicator/v2/helper"
+	"github.com/cinar/indicator/v2/strategy"
+	"github.com/cinar/indicator/v2/volume"
+)
+
+const (
+	// DefaultMoneyFlowIndexStrategySellAt is the default sell at of 80.
+	DefaultMoneyFlowIndexStrategySellAt = 80
+
+	// DefaultMoneyFlowIndexStrategyBuyAt is the default buy at of 20.
+	DefaultMoneyFlowIndexStrategyBuyAt = 20
+)
+
+// MoneyFlowIndexStrategy represents the configuration parameters for calculating the Money Flow Index strategy.
+// Recommends a Sell action when it crosses over 80, and recommends a Buy action when it crosses below 20.
+type MoneyFlowIndexStrategy struct {
+	// MoneyFlowIndex is the Money Flow Index indicator instance.
+	MoneyFlowIndex *volume.Mfi[float64]
+
+	// SellAt is the sell at value.
+	SellAt float64
+
+	// BuyAt is the buy at value.
+	BuyAt float64
+}
+
+// NewMoneyFlowIndexStrategy function initializes a new Money Flow Index strategy instance with the default parameters.
+func NewMoneyFlowIndexStrategy() *MoneyFlowIndexStrategy {
+	return NewMoneyFlowIndexStrategyWith(
+		DefaultMoneyFlowIndexStrategySellAt,
+		DefaultMoneyFlowIndexStrategyBuyAt,
+	)
+}
+
+// NewMoneyFlowIndexStrategyWith function initializes a new Money Flow Index strategy instance with the
+// given parameters.
+func NewMoneyFlowIndexStrategyWith(sellAt, buyAt float64) *MoneyFlowIndexStrategy {
+	return &MoneyFlowIndexStrategy{
+		MoneyFlowIndex: volume.NewMfi[float64](),
+		SellAt:         sellAt,
+		BuyAt:          buyAt,
+	}
+}
+
+// Name returns the name of the strategy.
+func (m *MoneyFlowIndexStrategy) Name() string {
+	return fmt.Sprintf("Money Flow Index Strategy (%f)", m.SellAt)
+}
+
+// Compute processes the provided asset snapshots and generates a stream of actionable recommendations.
+func (m *MoneyFlowIndexStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action {
+	snapshotsSplice := helper.Duplicate(snapshots, 4)
+
+	highs := asset.SnapshotsAsHighs(snapshotsSplice[0])
+	lows := asset.SnapshotsAsLows(snapshotsSplice[1])
+	closings := asset.SnapshotsAsClosings(snapshotsSplice[2])
+	volumes := asset.SnapshotsAsVolumes(snapshotsSplice[3])
+
+	mfis := m.MoneyFlowIndex.Compute(highs, lows, closings, volumes)
+
+	actions := helper.Map(mfis, func(mfi float64) strategy.Action {
+		if mfi >= m.SellAt {
+			return strategy.Sell
+		}
+
+		if mfi <= m.BuyAt {
+			return strategy.Buy
+		}
+
+		return strategy.Hold
+	})
+
+	// Money Flow Index starts only after a full period.
+	actions = helper.Shift(actions, m.MoneyFlowIndex.IdlePeriod(), strategy.Hold)
+
+	return actions
+}
+
+// Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
+func (m *MoneyFlowIndexStrategy) Report(c <-chan *asset.Snapshot) *helper.Report {
+	//
+	// snapshots[0] -> dates
+	// snapshots[1] -> highs       |
+	// snapshots[2] -> lows        |
+	// snapshots[3] -> closings[0] -> closings
+	//                 closings[1] -> superTrend
+	// snapshots[4] -> volumes
+	// snapshots[5] -> actions     -> annotations
+	//              -> outcomes
+	//
+	snapshots := helper.Duplicate(c, 6)
+
+	dates := helper.Skip(
+		asset.SnapshotsAsDates(snapshots[0]),
+		m.MoneyFlowIndex.IdlePeriod(),
+	)
+
+	highs := asset.SnapshotsAsHighs(snapshots[1])
+	lows := asset.SnapshotsAsLows(snapshots[2])
+	closingsSplice := helper.Duplicate(
+		asset.SnapshotsAsClosings(snapshots[3]),
+		2,
+	)
+	volumes := asset.SnapshotsAsVolumes(snapshots[4])
+
+	mfis := m.MoneyFlowIndex.Compute(highs, lows, closingsSplice[0], volumes)
+	closingsSplice[1] = helper.Skip(closingsSplice[1], m.MoneyFlowIndex.IdlePeriod())
+
+	actions, outcomes := strategy.ComputeWithOutcome(m, snapshots[5])
+	actions = helper.Skip(actions, m.MoneyFlowIndex.IdlePeriod())
+	outcomes = helper.Skip(outcomes, m.MoneyFlowIndex.IdlePeriod())
+
+	annotations := strategy.ActionsToAnnotations(actions)
+	outcomes = helper.MultiplyBy(outcomes, 100)
+
+	report := helper.NewReport(m.Name(), dates)
+	report.AddChart()
+	report.AddChart()
+
+	report.AddColumn(helper.NewNumericReportColumn("Close", closingsSplice[1]))
+	report.AddColumn(helper.NewNumericReportColumn("Money Flow Index", mfis), 1)
+	report.AddColumn(helper.NewAnnotationReportColumn(annotations), 0, 1)
+
+	report.AddColumn(helper.NewNumericReportColumn("Outcome", outcomes), 2)
+
+	return report
+}

strategy/volume/money_flow_index_strategy_test.go

@@ -0,0 +1,55 @@
+// Copyright (c) 2021-2024 Onur Cinar.
+// The source code is provided under GNU AGPLv3 License.
+// https://github.com/cinar/indicator
+
+package volume_test
+
+import (
+	"os"
+	"testing"
+
+	"github.com/cinar/indicator/v2/asset"
+	"github.com/cinar/indicator/v2/helper"
+	"github.com/cinar/indicator/v2/strategy"
+	"github.com/cinar/indicator/v2/strategy/volume"
+)
+
+func TestMoneyFlowIndexStrategy(t *testing.T) {
+	snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true)
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	results, err := helper.ReadFromCsvFile[strategy.Result]("testdata/money_flow_index_strategy.csv", true)
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	expected := helper.Map(results, func(r *strategy.Result) strategy.Action { return r.Action })
+
+	mfis := volume.NewMoneyFlowIndexStrategy()
+	actual := mfis.Compute(snapshots)
+
+	err = helper.CheckEquals(actual, expected)
+	if err != nil {
+		t.Fatal(err)
+	}
+}
+
+func TestMoneyFlowIndexStrategyReport(t *testing.T) {
+	snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true)
+	if err != nil {
+		t.Fatal(err)
+	}
+
+	mfis := volume.NewMoneyFlowIndexStrategy()
+	report := mfis.Report(snapshots)
+
+	fileName := "money_flow_index_strategy.html"
+	defer os.Remove(fileName)
+
+	err = report.WriteToFile(fileName)
+	if err != nil {
+		t.Fatal(err)
+	}
+}

strategy/volume/testdata/brk-b.csv

@@ -0,0 +1 @@
+../../../asset/testdata/repository/brk-b.csv