Burhay Vlad 14.04.2017
The Herrick Payoff Index
The Herrick Payoff Index (HPI) is meant to show the amount of cash flow into or out of a futures contract. In original idea, presented by John Herrick, HPI uses an open interest in its calculation. However, amid a lack of availability of open interest info in the market, this HPI version was modified to adapt a major sense. So, again this is a variation of HPI, which is uses volume and price, without an open interest. Other than that this is a useful tool to grasp divergence in the market. HPI tool has a smoothing as well as percentile modes, both are serving for a better adaptation to the market and different trading styles.
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