Open Interest Stochastic Money Flow Index

Category: volume, momentum

Calculates a Stochastic Money Flow Index specifically using Open Interest (OI) or COT data instead of standard volume for futures markets.

Formula

MFI_{OI} = 100 - \frac{100}{1 + \frac{\sum (OI \cdot src \text{ if } \Delta src > 0)}{\sum (OI \cdot src \text{ if } \Delta src < 0)}} \\ K = EMA(Stoch(MFI_{OI}, n), 3), D = EMA(K, 3)

Inputs

• Barcolor I / 0 ? 0 (default: OFF)
• Market Type (default: FUTURES)
• Open Interest Source (default: AUTO)
• MFI Period (default: 14)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.