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Negative Volume Index Strategy is added. (#237)
# Describe Request Negative Volume Index Stratey is added. # Change Type New strategy. <!-- This is an auto-generated comment: release notes by coderabbit.ai --> ## Summary by CodeRabbit ## Release Notes - **New Features** - Introduced the `Negative Volume Index Strategy` for enhanced trading decisions. - Comprehensive updates to the documentation, including installation instructions and a new section on backtesting functionality. - Added support for fully configurable indicators and strategies, enhancing user flexibility. - **Bug Fixes** - Improved clarity in licensing information and contributing guidelines. - **Documentation** - Expanded lists of indicators and strategies with detailed descriptions and links. <!-- end of auto-generated comment: release notes by coderabbit.ai -->
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,144 @@ | ||
| // Copyright (c) 2021-2024 Onur Cinar. | ||
| // The source code is provided under GNU AGPLv3 License. | ||
| // https://github.com/cinar/indicator | ||
|
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||
| package volume | ||
|
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||
| import ( | ||
| "fmt" | ||
|
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| "github.com/cinar/indicator/v2/asset" | ||
| "github.com/cinar/indicator/v2/helper" | ||
| "github.com/cinar/indicator/v2/strategy" | ||
| "github.com/cinar/indicator/v2/trend" | ||
| "github.com/cinar/indicator/v2/volume" | ||
| ) | ||
|
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||
| const ( | ||
| // DefaultNegativeVolumeIndexStrategyEmaPeriod is the default EMA period of 255. | ||
| DefaultNegativeVolumeIndexStrategyEmaPeriod = 255 | ||
| ) | ||
|
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| // NegativeVolumeIndexStrategy represents the configuration parameters for calculating the Negative Volume Index | ||
| // strategy. Recommends a Buy action when it crosses below its EMA, recommends a Sell action when it crosses | ||
| // above its EMA, and recommends a Hold action otherwise. | ||
| type NegativeVolumeIndexStrategy struct { | ||
| // NegativeVolumeIndex is the Negative Volume Index indicator instance. | ||
| NegativeVolumeIndex *volume.Nvi[float64] | ||
|
|
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| // NegativeVolumeIndexEma is the Negative Volume Index EMA instance. | ||
| NegativeVolumeIndexEma *trend.Ema[float64] | ||
| } | ||
|
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| // NewNegativeVolumeIndexStrategy function initializes a new Negative Volume Index strategy instance with the | ||
| // default parameters. | ||
| func NewNegativeVolumeIndexStrategy() *NegativeVolumeIndexStrategy { | ||
| return NewNegativeVolumeIndexStrategyWith( | ||
| DefaultNegativeVolumeIndexStrategyEmaPeriod, | ||
| ) | ||
| } | ||
|
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||
| // NewNegativeVolumeIndexStrategyWith function initializes a new Negative Volume Index strategy instance with the | ||
| // given parameters. | ||
| func NewNegativeVolumeIndexStrategyWith(emaPeriod int) *NegativeVolumeIndexStrategy { | ||
| return &NegativeVolumeIndexStrategy{ | ||
| NegativeVolumeIndex: volume.NewNvi[float64](), | ||
| NegativeVolumeIndexEma: trend.NewEmaWithPeriod[float64](emaPeriod), | ||
| } | ||
| } | ||
|
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| // Name returns the name of the strategy. | ||
| func (n *NegativeVolumeIndexStrategy) Name() string { | ||
| return fmt.Sprintf("Negative Volume Index Strategy (%d)", n.NegativeVolumeIndexEma.Period) | ||
| } | ||
|
|
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| // Compute processes the provided asset snapshots and generates a stream of actionable recommendations. | ||
| func (n *NegativeVolumeIndexStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action { | ||
| snapshotsSplice := helper.Duplicate(snapshots, 2) | ||
|
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| closings := asset.SnapshotsAsClosings(snapshotsSplice[0]) | ||
| volumes := asset.SnapshotsAsVolumes(snapshotsSplice[1]) | ||
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| nvisSplice := helper.Duplicate( | ||
| n.NegativeVolumeIndex.Compute(closings, volumes), | ||
| 2, | ||
| ) | ||
|
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| nvisSplice[0] = helper.Skip(nvisSplice[0], n.NegativeVolumeIndexEma.IdlePeriod()) | ||
| nviEmas := n.NegativeVolumeIndexEma.Compute(nvisSplice[1]) | ||
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| actions := helper.Operate(nvisSplice[0], nviEmas, func(nvi, nviEma float64) strategy.Action { | ||
| if nvi < nviEma { | ||
| return strategy.Buy | ||
| } | ||
|
|
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| if nvi > nviEma { | ||
| return strategy.Sell | ||
| } | ||
|
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| return strategy.Hold | ||
| }) | ||
|
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| // Negative Volume Index starts only after a full period. | ||
| actions = helper.Shift( | ||
| actions, | ||
| n.NegativeVolumeIndex.IdlePeriod()+n.NegativeVolumeIndexEma.IdlePeriod(), | ||
| strategy.Hold, | ||
| ) | ||
|
|
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| return actions | ||
| } | ||
|
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| // Report processes the provided asset snapshots and generates a report annotated with the recommended actions. | ||
| func (n *NegativeVolumeIndexStrategy) Report(c <-chan *asset.Snapshot) *helper.Report { | ||
| // | ||
| // snapshots[0] -> dates | ||
| // snapshots[1] -> closings[0] -> closings | ||
| // closings[1] -> negative volume index[0] -> negative volume index | ||
| // negative volume index[1] -> negative volume index ema | ||
| // snapshots[2] -> volumes | ||
| // snapshots[3] -> actions -> annotations | ||
| // -> outcomes | ||
| // | ||
| snapshots := helper.Duplicate(c, 4) | ||
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| period := n.NegativeVolumeIndex.IdlePeriod() + n.NegativeVolumeIndexEma.IdlePeriod() | ||
|
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| dates := helper.Skip(asset.SnapshotsAsDates(snapshots[0]), period) | ||
|
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| closingsSplice := helper.Duplicate( | ||
| asset.SnapshotsAsClosings(snapshots[1]), | ||
| 2, | ||
| ) | ||
| volumes := asset.SnapshotsAsVolumes(snapshots[2]) | ||
|
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| nvisSplice := helper.Duplicate( | ||
| n.NegativeVolumeIndex.Compute(closingsSplice[0], volumes), | ||
| 2, | ||
| ) | ||
|
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| nvisSplice[0] = helper.Skip(nvisSplice[0], n.NegativeVolumeIndexEma.IdlePeriod()) | ||
| nviEmas := n.NegativeVolumeIndexEma.Compute(nvisSplice[1]) | ||
|
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| closingsSplice[1] = helper.Skip(closingsSplice[1], period) | ||
|
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| actions, outcomes := strategy.ComputeWithOutcome(n, snapshots[3]) | ||
| actions = helper.Skip(actions, period) | ||
| outcomes = helper.Skip(outcomes, period) | ||
|
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| annotations := strategy.ActionsToAnnotations(actions) | ||
| outcomes = helper.MultiplyBy(outcomes, 100) | ||
|
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| report := helper.NewReport(n.Name(), dates) | ||
| report.AddChart() | ||
| report.AddChart() | ||
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| report.AddColumn(helper.NewNumericReportColumn("Close", closingsSplice[1])) | ||
| report.AddColumn(helper.NewNumericReportColumn("NVI", nvisSplice[0]), 1) | ||
| report.AddColumn(helper.NewNumericReportColumn("NVI EMA", nviEmas), 1) | ||
| report.AddColumn(helper.NewAnnotationReportColumn(annotations), 0, 1) | ||
|
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| report.AddColumn(helper.NewNumericReportColumn("Outcome", outcomes), 2) | ||
|
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| return report | ||
| } |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,55 @@ | ||
| // Copyright (c) 2021-2024 Onur Cinar. | ||
| // The source code is provided under GNU AGPLv3 License. | ||
| // https://github.com/cinar/indicator | ||
|
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| package volume_test | ||
|
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| import ( | ||
| "os" | ||
| "testing" | ||
|
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| "github.com/cinar/indicator/v2/asset" | ||
| "github.com/cinar/indicator/v2/helper" | ||
| "github.com/cinar/indicator/v2/strategy" | ||
| "github.com/cinar/indicator/v2/strategy/volume" | ||
| ) | ||
|
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| func TestNegativeVolumeIndexStrategy(t *testing.T) { | ||
| snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
|
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| results, err := helper.ReadFromCsvFile[strategy.Result]("testdata/negative_volume_index_strategy.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
|
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| expected := helper.Map(results, func(r *strategy.Result) strategy.Action { return r.Action }) | ||
|
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| nvis := volume.NewNegativeVolumeIndexStrategyWith(12) | ||
| actual := nvis.Compute(snapshots) | ||
|
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| err = helper.CheckEquals(actual, expected) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
| } | ||
|
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| func TestNegativeVolumeIndexStrategyReport(t *testing.T) { | ||
| snapshots, err := helper.ReadFromCsvFile[asset.Snapshot]("testdata/brk-b.csv", true) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
|
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| nvis := volume.NewNegativeVolumeIndexStrategy() | ||
| report := nvis.Report(snapshots) | ||
|
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| fileName := "negative_volume_index_strategy.html" | ||
| defer os.Remove(fileName) | ||
|
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| err = report.WriteToFile(fileName) | ||
| if err != nil { | ||
| t.Fatal(err) | ||
| } | ||
| } |
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