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TA-Lib
doc error? why MFI function has an unstable period?
https://github.com/mrjbq7/ta-lib/blob/master/docs/func_groups/momentum_indicators.md
MFI - Money Flow Index
NOTE: The MFI function has an unstable period.
real = MFI(high, low, close, volume, timeperiod=14)
however, if we check the DESCRIPTION of TA_SetUnstablePeriod(https://ta-lib.org/d_api/ta_setunstableperiod.html).
and then how the MFI is calculated:
https://www.investopedia.com/terms/m/mfi.asp
How to Calculate the Money Flow Index
There are several steps for calculating the Money Flow Index. If doing it by hand, using a spreadsheet is recommended.
Calculate the Typical Price for each of the last 14 periods.
For each period, mark whether the typical price was higher or lower than the prior period. This will tell you whether Raw Money Flow is positive or negative.
Calculate Raw Money Flow by multiplying the Typical Price by Volume for that period. Use negative or positive numbers depending on whether the period was up or down (see step above).
Calculate the Money Flow Ratio by adding up all the positive money flows over the last 14 periods and dividing it by the negative money flows for the last 14 periods.
Calculate the Money Flow Index (MFI) using the ratio found in step four.
Continue doing the calculations as each new period ends, using only the last 14 periods of data.
It's more like SMA, having look back period of 1 (compare 1st typical price is up/down with the prev typical price), rather than EMA (which will "remember" all the price effect on the current ema value all the way back to the very start).
I think this is a doc error: The MFI function has no unstable period.
I can't answer your question, however I note that TA_FUNC_UNST_MFI is defined in the ta-lib source code in ta_defs.h:
/**** START GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/
/* Generated */
/* Generated */ ENUM_BEGIN( FuncUnstId )
/* Generated */ /* 000 */ ENUM_DEFINE( TA_FUNC_UNST_ADX, Adx),
/* Generated */ /* 001 */ ENUM_DEFINE( TA_FUNC_UNST_ADXR, Adxr),
/* Generated */ /* 002 */ ENUM_DEFINE( TA_FUNC_UNST_ATR, Atr),
/* Generated */ /* 003 */ ENUM_DEFINE( TA_FUNC_UNST_CMO, Cmo),
/* Generated */ /* 004 */ ENUM_DEFINE( TA_FUNC_UNST_DX, Dx),
/* Generated */ /* 005 */ ENUM_DEFINE( TA_FUNC_UNST_EMA, Ema),
/* Generated */ /* 006 */ ENUM_DEFINE( TA_FUNC_UNST_HT_DCPERIOD, HtDcPeriod),
/* Generated */ /* 007 */ ENUM_DEFINE( TA_FUNC_UNST_HT_DCPHASE, HtDcPhase),
/* Generated */ /* 008 */ ENUM_DEFINE( TA_FUNC_UNST_HT_PHASOR, HtPhasor),
/* Generated */ /* 009 */ ENUM_DEFINE( TA_FUNC_UNST_HT_SINE, HtSine),
/* Generated */ /* 010 */ ENUM_DEFINE( TA_FUNC_UNST_HT_TRENDLINE, HtTrendline),
/* Generated */ /* 011 */ ENUM_DEFINE( TA_FUNC_UNST_HT_TRENDMODE, HtTrendMode),
/* Generated */ /* 012 */ ENUM_DEFINE( TA_FUNC_UNST_KAMA, Kama),
/* Generated */ /* 013 */ ENUM_DEFINE( TA_FUNC_UNST_MAMA, Mama),
/* Generated */ /* 014 */ ENUM_DEFINE( TA_FUNC_UNST_MFI, Mfi),
/* Generated */ /* 015 */ ENUM_DEFINE( TA_FUNC_UNST_MINUS_DI, MinusDI),
/* Generated */ /* 016 */ ENUM_DEFINE( TA_FUNC_UNST_MINUS_DM, MinusDM),
/* Generated */ /* 017 */ ENUM_DEFINE( TA_FUNC_UNST_NATR, Natr),
/* Generated */ /* 018 */ ENUM_DEFINE( TA_FUNC_UNST_PLUS_DI, PlusDI),
/* Generated */ /* 019 */ ENUM_DEFINE( TA_FUNC_UNST_PLUS_DM, PlusDM),
/* Generated */ /* 020 */ ENUM_DEFINE( TA_FUNC_UNST_RSI, Rsi),
/* Generated */ /* 021 */ ENUM_DEFINE( TA_FUNC_UNST_STOCHRSI, StochRsi),
/* Generated */ /* 022 */ ENUM_DEFINE( TA_FUNC_UNST_T3, T3),
/* Generated */ ENUM_DEFINE( TA_FUNC_UNST_ALL, FuncUnstAll),
/* Generated */ ENUM_DEFINE( TA_FUNC_UNST_NONE, FuncUnstNone) = -1
/* Generated */ ENUM_END( FuncUnstId )
/* Generated */
/**** END GENCODE SECTION 1 - DO NOT DELETE THIS LINE ****/
See, for example, how the implementation of MFI seems to use the "unstable period".
https://github.com/TA-Lib/ta-lib/blob/400eed5ab37a83a87984e28d3fbed801f847f530/src/ta_func/ta_MFI.c#L238
OK, I have showed my point theoretically (in the OP).
Now I just did the following test, it shows (actually proves) The MFI function has no unstable period (up to numeric calculation stability).
import pandas as pd
import numpy as np
def test():
# check RSI vs MFI unstable period.
fn = "SPY.csv"
df = pd.read_csv(fn)
df["ratio" ] = df["Adj Close"] / df["Close"]
df["Open" ] = df["Open" ] * df["ratio"]
df["High" ] = df["High" ] * df["ratio"]
df["Low" ] = df["Low" ] * df["ratio"]
df["Close" ] = df["Close" ] * df["ratio"]
o = np.array(df["Open"])
h = np.array(df["High"])
l = np.array(df["Low"])
c = np.array(df["Close"])
v = np.array(df["Volume"], dtype=np.double)
rsi = []
for n in [40, 50]:
r = talib.RSI(c[-n:])
print(r)
rsi.append(r)
m = 40 - 14
diff = np.abs(rsi[0][-m:] - rsi[1][-m:])
print(np.max(diff), np.mean(diff)) # 2.6424354952679963 1.1047087679412708
mfi = []
for n in [40, 50]:
m = talib.MFI(h[-n:], l[-n:], c[-n:], v[-n:])
print(m)
mfi.append(m)
m = 40 - 14
diff = np.abs(mfi[0][-m:] - mfi[1][-m:])
print(np.max(diff), np.mean(diff)) # 1.4210854715202004e-14 5.738999019600809e-15
assert(np.all(np.isclose(mfi[0][-m:], mfi[1][-m:]))) # pass!
As you can see the rsi diff (max() & mean()) is quite big (because of the EMA kind of memory -- the inherent difference caused by the algorithm); But the the mfi diff is every small (it should all be 0, the diff is caused by numeric computation stability, i.e. rounding error caused by operation sequence.)
You can try this code yourself.
Well, that looks compelling - thanks for providing! This change should be made upstream in the ta-lib.org project and when they update the code, we can adjust the documentation.
Well, I think the upstream in the ta-lib.org is dead. The last code update on source forge
https://sourceforge.net/p/ta-lib/code/HEAD/tree/trunk/ta-lib/
Is in 2013. Do you know it's still under maintenance?
Oh, the new one is here:
https://github.com/TA-Lib/ta-lib
but it says it's "unofficial"?
It’s a clone, not official.
Some discussion about taking over maintenance but that’s out of the scope of this Python wrapper.
I haven’t heard from the original developers in awhile.
On Sat, Jun 26, 2021 at 11:06 AM mingwugmail @.***> wrote:
Oh, the new one is here:
https://github.com/TA-Lib/ta-lib
but it says it's "unofficial"?
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