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Herrick Payoff Index (HPI) for Amibroker (AFL)

Rating:
3 / 5 (Votes 2)
Tags:
amibroker, oscillator

The Herrick Payoff Index (HPI) uses volume, open inerest, and price to signal bullish and bearish divergences in the price of a future or options contract. The use of open interest in the calculation of the HPI means the indicator can only be used with futures and options.

More info here…

Indicator / Formula

Copy & Paste Friendly
function HPI( MultFactor, PercentMove )
{
 M = ( H + L ) /2;
 My = Ref( M, -1 );

 I = abs( OpenInt - Ref( OpenInt, -1 ) );
 G = Max( OpenInt, Ref( OpenInt, -1 ) );
 
 K = PercentMove * Volume * ( M - My ) * ( 1  + sign( M - My ) * 2 * I / G );

 //return AMA2( K, MultFactor / 100000, ( 1 - MultFactor ) / 100000 );
 
 return AMA( K, 1/MultFactor )/100000;  	


}

OI = C;

Plot( HPI( 20, 100 ), _DEFAULT_NAME(), ParamColor("Color", ColorCycle ) );

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