Chaikin Money Flow (CMF)

Created by Marc Chaikin, Chaikin Money Flow is the simple moving average of the directional Money Flow Volume. [Discuss] 💬

// C# usage syntax
IReadOnlyList<CmfResult> results =
  bars.ToCmf(lookbackPeriods);

Parameters

param	type	description
lookbackPeriods	int	Number of periods (N) in the moving average. Must be greater than 0. Default is 20.

Historical price bars requirements

You must have at least N+1 periods of bars to cover the warmup periods.

bars is a collection of generic TBar historical price bars. It should have a consistent frequency (day, hour, minute, etc). See the Guide for more information.

Response

IReadOnlyList<CmfResult>

• This method returns a time series of all available indicator values for the bars provided.
• It always returns the same number of elements as there are in the historical price bars.
• It does not return a single incremental indicator value.
• The first N-1 periods will have null values since there's not enough data to calculate.

CmfResult

property	type	description
Timestamp	DateTime	Date from evaluated TBar
MoneyFlowMultiplier	double	Money Flow Multiplier
MoneyFlowVolume	double	Money Flow Volume
Cmf	double	Chaikin Money Flow = SMA of MFV

🚩

absolute values in MFV and CMF are somewhat meaningless. Use with caution.

Utilities

• .Condense()
• .Find(lookupDate)
• .RemoveWarmupPeriods()
• .RemoveWarmupPeriods(removePeriods)

See Utilities and helpers for more information.

Chaining

Results can be further processed on Cmf with additional chain-enabled indicators.

// example
var results = bars
    .ToCmf(..)
    .ToSlope(..);

This indicator must be generated from bars and cannot be generated from results of another chain-enabled indicator or method.

See Chaining indicators for more.

Streaming

Use the buffer-style List<T> when you need incremental calculations without a hub:

CmfList cmfList = new(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  cmfList.Add(bar);
}

// based on `ICollection<CmfResult>`
IReadOnlyList<CmfResult> results = cmfList;

Subscribe to a BarHub for advanced streaming scenarios:

BarHub barHub = new();
CmfHub observer = barHub.ToCmfHub(lookbackPeriods);

foreach (IBar bar in bars)  // simulating stream
{
  barHub.Add(bar);
}

IReadOnlyList<CmfResult> results = observer.Results;

See Buffer lists and Stream hubs for full usage guides.