Volume Price Trend (VPT) is added.

cinar · Jan 14, 2022 · 6f36958 · 6f36958
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diff --git a/README.md b/README.md
@@ -60,6 +60,7 @@ The following list of indicators are currently supported by this package:
 - [Force Index (FI)](volume_indicators.md#force-index-fi)
 - [Money Flow Index (MFI)](volume_indicators.md#money-flow-index-mfi)
 - [On-Balance Volume (OBV)](volume_indicators.md#on-balance-volume-obv)
+- [Volume Price Trend (VPT)](volume_indicators.md#volume-price-trend-vpt)
 
 ## Strategies Provided
 

diff --git a/volume_indicators.go b/volume_indicators.go
@@ -126,3 +126,17 @@ func EaseOfMovement(period int, high, low []float64, volume []int64) []float64 {
 func DefaultEaseOfMovement(high, low []float64, volume []int64) []float64 {
 	return EaseOfMovement(14, high, low, volume)
 }
+
+// The Volume Price Trend (VPT) provides a correlation between the
+// volume and the price.
+//
+// VPT = Previous VPT + (Volume * (Current Closing - Previous Closing) / Previous Closing)
+//
+// Returns volume price trend values.
+func VolumePriceTrend(closing []float64, volume []int64) []float64 {
+	previousClosing := shiftRight(1, closing)
+	// TODO: Consider changing shiftRightBy to fill with last value.
+	previousClosing[0] = closing[0]
+	vpt := multiply(asFloat64(volume), divide(substract(closing, previousClosing), previousClosing))
+	return Sum(len(vpt), vpt)
+}
diff --git a/volume_indicators.md b/volume_indicators.md
@@ -7,6 +7,7 @@ Volumne indicators measure the strength of a trend based the volume.
 - [Force Index (FI)](#force-index-fi)
 - [Money Flow Index (MFI)](#money-flow-index-mfi)
 - [On-Balance Volume (OBV)](#on-balance-volume-obv)
+- [Volume Price Trend (VPT)](#volume-price-trend-vpt)
 
 #### Accumulation/Distribution (A/D)
 
@@ -95,6 +96,18 @@ OBV = OBV-Prev +       0, if Closing = Closing-Prev
 result := indicator.Obv(closing, volume)
 ```
 
+#### Volume Price Trend (VPT)
+
+The [VolumePriceTrend](https://pkg.go.dev/github.com/cinar/indicator#VolumePriceTrend) provides a correlation between the volume and the price.
+
+```
+VPT = Previous VPT + (Volume * (Current Closing - Previous Closing) / Previous Closing)
+```
+
+```Golang
+result := indicator.VolumePriceTrend(closing, volume)
+```
+
 ## Disclaimer
 
 The information provided on this project is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.

diff --git a/volume_indicators_test.go b/volume_indicators_test.go
@@ -47,3 +47,12 @@ func TestDefaultEaseOfMovement(t *testing.T) {
 	actual := roundDigitsAll(DefaultEaseOfMovement(high, low, volume), 2)
 	testEquals(t, actual, expected)
 }
+
+func TestVolumePriceTrend(t *testing.T) {
+	closing := []float64{9, 11, 7, 10, 8}
+	volume := []int64{100, 110, 80, 120, 90}
+	expected := []float64{0, 24.44, -4.65, 46.78, 28.78}
+
+	actual := roundDigitsAll(VolumePriceTrend(closing, volume), 2)
+	testEquals(t, actual, expected)
+}