money flow index vwap mfi rupam - kitzz03/WorldQuant-Alphas GitHub Wiki

price=(high+low+close)/3;

rmf=((high+low+close)/3)*volume;

days=5;

pmf=ts_sum(rmf-ts_delay(rmf,1)>0?rmf-ts_delay(rmf,1):0,days);

nmf=ts_sum(rmf-ts_delay(rmf,1)<0?-rmf+ts_delay(rmf,1):0,days);

mfr=pmf/(pmf+nmf);

mfi=100-100/(1+mfr);

alpha = (-rank(rank((mfi-50)adv20ts_zscore(operating_income/cap,252))rank(vwap(close-ts_sum(close,days)/days))));

alpha