StockFetcher Forums · General Discussion · Twiggs money flow<< >>Post Follow-up
rarya
7 posts
msg #66174
- Ignore rarya		 8/14/2008 8:03:19 AM

http://www.incrediblecharts.com/technical/twiggs_money_flow.php

Can can anyone provide any insight in how to code up this indiciator.

Thanks
guru_trader
485 posts
msg #66259
- Ignore guru_trader
modified		 8/16/2008 3:31:16 AM

This is basically it, according to the article ...

[edit: Formula A: ( [ (C-TRL) - (TRH-C) ] / TR ) * Volume ]

Fetcher[
/* Twiggs Money Flow using Formula A: ( ( (C-TRL) - (TRH-C) ) / TR ) * Volume */

/* Basic Criteria */
and chart-length is 120 days
and not otcbb
and avgvol(120) > 54321
and close > 1

/* According to the article and formula provided here ... http://www.incrediblecharts.com/technical/twiggs_money_flow.php */

/* True Range High */
and set{TRH, max( close 1 day ago, high ) }
and add column TRH

/* True Range Low */
and set{TRL, min( close 1 day ago, low ) }
and add column TRL

/* True Range */
and set{ TR, TRH - TRL }
and add column TR

/* Calculate ADV */
and set{ num1, close - TRL }
and set{ num2, TRH - close }
and set{ num3, num1 - num2 }
and set{ TRmax, 999999 }
and set{ deno1, max( TR, TRmax) }
and add column deno1
and set{ num4, num3 / deno1 }
and set{ ADV, num4 * volume }
and add column ADV

/* Calculate WV (uumm = not sure what was intended by the formua, read the footnote in the article) */
and set{ uumm, volume 1 day ago * 0 }
and set{ WV, volume + uumm }

/* Exponentially Smoothed ADV */
and set{ cema_ADV, cema( ADV, 27 ) }
and add column cema_ADV

/* Exponentially Smoothed wV*/
and set{ cema_WV, cema( WV, 27 ) }
and add column cema_WV

/* Twiggs Money Flow */
and set{TMF, cema_ADV / cema_WV }
and add column TMF
and draw TMF line at 0
]




[edit: Formula B: [ (C-TRL) - (TRH-C) ] / (TR * Volume) ]

Fetcher[
/* Twiggs Money Flow using Formula B: ( (C-TRL) - (TRH-C) ) / (TR * Volume) */

/* Basic Criteria */
and chart-length is 120 days
and not otcbb
and avgvol(120) > 54321
and close > 1

/* According to the article and formula provided here ... http://www.incrediblecharts.com/technical/twiggs_money_flow.php */

/* True Range High */
and set{TRH, max( close 1 day ago, high ) }
and add column TRH

/* True Range Low */
and set{TRL, min( close 1 day ago, low ) }
and add column TRL

/* True Range */
and set{ TR, TRH - TRL }
and add column TR

/* Calculate ADV */
and set{ num1, close - TRL }
and set{ num2, TRH - close }
and set{ num3, num1 - num2 }
and set{ TRmax, 999999 }
and set{ deno1, max( TR, TRmax) }
and add column deno1
and set{ deno2, deno1 * volume }
and set{ ADV, num3 / deno2 }
and add column ADV

/* Calculate WV (uumm = not sure what was intended by the formua, read the footnote in the article) */
and set{ uumm, volume 1 day ago * 0 }
and set{ WV, volume + uumm }

/* Exponentially Smoothed ADV */
and set{ cema_ADV, cema( ADV, 27 ) }
and add column cema_ADV

/* Exponentially Smoothed wV*/
and set{ cema_WV, cema( WV, 27 ) }
and add column cema_WV

/* Twiggs Money Flow */
and set{TMF, cema_ADV / cema_WV }
and add column TMF
and draw TMF line at 0
]



Note: I left out a few if-then statements, but they didn't seem essential. Perhaps I'll have time to code those in later. The divergences are nice.



chetron
2,817 posts
msg #66261
- Ignore chetron		 8/16/2008 7:47:51 AM

hey guru,
tmf only comes in 2 flavors for me, 0 and -0. is this right?
also deno1 is always 999999. am i doing something wrong?


tia chetron
guru_trader
485 posts
msg #66274
- Ignore guru_trader
modified		 8/16/2008 12:32:08 PM

I created another version of the TWF but that didn't match the "Metastock Formula" written on the website so I changed it up.

I do have a question about one part of the formula that is not clear ...

is it this? Formula A: ( [ (C-TRL) - (TRH-C) ] / TR ) * Volume

or this? Formula B: [ (C-TRL) - (TRH-C) ] / (TR * Volume)

the filter above was written in the style of Formula A, I'll post Formula B above also.

============================

From http://www.incrediblecharts.com/technical/twiggs_money_flow.php

MetaStock® Formula

{2003-09-24}
periods:=Input("TMF periods",1,100,21);
TRH:=Max(Ref(C,-1),H);
TRL:=Min(Ref(C,-1),L);
TR:=TRH-TRL;
ADV:=((C-TRL)-(TRH-C))/If(TR=0,999999,TR)*V;
WV:=V+(Ref(V,-1)*0);
If (Wilders(WV,periods) =0,0,Wilders(ADV,periods)/Wilders(WV,periods))

Line 6: WV
I have received several queries regarding line 6: WV:=V+(Ref(V,-1)*0).
The first day for TRH and TRL is day #2 because the calculation requires Closing Price from the previous day. WV brings Volume into line with this, so that the first day of Volume used is day #2.

I received several emails from one reader who insisted that it makes no difference if you substitute V for WV in line 7. The difference is only noticeable in the first few months of data; it gradually fades with exponential smoothing.

============================
guru_trader
485 posts
msg #66275
- Ignore guru_trader
modified		 8/16/2008 1:25:06 PM

Work in progress ... I revised the filter a little ...

Fetcher[
/* Twiggs Money Flow */

/* Basic Criteria */
and chart-length is 120 days
and not otcbb
and avgvol(120) > 54321
and close > 1

/* According to the article and formula provided here ... http://www.incrediblecharts.com/technical/twiggs_money_flow.php */

/* True Range High */
and set{TRH, max( close 1 day ago, high ) }
and add column TRH

/* True Range Low */
and set{TRL, min( close 1 day ago, low ) }
and add column TRL

/* True Range */
and set{ TR, TRH - TRL }
and add column TR

/* Calculate ADV */
and set{ num1, close - TRL }
and add column num1
and set{ num2, TRH - close }
and add column num2
and set{ num3, num1 - num2 }
and add column num3
and set{ TRmax, 999999 }
and add column TRmax
and set{ deno1, TRmax }
and add column deno1
and set{ num4, num3 / deno1 }
and add column num4
and set{ temp_ADV, num4 * volume }
and add column temp_ADV
and set{ ADV, temp_ADV * 100000 }
and add column ADV

/* Calculate WV (uumm = not sure what was intended by the formua, read the footnote in the article) */
and set{ uumm, volume 1 day ago * 0 }
and set{ WV, volume + uumm }

/* Exponentially Smoothed ADV */
and set{ cema_ADV, cema( ADV, 27 ) }
and add column cema_ADV

/* Exponentially Smoothed wV*/
and set{ cema_WV, cema( WV, 27 ) }
and add column cema_WV

/* Twiggs Money Flow */
and set{TMF, cema_ADV / cema_WV }
and add column TMF
and draw TMF line at 0
]
guru_trader
485 posts
msg #66278
- Ignore guru_trader
modified		 8/16/2008 3:19:11 PM

Here it is with a CEMA crossover ...

Fetcher[
/* Twiggs Money Flow */

/* Basic Criteria */
and chart-length is 60 days
and not otcbb
and avgvol(120) > 54321
and close > 1

/* According to the article and formula provided here ... http://www.incrediblecharts.com/technical/twiggs_money_flow.php */

/* True Range High */
and set{TRH, max( close 1 day ago, high ) }
and add column TRH

/* True Range Low */
and set{TRL, min( close 1 day ago, low ) }
and add column TRL

/* True Range */
and set{ TR, TRH - TRL }
and add column TR

/* Calculate ADV */
and set{ num1, close - TRL }
and add column num1
and set{ num2, TRH - close }
and add column num2
and set{ num3, num1 - num2 }
and add column num3
and set{ TRmax, 999999 }
and add column TRmax
and set{ deno1, TRmax }
and add column deno1
and set{ num4, num3 / deno1 }
and add column num4
and set{ temp_ADV, num4 * volume }
and add column temp_ADV
and set{ ADV, temp_ADV * 1000000 }
and add column ADV

/* Calculate WV (uumm = not sure what was intended by the formua, read the footnote in the article) */
and set{ uumm, volume 1 day ago * 0 }
and set{ WV, volume + uumm }

/* Exponentially Smoothed ADV */
and set{ cema_ADV, cema( ADV, 27 ) }
and add column cema_ADV

/* Exponentially Smoothed wV*/
and set{ cema_WV, cema( WV, 27 ) }
and add column cema_WV

/* Twiggs Money Flow */
and set{TMF, cema_ADV / cema_WV }
and add column TMF
and draw TMF line at 0

and set{ cema_TMF, cema(TMF, 45)}
and draw cema_TMF on plot TMF
]
rarya
7 posts
msg #66289
- Ignore rarya
modified		 8/16/2008 6:17:35 PM

Hey Guru,

Thanks for the input

this was my take on it, not as robust as yours

Fetcher[
set{ATRH,max(High,prior day close)}
set{ATRL,Min(Low,prior day Close)}
Set{BP,Close-ATRL}
Set{SP,ATRH-Close}

set{adnum,Bp-Sp}
set{ad2,adnum/atr(1)}
set{ad,ad2*volume}
set{tmfn,cema(ad,19)}
set{tmfd,cema(volume,19)}
set{tmf,tmfn/tmfd}

and draw TMF line at 0
add column TMF
]



Also in your CEMA calculations you use 27. how does wilders EMA of 21 days relate to EMA of 27?

Thanks in Advance
guru_trader
485 posts
msg #66290
- Ignore guru_trader
modified		 8/16/2008 6:23:52 PM

Apparently, Wilder's EMA(21) is equivalent to a regular EMA(27) according to the article you referred to ...

Source: http://www.incrediblecharts.com/technical/twiggs_money_flow.php

==============================================

*Welles Wilder's Indicators

TMF uses Welles Wilder's formula for calculating an exponential moving average:
1/14 of today's data + 13/14 of yesterday's average is a 14-day exponential moving average.

If you refer to Exponential MA Time Periods you will see that this equates to a normal 27-day exponential moving average.

Example
What Wilder's time period would equate to a normal EMA 15-day time period:
Wilder's time period = (n + 1) / 2 = (15 + 1) / 2 = 8 days

==============================================
rarya
7 posts
msg #66294
- Ignore rarya
modified		 8/16/2008 7:09:16 PM

I think 14 becomes 27
Wilders TP = (n+1)/2
(14*2)-1 = n

I think 21 becomes 41



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