Negative Volume Index (NVI) is added.

cinar · Jan 16, 2022 · a5118dd · a5118dd
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diff --git a/README.md b/README.md
@@ -59,6 +59,7 @@ The following list of indicators are currently supported by this package:
 - [Ease of Movement (EMV)](volume_indicators.md#ease-of-movement-emv)
 - [Force Index (FI)](volume_indicators.md#force-index-fi)
 - [Money Flow Index (MFI)](volume_indicators.md#money-flow-index-mfi)
+- [Negative Volume Index (NVI)](volume_indicators.md#negative-volume-index-nvi)
 - [On-Balance Volume (OBV)](volume_indicators.md#on-balance-volume-obv)
 - [Volume Price Trend (VPT)](volume_indicators.md#volume-price-trend-vpt)
 - [Volume Weighted Average Price (VWAP)](volume_indicators.md#volume-weighted-average-price-vwap)
@@ -97,6 +98,7 @@ The following list of strategies are currently supported by this package:
 - [Ease of Movement Strategy](volume_strategies.md#ease-of-movement-strategy)
 - [Force Index Strategy](volume_strategies.md#force-index-strategy)
 - [Money Flow Index Strategy](volume_strategies.md#money-flow-index-strategy)
+- [Negative Volume Index Strategy](volume_strategies.md#negative-volume-index-strategy)
 - [Volume Weighted Average Price Strategy](volume_strategies.md#volume-weighted-average-price-strategy)
 
 ### Compound Strategies

diff --git a/volume_indicators.go b/volume_indicators.go
@@ -156,3 +156,35 @@ func VolumeWeightedAveragePrice(period int, closing []float64, volume []int64) [
 func DefaultVolumeWeightedAveragePrice(closing []float64, volume []int64) []float64 {
 	return VolumeWeightedAveragePrice(14, closing, volume)
 }
+
+// The Negative Volume Index (NVI) is a cumulative indicator using
+// the change in volume to decide when the smart money is active.
+//
+// If Volume is greather than Previous Volume:
+//
+//     NVI = Previous NVI
+//
+// Otherwise:
+//
+//     NVI = Previous NVI + (((Closing - Previous Closing) / Previous Closing) * Previous NVI)
+//
+// Returns nvi values.
+func NegativeVolumeIndex(closing []float64, volume []int64) []float64 {
+	if len(closing) != len(volume) {
+		panic("not all same size")
+	}
+
+	nvi := make([]float64, len(closing))
+
+	for i := 0; i < len(nvi); i++ {
+		if i == 0 {
+			nvi[i] = 1000
+		} else if volume[i-1] < volume[i] {
+			nvi[i] = nvi[i-1]
+		} else {
+			nvi[i] = nvi[i-1] + (((closing[i] - closing[i-1]) / closing[i-1]) * nvi[i-1])
+		}
+	}
+
+	return nvi
+}
diff --git a/volume_indicators.md b/volume_indicators.md
@@ -6,6 +6,7 @@ Volumne indicators measure the strength of a trend based the volume.
 - [Ease of Movement (EMV)](#ease-of-movement-emv)
 - [Force Index (FI)](#force-index-fi)
 - [Money Flow Index (MFI)](#money-flow-index-mfi)
+- [Negative Volume Index (NVI)](#negative-volume-index-nvi)
 - [On-Balance Volume (OBV)](#on-balance-volume-obv)
 - [Volume Price Trend (VPT)](#volume-price-trend-vpt)
 - [Volume Weighted Average Price (VWAP)](#volume-weighted-average-price-vwap)
@@ -83,6 +84,24 @@ result := indicator.MoneyFlowIndex(period, high, low, closing, volume)
 
 The [DefaultMoneyFlowIndex](https://pkg.go.dev/github.com/cinar/indicator#DefaultMoneyFlowIndex) function uses the default period of 14.
 
+#### Negative Volume Index (NVI)
+
+The [NegativeVolumeIndex](https://pkg.go.dev/github.com/cinar/indicator#NegativeVolumeIndex) function calculates a cumulative indicator using the change in volume to decide when the smart money is active.
+
+```
+If Volume is greather than Previous Volume:
+
+    NVI = Previous NVI
+
+Otherwise:
+
+    NVI = Previous NVI + (((Closing - Previous Closing) / Previous Closing) * Previous NVI)
+```
+
+```Golang
+result := indicator.NegativeVolumeIndex(closing, volume)
+```
+
 #### On-Balance Volume (OBV)
 
 The [Obv](https://pkg.go.dev/github.com/cinar/indicator#Obv) function calculates a technical trading momentum indicator that uses volume flow to predict changes in stock price.

diff --git a/volume_indicators_test.go b/volume_indicators_test.go
@@ -75,3 +75,12 @@ func TestDefaultVolumeWeightedAveragePrice(t *testing.T) {
 	actual := roundDigitsAll(DefaultVolumeWeightedAveragePrice(closing, volume), 2)
 	testEquals(t, actual, expected)
 }
+
+func TestNegativeVolumeIndex(t *testing.T) {
+	closing := []float64{9, 11, 7, 10, 8}
+	volume := []int64{100, 110, 80, 120, 90}
+	expected := []float64{1000, 1000, 636.36, 636.36, 509.09}
+
+	actual := roundDigitsAll(NegativeVolumeIndex(closing, volume), 2)
+	testEquals(t, actual, expected)
+}
diff --git a/volume_strategies.go b/volume_strategies.go
@@ -82,3 +82,23 @@ func VolumeWeightedAveragePriceStrategy(asset Asset) []Action {
 
 	return actions
 }
+
+// Negative volume index strategy.
+func NegativeVolumeIndexStrategy(asset Asset) []Action {
+	actions := make([]Action, len(asset.Date))
+
+	nvi := NegativeVolumeIndex(asset.Closing, asset.Volume)
+	nvi255 := Ema(255, nvi)
+
+	for i := 0; i < len(actions); i++ {
+		if nvi[i] < nvi255[i] {
+			actions[i] = BUY
+		} else if nvi[i] > nvi255[i] {
+			actions[i] = SELL
+		} else {
+			actions[i] = HOLD
+		}
+	}
+
+	return actions
+}
diff --git a/volume_strategies.md b/volume_strategies.md
@@ -5,6 +5,7 @@ Volume strategies generate signals based on a volume indicator.
 - [Ease of Movement Strategy](#ease-of-movement-strategy)
 - [Force Index Strategy](#force-index-strategy)
 - [Money Flow Index Strategy](#money-flow-index-strategy)
+- [Negative Volume Index Strategy](#negative-volume-index-strategy)
 - [Volume Weighted Average Price Strategy](#volume-weighted-average-price-strategy)
 
 #### Ease of Movement Strategy
@@ -31,6 +32,14 @@ The [MoneyFlowIndexStrategy](https://pkg.go.dev/github.com/cinar/indicator#Money
 actions := indicator.MoneyFlowIndexStrategy(asset)
 ```
 
+#### Negative Volume Index Strategy
+
+The [NegativeVolumeIndexStrategy](https://pkg.go.dev/github.com/cinar/indicator#NegativeVolumeIndexStrategy) uses the _nvi_ values that are generated by the [Negative Volume Index (NVI)](volume_indicators.md#negative-volume-index-nvi) indicator function to provide a _BUY_ action when _nvi_ is less than its 255-period EMA, and a _SELL_ action when it is greather than its 255-period EMA, otherwise a _HOLD_ action.
+
+```Golang
+actions := indicator.NegativeVolumeIndexStrategy(asset)
+```
+
 #### Volume Weighted Average Price Strategy
 
 The [VolumeWeightedAveragePriceStrategy]([./volumeWeightedAveragePriceStrategy.ts](https://pkg.go.dev/github.com/cinar/indicator#VolumeWeightedAveragePriceStrategy)) uses the values that are generated by the [Volume Weighted Average Price (VWAP)](volume_indicators.md#volume-weighted-average-price-vwap) indicator function to provide a _BUY_ action when the _closing_ is below the _VWAP_, and a _SELL_ action when the _closing_ is below the _VWAP_, a _HOLD_ action otherwise.