An accumulation/distribution indicator that fixes the gap distortion in Chaikin Money Flow by using true range and exponential smoothing. Its smooth line surfaces the quiet buying and quiet selling hidden behind the crowd.
Twiggs Money Flow (TMF) is a volume-based accumulation/distribution indicator created by Colin Twiggs as a refinement of Chaikin Money Flow (CMF).
CMF looks at where the close sits within each bar (near the high or near the low), splits that day's volume into positive and negative, and measures whether money is flowing in or out. The idea is sound, but it has a weakness.
On a day that opens with a gap from the prior close, looking only at that day's high-to-low range misses the true distance traveled. The jump that happened at the open never appears inside the bar's own high and low.
Twiggs targeted exactly this. By using the true range (which includes the prior close) and then smoothing the line with an exponential moving average, he suppressed both the gap distortion and the daily noise. The result is an indicator that is smoother than CMF and more robust to gaps.
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