kingchenc
81962485af
Completes the F9 family (Cumulative volume) end to end: - Rust core: adl.rs (Accumulation/Distribution Line — cumulative range-weighted volume) and vpt.rs (Volume-Price Trend — cumulative volume scaled by percentage price change). Each with a full Indicator impl, runnable doctest and reference / cumulative-property / warmup / reset / batch==streaming tests. - Python: PyAdl / PyVolumePriceTrend PyO3 classes + module registration + .pyi stubs (no parameters, like OBV/VWAP). - Node: explicit AdlNode and VolumePriceTrendNode; index.d.ts and index.js updated. - WASM: WasmAdl and WasmVolumePriceTrend. - Wiki: Indicator-Adl.md and Indicator-VolumePriceTrend.md plus rows in Indicators-Overview.md and entries in Home.md. cargo fmt + clippy (core/wickra/data/wasm/node) clean; 373 core tests, 25 data tests and 53 doctests green.
162 lines
4.7 KiB
Markdown
162 lines
4.7 KiB
Markdown
# VolumePriceTrend
|
||
|
||
> Volume-Price Trend (VPT) — a cumulative volume line where each bar's
|
||
> contribution is scaled by its percentage price change.
|
||
|
||
## Quick reference
|
||
|
||
| Field | Value |
|
||
|-------|-------|
|
||
| Family | Volume |
|
||
| Sub-category | Cumulative |
|
||
| Input type | `Candle` (uses `close`, `volume`) |
|
||
| Output type | `f64` |
|
||
| Output range | unbounded (drifts with cumulative volume) |
|
||
| Default parameters | none (no parameters) |
|
||
| Warmup period | `1` |
|
||
| Interpretation | Running volume flow; slope and divergence matter. |
|
||
|
||
## Formula
|
||
|
||
```
|
||
VPT_t = VPT_{t−1} + volume_t · (close_t − close_{t−1}) / close_{t−1}
|
||
```
|
||
|
||
VPT is a close relative of [`Obv`](Indicator-Obv.md). Where OBV adds the
|
||
*entire* bar volume on any up-close, VPT adds volume scaled by the **size**
|
||
of the move: a 2 % gain on a given volume moves the line twice as far as a
|
||
1 % gain on the same volume. That makes VPT more sensitive to the
|
||
conviction behind a move. The first bar establishes the baseline at `0`.
|
||
|
||
## Parameters
|
||
|
||
`VolumePriceTrend` takes **no parameters** — `VolumePriceTrend::new()` in
|
||
Rust, `wickra.VolumePriceTrend()` in Python, `new ta.VolumePriceTrend()`
|
||
in Node.
|
||
|
||
## Inputs / Outputs
|
||
|
||
From `crates/wickra-core/src/indicators/vpt.rs`:
|
||
|
||
```rust
|
||
impl Indicator for VolumePriceTrend {
|
||
type Input = Candle;
|
||
type Output = f64;
|
||
// update(&mut self, input: Candle) -> Option<f64>
|
||
}
|
||
```
|
||
|
||
`VolumePriceTrend` is a **candle-input** indicator: it reads `close` and
|
||
`volume`. In Python the streaming `update` accepts a 6-tuple or a dict;
|
||
the batch helper takes `close` and `volume` numpy arrays. Node and WASM
|
||
expose `update(close, volume)` and `batch(close, volume)`.
|
||
|
||
## Warmup
|
||
|
||
`warmup_period() == 1`. VPT is cumulative — it emits the baseline `0` from
|
||
the first candle, then accumulates from the second onward.
|
||
|
||
## Edge cases
|
||
|
||
- **Constant close.** With no price change every bar contributes `0`, so
|
||
the line stays flat regardless of volume
|
||
(`constant_close_keeps_line_flat` pins this).
|
||
- **First bar.** The first candle has no previous close; VPT emits the
|
||
baseline `0.0` (`emits_from_first_candle_at_zero` pins this).
|
||
- **Zero previous close.** A percentage change against a `0.0` prior
|
||
close is undefined and is treated as `0`.
|
||
- **Candle validation.** `Candle::new` rejects invalid bars upstream.
|
||
- **Reset.** `vpt.reset()` returns the running total to `0`.
|
||
|
||
## Examples
|
||
|
||
### Rust
|
||
|
||
```rust
|
||
use wickra::{BatchExt, Candle, Indicator, VolumePriceTrend};
|
||
|
||
fn main() -> Result<(), Box<dyn std::error::Error>> {
|
||
let mut vpt = VolumePriceTrend::new();
|
||
// closes 10 -> 11 -> 9, volumes 100, 200, 300.
|
||
let out = vpt.batch(&[
|
||
Candle::new(10.0, 10.0, 10.0, 10.0, 100.0, 0)?,
|
||
Candle::new(11.0, 11.0, 11.0, 11.0, 200.0, 1)?,
|
||
Candle::new(9.0, 9.0, 9.0, 9.0, 300.0, 2)?,
|
||
]);
|
||
println!("{:?}", out);
|
||
Ok(())
|
||
}
|
||
```
|
||
|
||
Output:
|
||
|
||
```
|
||
[Some(0.0), Some(20.0), Some(-34.54545454545455)]
|
||
```
|
||
|
||
Bar 1 is the baseline `0`. Bar 2 adds `200 · (11−10)/10 = 20`. Bar 3 adds
|
||
`300 · (9−11)/11 = −600/11`, leaving `20 − 600/11 ≈ −34.545`. This matches
|
||
the `reference_values` test in `crates/wickra-core/src/indicators/vpt.rs`.
|
||
|
||
### Python
|
||
|
||
```python
|
||
import numpy as np
|
||
import wickra as ta
|
||
|
||
vpt = ta.VolumePriceTrend()
|
||
close = np.array([10.0, 11.0, 9.0])
|
||
volume = np.array([100.0, 200.0, 300.0])
|
||
print(vpt.batch(close, volume))
|
||
```
|
||
|
||
Output:
|
||
|
||
```
|
||
[ 0. 20. -34.54545455]
|
||
```
|
||
|
||
### Node
|
||
|
||
```javascript
|
||
const ta = require('wickra');
|
||
const vpt = new ta.VolumePriceTrend();
|
||
console.log(vpt.batch([10, 11, 9], [100, 200, 300]));
|
||
```
|
||
|
||
Output:
|
||
|
||
```
|
||
[ 0, 20, -34.54545454545455 ]
|
||
```
|
||
|
||
## Interpretation
|
||
|
||
`VolumePriceTrend` is read like OBV — by **slope** and by **divergence**,
|
||
never by absolute level. A VPT rising in step with price confirms the
|
||
trend is volume-supported; VPT flattening or falling while price climbs
|
||
is a bearish divergence warning that the move lacks participation. Versus
|
||
OBV, VPT gives proportionally more weight to large moves and less to a
|
||
string of tiny up-closes, so it tracks the *magnitude* of conviction, not
|
||
just its direction.
|
||
|
||
## Common pitfalls
|
||
|
||
- **Reading the absolute value.** Only slope and divergences carry
|
||
meaning; the level depends on the stream's start point.
|
||
- **Expecting OBV-identical behaviour.** VPT scales by percentage change,
|
||
so the two lines diverge — especially across large single-bar moves.
|
||
|
||
## References
|
||
|
||
The Volume-Price Trend (also "Price-Volume Trend") is a standard
|
||
cumulative volume study; the `volume · ROC` accumulation here matches the
|
||
common definition.
|
||
|
||
## See also
|
||
|
||
- [Indicator-Obv.md](Indicator-Obv.md) — cumulative signed volume, the
|
||
closest relative.
|
||
- [Indicator-Adl.md](Indicator-Adl.md) — cumulative range-weighted volume.
|
||
- [Indicators-Overview.md](../../Indicators-Overview.md) — the full taxonomy.
|