add on-balance volume

README.md

@@ -74,7 +74,6 @@ Indicators is a [Julia](https://julialang.org) package offering efficient implem
 - VMA (variable-length moving average)
 - Chaikin Money Flow
 - Ultimate Oscillator
-- OBV (on-balance volume)
 - Too many more to name...always happy to hear suggestions though!
 
 ### Done
@@ -98,6 +97,7 @@ Indicators is a [Julia](https://julialang.org) package offering efficient implem
 - ~~MMA (modified moving average)~~
 - ~~ZLEMA (zero lag exponential moving average)~~
 - ~~VWMA (volume-weighted moving average)~~
+- ~~OBV (on-balance volume)~~
 
 # Examples
 #### Randomly generated data:

src/Indicators.jl

@@ -6,7 +6,7 @@ module Indicators
         wilder_sum, mode, diffn,
         sma, trima, wma, ema, mma, kama, mama, hma, swma, dema, tema, alma, zlema, vwma, vwap, hama,
         mlr_beta, mlr_slope, mlr_intercept, mlr, mlr_se, mlr_ub, mlr_lb, mlr_bands, mlr_rsq,
-        aroon, donch, ichimoku, momentum, roc, macd, rsi, adx, psar, kst, wpr, cci, stoch, smi,
+        aroon, donch, ichimoku, momentum, roc, macd, rsi, adx, psar, kst, wpr, cci, stoch, smi, obv,
         bbands, tr, atr, keltner,
         crossover, crossunder,
         renko, heikinashi,

src/mom.jl

@@ -380,3 +380,26 @@ function smi(hlc::AbstractMatrix{T}; n::Int64=13, nFast::Int64=2, nSlow::Int64=2
     out[:,2] = maSig(out[:,1], n=nSig)
     return out
 end
+
+"""
+```
+obv(cv::AbstractMatrix{T})::Array{Float64}
+```
+
+OBV (on-balance volume)
+"""
+function obv(cv::AbstractMatrix{T})::Array{Float64} where {T<:Real}
+    n = size(cv, 1)
+    out = zeros(T, n)
+    @inbounds for i = 2:n
+        if cv[:,1][i] > cv[:,1][i-1]
+            out[i] = out[i-1] + cv[:,2][i]
+        elseif cv[:,1][i] < cv[:,1][i-1]
+            out[i] = out[i-1] - cv[:,2][i]
+        else
+            out[i] = out[i-1]
+        end
+    end
+    return out
+end
+

src/temporal.jl

@@ -114,6 +114,7 @@ smi(X::TS; args...) = hlc_fun(X, smi, [:SMI,:Signal]; args...)
 donch(X::TS; args...) = hl_fun(X, donch, [:Low,:Mid,:High]; args...)
 ichimoku(X::TS; args...) = hlc_fun(X, ichimoku, [:Tenkan,:Kijun,:SenkouA,:SenkouB,:Chikou]; args...)
 aroon(X::TS; args...) = hl_fun(X, aroon, [:AroonUp,:AroonDn,:AroonOsc]; args...)
+obv(X::TS; args...) = cv_fun(X, obv, [:OBV]; args...)
 
 ##### vol.jl ######
 bbands(X::TS; args...) = close_fun(X, bbands, [:LB,:MA,:UB]; args...)

test/mom.jl

@@ -73,6 +73,10 @@
         @test size(tmp, 1) == N
         @test size(tmp, 2) == 2
         @test sum(isnan.(tmp)) != N
+        tmp = obv(Y)
+        @test size(tmp, 1) == N
+        @test size(tmp, 2) == 1
+        @test sum(isnan.(tmp)) != N
     end
     @testset "Temporal" begin
         x = TS(cumsum(randn(N)))
@@ -131,5 +135,8 @@
         tmp = smi(Z)
         @test size(tmp, 1) == N
         @test size(tmp, 2) == 2
+        tmp = obv(Y)
+        @test size(tmp, 1) == N
+        @test size(tmp, 2) == 1
     end
 end