Herrick Payoff Index

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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.
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study(title="Herrick Payoff Index", shorttitle="HPI")
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")

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" : 
	  ""

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
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)
plot(HPI, color=green, title="HPI")
plot(HPI_Index, color=aqua, title="HPI Index-Turn off all others")
plot (wma, color=orange, title="HPI Weighted Moving Average")
plot (diff, color=red, title="Commercials Net-Position")
plot (diff2, color=blue, title="Non-Commercials Net-Position")
hline(0, color=gray, title="Zero", linestyle=dashed)
//plot(oi, color = gray, title="OI")