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Volume Indicators

Volumne indicators measure the strength of a trend based the volume.

Accumulation/Distribution (A/D)

The accumulationDistribution is a cumulative indicator that uses volume and price to assess whether a stock is being accumulated or distributed.

The Accumulation/Distribution seeks to identify divergences between the stock price and the volume flow.

MFM = ((Closing - Low) - (High - Closing)) / (High - Low)
MFV = MFM * Period Volume
AD = Previous AD + CMFV

Based on Accumulation/Distribution Indicator (A/D).

import {accumulationDistribution} from 'indicatorts';

const result = accumulationDistribution(highs, lows, closings, volumes);

Chaikin Money Flow (CMF)

The chaikinMoneyFlow measures the amount of money flow volume over a given period.

Money Flow Multiplier = ((Closing - Low) - (High - Closing)) / (High - Low)
Money Flow Volume = Money Flow Multiplier * Volume
Chaikin Money Flow = Sum(20, Money Flow Volume) / Sum(20, Volume)

import {chaikinMoneyFlow} from 'indicatorts';

const result = chaikinMoneyFlow(highs, lows, closings, volumes);

Ease of Movement (EMV)

The easeOfMovement is a volume based oscillator measuring the ease of price movement.

Distance Moved = ((High + Low) / 2) - ((Priod High + Prior Low) /2)
Box Ratio = ((Volume / 100000000) / (High - Low))
EMV(1) = Distance Moved / Box Ratio
EMV(14) = SMA(14, EMV(1))

import {easeOfMovement} from 'indicatorts';

const result = easeOfMovement(period, highs, lows, volumes);

The defaultEaseOfMovement functio uses the default period of 14.

import {defaultEaseOfMovement} from 'indicatorts';

const result = defaultEaseOfMovement(highs, lows, volumes);

Force Index (FI)

The forceIndex uses the closing price and the volume to assess the power behind a move and identify turning points.

Force Index = EMA(period, (Current - Previous) * Volume)

import {forceIndex} from 'indicatorts';

const result = forceIndex(period, closings, volumes);

The defaultForceIndex function uses the default period of 13.

import {defaultForceIndex} from 'indicatorts';

const result = defaultForceIndex(closings, volumes);

Money Flow Index (MFI)

The moneyFlowIndex function analyzes both the closing price and the volume to measure to identify overbought and oversold states. It is similar to the Relative Strength Index (RSI), but it also uses the volume.

Raw Money Flow = Typical Price * Volume
Money Ratio = Positive Money Flow / Negative Money Flow
Money Flow Index = 100 - (100 / (1 + Money Ratio))

import {moneyFlowIndex} from 'indicatorts';

const result = moneyFlowIndex(14, highs, lows, closings, volumes);

The defaultMoneyFlowIndex function uses the default period of 14.

Negative Volume Index (NVI)

The 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)

import {negativeVolumeIndex} from 'indicatorts';

const nvi = negativeVolumeIndex(closings, volumes);

On-Balance Volume (OBV)

The onBalanceVolume function calculates a technical trading momentum indicator that uses volume flow to predict changes in stock price.

                  volume, if Closing > Closing-Prev
OBV = OBV-Prev +       0, if Closing = Closing-Prev
                 -volume, if Closing < Closing-Prev

import {onBalanceVolume} from 'indicatorts';

const result = onBalanceVolume(closings, volumes);

Volume Price Trend (VPT)

The volumePriceTrend provides a correlation between the volume and the price.

VPT = Previous VPT + (Volume * (Current Closing - Previous Closing) / Previous Closing)

import {volumePriceTrend} from 'indicatorts';

const result = volumePriceTrend(closings, volumes);

Volume Weighted Average Price (VWAP)

The volumeWeightedAveragePrice provides the average price the asset has traded.

VWAP = Sum(Closing * Volume) / Sum(Volume)

import {volumeWeightedAveragePrice} from 'indicatorts';

const result = volumeWeightedAveragePrice(period, closings, volumes);

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.

License

Copyright (c) 2022 Onur Cinar. All Rights Reserved.

The source code is provided under MIT License.