wickra/docs/wiki/indicators/volume/Indicator-ChaikinMoneyFlow.md

ChaikinMoneyFlow

Chaikin Money Flow (CMF) — the ratio of money-flow volume to total volume over a rolling window, bounded to [−1, +1].

Quick reference

Field	Value
Family	Volume
Sub-category	Oscillators
Input type	Candle (uses high, low, close, volume)
Output type	f64
Output range	[−1, +1]
Default parameters	period = 20 (Python)
Warmup period	period
Interpretation	Window accumulation/distribution balance; sign and magnitude both matter.

Formula

MFM_t = ((close − low) − (high − close)) / (high − low)   (money-flow multiplier, −1..+1)
MFV_t = MFM_t · volume_t                                  (money-flow volume)
CMF_t = Σ(MFV, period) / Σ(volume, period)

CMF is the Adl increment averaged the way RSI averages gains: rather than a running total, it divides the summed money-flow volume of the last period bars by the summed volume of those bars. The result is volume-normalised, so it lives in [−1, +1] regardless of how heavily the instrument trades. A bar with high == low carries no positional information and contributes a money-flow volume of 0.

Parameters

period — the lookback window. The Python binding defaults it to 20; the Rust and Node constructors require it explicitly.

Inputs / Outputs

From crates/wickra-core/src/indicators/cmf.rs:

impl Indicator for ChaikinMoneyFlow {
    type Input = Candle;
    type Output = f64;
    // update(&mut self, input: Candle) -> Option<f64>
}

ChaikinMoneyFlow is a candle-input indicator: it reads high, low, close and volume. In Python the streaming update accepts a 6-tuple or a dict; the batch helper takes high, low, close, volume numpy arrays. Node and WASM expose update(high, low, close, volume) and the matching batch.

Warmup

ChaikinMoneyFlow::new(20).warmup_period() == 20. The first value lands once the window holds a full period bars — on input index period − 1.

Edge cases

• Zero-range bar. A bar with high == low contributes MFV = 0.
• Empty-volume window. If the whole window traded zero volume, the 0/0 ratio is defined as 0.0 (zero_volume_window_yields_zero pins this).
• Saturated flow. Every bar closing on its high gives MFM = +1, so CMF saturates at +1 (closes_at_high_yield_cmf_one pins this).
• Reset. cmf.reset() clears the window and both running sums.

Examples

Rust

use wickra::{BatchExt, Candle, Indicator, ChaikinMoneyFlow};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let mut cmf = ChaikinMoneyFlow::new(2)?;
    let out = cmf.batch(&[
        Candle::new(8.0, 10.0, 8.0, 10.0, 100.0, 0)?,  // close at high -> MFV +100
        Candle::new(10.0, 12.0, 8.0, 10.0, 100.0, 1)?, // close mid-range -> MFV 0
    ]);
    println!("{:?}", out);
    Ok(())
}

Output:

[None, Some(0.5)]

Bar 1 closes at its high (MFM = +1, MFV = +100); bar 2 closes mid-range (MFM = 0, MFV = 0). CMF(2) = (100 + 0) / (100 + 100) = 0.5. This matches the reference_values test in crates/wickra-core/src/indicators/cmf.rs.

Python

import numpy as np
import wickra as ta

cmf = ta.ChaikinMoneyFlow(2)
high = np.array([10.0, 12.0])
low = np.array([8.0, 8.0])
close = np.array([10.0, 10.0])
volume = np.array([100.0, 100.0])
print(cmf.batch(high, low, close, volume))

Output:

[nan 0.5]

Node

const ta = require('wickra');
const cmf = new ta.ChaikinMoneyFlow(2);
console.log(cmf.batch([10, 12], [8, 8], [10, 10], [100, 100]));

Output:

[ NaN, 0.5 ]

Interpretation

CMF reads as a balance: sustained positive values mean closes are clustering near bar highs on real volume (accumulation), sustained negative values mean the opposite (distribution). Crosses of the zero line are the textbook signal; the ±0.05 band is often treated as a neutral zone. Because CMF is volume-normalised it is comparable across instruments — unlike the raw Adl, whose level is arbitrary.

Common pitfalls

• Confusing it with the ADL. CMF is a bounded ratio; the ADL is an unbounded running total. They share the money-flow multiplier and nothing else.
• Feeding it scalar prices. It needs the full OHLCV bar.

References

Marc Chaikin's Chaikin Money Flow; the money-flow-multiplier formulation here matches the standard definition (StockCharts).

See also

• Indicator-Adl.md — the cumulative line CMF is built on.
• Indicator-ChaikinOscillator.md — the EMA-difference oscillator on the ADL.
• Indicators-Overview.md — the full taxonomy.