New edge proposed: twiggs_money_flow_52wk_extreme_filter — E8 Intelligence Research

{ "name": "twiggs_money_flow_52wk_extreme_filter", "source": "Twiggs Money Flow (Colin Twiggs); Wilder-style volume-weighted money flow applied to range-weighted true high/low/close", "type": "filter_flag", "rule": "Flag longs only when TMF(21) crosses above 0 and its 1-year (252-bar) percentile rank is > 80, and flag shorts only when TMF(21) crosses below 0 with 252-bar percentile rank < 20.", "pseudocode": "tmf = twiggs_money_flow(high,low,close,volume,period=21)\ncross_up = (tmf > 0) & (tmf.shift(1) <= 0)\ncross_dn = (tmf < 0) & (tmf.shift(1) >= 0)\npct = tmf.rolling(252).apply(lambda x: percentile_rank(x[-1], x))\nlong_flag = cross_up & (pct > 80)\nshort_flag = cross_dn & (pct < 20)\nsignal = long_flag.astype(int) - short_flag.astype(int)", "why_it_works": "Thrusting money flow to multi-month extremes on a zero-line crossover confirms that institutional accumulation/distribution is behind the move, filtering out low-conviction range noise." } Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com