Negative Volume Index

NVI_Peterson.efs

EFSLibrary - Discussion Board  

 

File Name: NVI_Peterson.efs

Description:
Negative Volume Index

 

Formula Parameters:
EMA_Len : 255

 

Notes:
The theory behind the indexes is as follows: On days of increasing volume, you can expect prices to increase, and on days of decreasing volume, you can expect prices to decrease. This goes with the idea of
the market being in-gear and out-of-gear. Both PVI and NVI work in similar fashions: Both are a running cumulative of values, which means you either keep adding or subtracting price rate of change each day to the previous day`s sum. In the case of PVI, if today`s volume is less than yesterday`s, don`t add anything; if today`s volume is greater, then add today`s price rate of change. For NVI, add today`s price rate of change only if today`s volume is less than yesterday`s.

 

Download File:
NVI_Peterson.efs



EFS Code:

/*********************************
Provided By:  
    eSignal (Copyright c eSignal), a division of Interactive Data 
    Corporation. 2009. All rights reserved. This sample eSignal 
    Formula Script (EFS) is for educational purposes only and may be 
    modified and saved under a new file name.  eSignal is not responsible
    for the functionality once modified.  eSignal reserves the right 
    to modify and overwrite this EFS file with each new release.

Description:        
    Negative Volume Index
    
Version:            1.0  05/28/2009
 
Formula Parameters:                     Default:
    EMA_Len                             255
    
Notes:
    The theory behind the indexes is as follows: On days of increasing 
    volume, you can expect prices to increase, and on days of decreasing 
    volume, you can expect prices to decrease. This goes with the idea of 
    the market being in-gear and out-of-gear. Both PVI and NVI work in similar 
    fashions: Both are a running cumulative of values, which means you either 
    keep adding or subtracting price rate of change each day to the previous day`s 
    sum. In the case of PVI, if today`s volume is less than yesterday`s, don`t add 
    anything; if today`s volume is greater, then add today`s price rate of change. 
    For NVI, add today`s price rate of change only if today`s volume is less than 
    yesterday`s. 
**********************************/
var fpArray = new Array();
var bInit = false;

function preMain(){
    setStudyTitle("Negative Volume Index");
    setCursorLabelName("NVI",0);
    setDefaultBarFgColor(Color.red,0);
    setCursorLabelName("EMA",1);
    setDefaultBarFgColor(Color.blue,1);
    var x = 0;
    fpArray[x] = new FunctionParameter("EMA_Len", FunctionParameter.NUMBER);
    with(fpArray[x++]) {
        setLowerLimit(1);
        setDefault(255);
    }    
}

var xNVI = null;
var xNVI_EMA = null;

function main(EMA_Len) {
var nBarState = getBarState();
var nNVI = 0;
var nEMA = 0;
    if (nBarState == BARSTATE_ALLBARS) {
        if(EMA_Len == null) EMA_Len = 255;
	}
	if (bInit == false) {
        xNVI = efsInternal("Calc_NVI");
        xNVI_EMA = ema(EMA_Len, xNVI);
        bInit = true;
	}
    nNVI = xNVI.getValue(0);
    nEMA = xNVI_EMA.getValue(0);
    if (nEMA == null) return;
	return new Array(nNVI, nEMA);
}

var bSecondInit = false;
var xROC = null;
var xVolume = null;

function Calc_NVI() {
var nRes = 0;
var nRef = ref(-1);
    if (bSecondInit == false) {
        xROC = roc(1);
        xVolume = volume();
        bSecondInit = true;
    }
	if (xROC.getValue(-1) == null) return;
	if(xVolume.getValue(0) < xVolume.getValue(-1)) {
		nRes = nRef + xROC.getValue(0);    
	} else {
        nRes = nRef;
    }	
    return nRes;
}