Volume Positive Negative
Detects high-volume breakouts by comparing volume on up days vs down days, normalized between -100 and 100.
Usage
Use to confirm breakouts. A VPN value crossing above a critical threshold (e.g., 10) signals a high-volume positive breakout.
Background
While originally using EMA for smoothing, this implementation employs the UltimateSmoother to further reduce lag in detecting volume-driven trend shifts, aligning with modern DSP standards for technical indicators.
Parameters
period(default: 30): Calculation period for volume sums and ATRsmooth_period(default: 3): Smoothing period for the final VPN value
Formula
[ TP = \frac{High + Low + Close}{3} ] [ MF = TP - TP_{t-1} ] [ MC = 0.1 \times ATR(Period) ] [ VP = \sum_{i=0}^{Period-1} (\text{if } MF_{t-i} > MC_{t-i} \text{ then } Volume_{t-i} \text{ else } 0) ] [ VN = \sum_{i=0}^{Period-1} (\text{if } MF_{t-i} < -MC_{t-i} \text{ then } Volume_{t-i} \text{ else } 0) ] [ MAV = \text{Average}(Volume, Period) ] [ VPN = \frac{VP - VN}{MAV \times Period} \times 100 ]