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How to handle dramatic Vol change in MFI for futures ES market
Rank: Newbie
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Joined: 2/20/2013(UTC)
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Are there any tricks to handling the dramatic shift in Volume in the MFI indicator in the S&P Emini futures market where there is ahuge volume shift as it moves from the day session into the evening session. If you have the period set to 14, then about 13 bars past the day to evening shift, the last volume from the days swamps the evening session giving a odd data point.
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Rank: Advanced Member
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Joined: 10/28/2004(UTC)
Posts: 3,111
Location: Perth, Western Australia
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You could re-write the function yourself in MSFL to only take the average of during the current session, or maybe use some of the PREV based tricks to make the MFI function length "adaptive" (I haven't tried this one myself, but it might work? Give it a whirl and see for yourself.)
wabbit [:D]
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How to handle dramatic Vol change in MFI for futures ES market
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