Herrick Payoff Index
All credit goes to @Greeny and @shardison for the work they did on this beautiful indicator. I have made some minor modifications, but the whole of the code is not mine.
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// Copyright by shardison v1.0 08/05/2015
// Credit to GREENY for his work on the COT OPEN INTEREST SCRIPT
// Attention:
//The Herrick Payoff Index (HPI) was developed by John Herrick and is the only well known indicator that uses price, volume, and open interest.
// The Herrick Payoff Index is designed to show the amount of money flowing into or out of a futures contract.
//The Index uses open interest during its calculations, therefore, the security being analyzed must contain open interest.
//NOTE: THE COT OPEN INTEREST SCRIPT ONLY pulls Weekly DATA, hence only utilize this script on Weekly bars.
//Interpretation
//
//When the Herrick Payoff Index is above zero, it shows that money is flowing into the futures contract (which is bullish).
//When the Index is below zero, it shows that money is flowing out of the futures contract (which is bearish).
//
//The interpretation of the Herrick Payoff Index involves looking for divergences between the Index and prices.
////////////////////////////////////////////////////////////
study(title="Herrick Payoff Index", shorttitle="HPI")
//color Hexidecimal
magenta = #FF00BF
indianred = #FF6A6A
orangered = #FF4500
salmon = #FA8072
hotpink = #FF69B4
coral = #FF7F50
mistyrose = #FFE4E1
//green
lawngreen = #7CFC00
greenyellow = #ADFF2F
mintgreen = #00FF40
palegreen = #98FB98
seagreen = #54FF9F
springgreen = #00FF7F
//blue
cyan = #00FFFF
dodgerblue = #1E90FF
paleblue = #24FFBE
powderblue = #B0E0E6
slategray = #C6E2FF
//yellow
gold = #FFD700
beige= #F0e68C
valueofonecentmove = input(100, minval=1)
multiplyingfactor = input(10, minval=1)
wmaperiod = input(21, minval=1)
force_root = input("", title="Override Product")
is_includeoptions = input(false, type=bool, title="Include Options")
view = input(1, title="HPI =1 Open Interest=2 COT=3 ALL=4 Commercials histogram=5", maxval=5,minval=1)
threshold = input(0,type=float)
sig = input(7, title="signal")
fxroot =
ticker == "USDCAD" ? "CD" :
ticker == "USDCAD" ? "CD" :
ticker == "USDCHF" ? "SF" :
ticker == "USDCZK" ? "CZ" :
ticker == "USDHUF" ? "FR" :
ticker == "USDILS" ? "IS" :
ticker == "USDJPY" ? "JY" :
ticker == "USDMXN" ? "MP" :
ticker == "USDNOK" ? "UN" :
ticker == "USDPLN" ? "PZ" :
ticker == "USDRUB" ? "RU" :
ticker == "USDSEK" ? "SE" :
ticker == "USDZAR" ? "RA" :
ticker == "EURUSD" ? "EC" :
ticker == "AUDUSD" ? "AD" :
ticker == "GBPUSD" ? "BP" :
ticker == "NZDUSD" ? "NE" :
ticker == "BRLUSD" ? "BR" :
ticker == "XAUUSD" ? "GC" :
ticker == "XAGUSD" ? "SI" :
ticker == "USOIL" ? "CL" :
ticker == "SPX500" ? "ES" :
ticker == "NAS100" ? "ND" :
ticker == "QQQ" ? "ND" :
ticker == "IAU" ? "GC" :
ticker == "SLV" ? "SI" :
""
is_inversed =
ticker == "USDCAD" ? true :
ticker == "USDCAD" ? true :
ticker == "USDCHF" ? true :
ticker == "USDCZK" ? true :
ticker == "USDHUF" ? true :
ticker == "USDILS" ? true :
ticker == "USDJPY" ? true :
ticker == "USDMXN" ? true :
ticker == "USDNOK" ? true :
ticker == "USDPLN" ? true :
ticker == "USDRUB" ? true :
ticker == "USDSEK" ? true :
ticker == "USDZAR" ? true :
false
root = force_root == "" ? fxroot == "" ? syminfo.root : fxroot : force_root
code = root + (is_includeoptions ? "_FO" : "_F") + "_L_ALL"
oi = security("QUANDL:CFTC/"+code+"|0", "D", close)
commercial_long_total = security("QUANDL:CFTC/"+code+"|4", "W", close)
commercial_short_total = security("QUANDL:CFTC/"+code+"|5", "W", close)
long_total = security("QUANDL:CFTC/"+code+"|1", "W", close)
short_total = security("QUANDL:CFTC/"+code+"|2", "W", close)
commercial_long = is_inversed ? commercial_short_total : commercial_long_total
commercial_short = is_inversed ? commercial_long_total : commercial_short_total
long = is_inversed ? short_total : long_total
short = is_inversed ? long_total : short_total
diff = (commercial_long - commercial_short)*-1
cdiff = diff - diff[1]
cI = abs(cdiff)
cG = max(diff, diff[1])
diff2 = long - short
openinterestdiff = oi - oi[1]
I = abs(openinterestdiff)
G = max(oi, oi[1])
S = multiplyingfactor
C = valueofonecentmove
V = volume
M = (high + low) / 2
My = M[1]
K1 = (C*V*(M - My))*(1 + ((2 * I)/(G)))
K2 = (C*V*(M - My))*(1 - ((2 * I)/(G)))
K = M > My ? K1 : K2
Ky = K[1]
HPI = ((Ky +(K - Ky)) * S)/100000
HPI_Index = 100 * (HPI - lowest(HPI,100))/(highest(HPI,100) - lowest(HPI,100))
wma = wma(HPI, wmaperiod)
diffh = highest(diff,wmaperiod)
diffl = lowest(diff,wmaperiod)
calch = diffh>0? diffh-(.1*diffh):diffh+(.1*diffh)
calcl = diffl<0? diffl-(.1*diffl):diffl+(.1*diffl)
// plot (view?na:HPI, color=green, title="HPI",transp=0)
// plot (view?na:HPI_Index, color=aqua, transp=0, title="HPI Index-Turn off all others")
plot (view==1 or view==4?wma:na, color=wma>=0?dodgerblue:salmon, title="HPI Weighted Moving Average", style=histogram,transp=40,linewidth=4)
// plot(view?ema(wma,sig):na, color=maroon, transp=0, linewidth=2)
plot (view==3 or view==4?diff:na, color=white,linewidth=2,transp=0, title="Commercials Net-Position")
plot (view==3? ema(diff,sig):na, color=maroon,linewidth=2,transp=0, title="EMA Commercials net position")
// plot (view==3 or view==4?diff2:na, color=teal, linewidth=2, transp=0,title="Non-Commercials Net-Position")
plot (view==2 or view==4?oi:na, color = #2f4f4f,transp=0, title="OI")
// plot (view==1?0:na, color=#2f4f4f, title="Zero",transp=0)
// plot (view==3?threshold:na, color=#2f4f4f, transp=0)
plot (view==3?calch:na, color=#2f4f4f,transp=0)
plot (view==3?calcl:na, color=#2f4f4f,transp=0)
plot (view==5?diff:na, color=diff>0 and diff>diff[1]?lime:diff>0 and diff<diff[1]?red:diff<0 and diff<diff[1]?lime:red,transp=0, linewidth=3,style=histogram)