R/CMF.R

In TTR: Technical Trading Rules

#
#   TTR: Technical Trading Rules
#
#   Copyright (C) 2007-2013  Joshua M. Ulrich
#
#   This program is free software: you can redistribute it and/or modify
#   it under the terms of the GNU General Public License as published by
#   the Free Software Foundation, either version 2 of the License, or
#   (at your option) any later version.
#
#   This program is distributed in the hope that it will be useful,
#   but WITHOUT ANY WARRANTY; without even the implied warranty of
#   MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
#   GNU General Public License for more details.
#
#   You should have received a copy of the GNU General Public License
#   along with this program.  If not, see <http://www.gnu.org/licenses/>.
#

#' Chaikin Money Flow
#'
#' Chaikin Money Flow compares total volume over the last \code{n} time periods
#' to total volume times the Close Location Value (CLV) over the last \code{n}
#' time periods.  Developed by Marc Chaikin.
#'
#' Chaikin Money Flow is calculated by taking dividing the sum of the Chaikin
#' Accumulation / Distribution line over the past \code{n} periods by the sum of
#' volume over the past \code{n} periods.
#'
#' @param HLC Object that is coercible to xts or matrix and contains
#' High-Low-Close prices.
#' @param volume Vector or matrix of volume observations corresponding to the
#' \code{HLC} object.
#' @param n Number of periods to use.
#' @return A object of the same class as \code{HLC} and \code{volume} or a
#' vector (if \code{try.xts} fails) containing the Chaikin Money Flow values.
#' @note When Chaikin Money Flow is above/below +/- 0.25 it is a bullish/bearish
#' signal.  If Chaikin Money Flow remains below zero while the price is rising,
#' it indicates a probable reversal.
#' @author Joshua Ulrich
#' @seealso See \code{\link{CLV}}, and \code{\link{chaikinAD}}.
#' @references The following site(s) were used to code/document this
#' indicator:\cr \url{https://www.fmlabs.com/reference/ChaikinMoneyFlow.htm}\cr
#' \url{https://www.linnsoft.com/techind/chaikin-money-flow-cmf}\cr
#' \url{https://school.stockcharts.com/doku.php?id=technical_indicators:chaikin_money_flow_cmf}\cr
#' @keywords ts
#' @examples
#'
#'  data(ttrc)
#'  cmf <- CMF(ttrc[,c("High","Low","Close")], ttrc[,"Volume"])
#'
"CMF" <-
function(HLC, volume, n=20) {

  # Chaikin Money Flow

  HLC <- try.xts(HLC, error=as.matrix)
  volume <- try.xts(volume, error=as.matrix)

  if(!(is.xts(HLC) && is.xts(volume))) {
    clv <- CLV(as.matrix(HLC))
    volume <- as.matrix(volume)
  }
  clv <- CLV(HLC)

  cmf <- runSum(clv*volume, n) / runSum(volume, n)

  reclass(cmf, HLC)
}