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Miha Kralj
2026-01-31 11:21:09 -08:00
parent 7b3a6520d2
commit 51e885a4a6
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lib/volume/pvd/Pvd.cs
+16 -15
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@@ -4,25 +4,26 @@ using System.Runtime.InteropServices;
namespace QuanTAlib;
/// <summary>
/// PVD: Price Volume Divergence
/// Measures the divergence between price momentum and volume momentum.
/// Detects situations where price and volume are moving in opposite directions.
/// Computes the Price Volume Divergence (PVD) that measures divergence between price momentum
/// and volume momentum, detecting situations where price and volume move in opposite directions.
/// </summary>
/// <remarks>
/// The PVD indicator calculates:
/// 1. Price ROC = (Close - Close[pricePeriod]) / Close[pricePeriod] * 100
/// 2. Volume ROC = (Volume - Volume[volumePeriod]) / Volume[volumePeriod] * 100
/// 3. Price Momentum = Sign(Price ROC)
/// 4. Volume Momentum = Sign(Volume ROC)
/// 5. Magnitude = |Price ROC| + |Volume ROC|
/// 6. Raw Divergence = Price Momentum * -Volume Momentum * Magnitude
/// 7. PVD = SMA(Raw Divergence, smoothingPeriod)
/// PVD Formula:
/// <c>Price_ROC = ((Close - Close[pricePeriod]) / Close[pricePeriod]) × 100</c>,
/// <c>Volume_ROC = ((Volume - Volume[volumePeriod]) / Volume[volumePeriod]) × 100</c>,
/// <c>Raw_Divergence = Sign(Price_ROC) × -Sign(Volume_ROC) × (|Price_ROC| + |Volume_ROC|)</c>,
/// <c>PVD = SMA(Raw_Divergence, smoothingPeriod)</c>.
///
/// Key characteristics:
/// - Positive values indicate price up/volume down or price down/volume up divergence
/// - Negative values indicate price and volume moving in same direction
/// - Zero indicates no significant momentum in either price or volume
/// Positive values indicate price up/volume down or price down/volume up divergence;
/// negative values indicate price and volume moving in same direction.
/// This implementation is optimized for streaming updates with O(1) per bar using ring buffers.
/// Non-finite inputs (NaN/±Inf) are sanitized by substituting the last finite value observed.
///
/// For the authoritative algorithm reference, full rationale, and behavioral contracts, see the
/// companion files in the same directory.
/// </remarks>
/// <seealso href="Pvd.md">Detailed documentation</seealso>
/// <seealso href="pvd.pine">Reference Pine Script implementation</seealso>
[SkipLocalsInit]
public sealed class Pvd : ITValuePublisher
{