mementum

class NetPayOutData(bt.feeds.GenericCSVData):
    lines = ('npy',)  # add a line containing the net payout yield
    params = dict(
        npy=6,  # npy field is in the 6th column (0 based index)
        dtformat='%Y-%m-%d',  # fix date format a yyyy-mm-dd
        timeframe=bt.TimeFrame.Months,  # fixed the timeframe
        openinterest=-1,  # -1 indicates there is no openinterest field
    )

mementum

date, open, high, low, close, volume, npy
2001-12-31, 1.0, 1.0, 1.0, 1.0, 0.5, 3.0
2002-01-31, 2.0, 2.5, 1.1, 1.2, 3.0, 5.0
...

mementum

mfiratio = bt.ind.DivByZero(flowpos, flowneg, zero=100.0)
self.l.mfi = 100.0 - 100.0 / (1.0 + mfiratio)

mementum

if neg_period == 0:
    self.lines.mfi[0] = 100
    return

    self.lines.mfi[0] =  100 - 100 / (1 +  pos_period / neg_period)

mementum

class MFI_Canonical(bt.Indicator):
    lines = ('mfi',)
    params = dict(period=14)

    def __init__(self):
        tprice = (self.data.close + self.data.low + self.data.high) / 3.0
        mfraw = tprice * self.data.volume

        flowpos = bt.ind.SumN(mfraw * (tprice > tprice(-1)), period=self.p.period)
        flowneg = bt.ind.SumN(mfraw * (tprice < tprice(-1)), period=self.p.period)

mementum

class MFI(bt.Indicator):
    lines = ('mfi', 'money_flow_raw', 'typical', 'money_flow_pos', 'money_flow_neg')

    plotlines = dict(
        money_flow_raw=dict(_plotskip=True),
        money_flow_pos=dict(_plotskip=True),
        money_flow_neg=dict(_plotskip=True),
        typical=dict(_plotskip=True),
    )

mementum

class MyMFIStrategy2(bt.Strategy):
    def __init__(self):
        MFI_MultipleInputs(self.data)
        MFI_MultipleInputs(self.data.high,
                           self.data.low,
                           self.data.close * 5.0,
                           self.data.volume,
                           plotname='MFI Close * 5.0')

mementum

class MyMFIStrategy2(bt.Strategy):
    def __init__(self):
        MFI_Canonical(self.data)
        MFI_MultipleInputs(self.data, plotname='MFI Single Input')
        MFI_MultipleInputs(self.data.high,
                           self.data.low,
                           self.data.close,
                           self.data.volume,
                           plotname='MFI Multiple Inputs')

mementum

class MFI_MultipleInputs(bt.Indicator):
    lines = ('mfi',)
    params = dict(period=14)

    def __init__(self):
        if len(self.datas) == 1:
            # 1 data feed passed, must have components
            tprice = (self.data.close + self.data.low + self.data.high) / 3.0
            mfraw = tprice * self.data.volume
        else:

mementum

class MyMFIStrategy2(bt.Strategy):
    def __init__(self):
        wclose = self.data.close * 5.0
        mfi = bt.MFI_Canonical(self.data.high, self.data.low, wclose, self.data.volume)