Description

• Developed by John Herrick; it measures the money flowing in and out of the future contract by analyzing trading range, volume and open interest
• Its value varies with change in average price, volume, OI

Interpretation

• The HPIdx is interpreted by looking for divergence with price

Default Parameters Used/Inputs

• OpenInt Line
• High Line Low Line
• Qty Line
• Move Value
• Factor

Returns/Output

Herrick payoff index values of stock

Formula

HPIdx = HPIdx[-1] + (K - HPIdx[-1])
K = ((M - M[-1]) * (1 +(I / G)) * V * S
M = Median Price ( (H + L )/2 )
M[-1] = Median Price of previous period ((H(-1)+L(-1))/2)
C = Move Value
S = Multiplying Factor
I = Abs. diff. of current and previous Open Interest i.e., |(OI-OI(-1))|
G = The lesser of current and previous Open Interest i.e., min(OI,OI(-1))