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Volume Positive Negative

Volume volume breakout katsanos vpn momentum

Detects high-volume breakouts by comparing volume on up days vs down days, normalized between -100 and 100.

Visual Example

Volume Positive Negative — annotated preview mapping to core implementation

Synthetic ideal per library logic. Generated 2026-06-25 IST via docs/generate_all_previews.py (reproducible; maps to core Next<T> implementation).

Description

The Volume Positive Negative indicator is a technical analysis tool that detects high-volume breakouts by comparing volume on up days vs down days, normalized between -100 and 100.

This indicator is primarily used for identifying key market conditions. It provides a robust signal that can be easily integrated into both simple strategies and more complex machine learning feature pipelines. Compared to its alternatives, it offers a distinct balance of responsiveness and stability.

Traders often combine this with other metrics to confirm signals and avoid false positives during sideways market regimes. It remains a standard tool for systematic trading models.

Use to confirm breakouts. A VPN value crossing above a critical threshold (e.g., 10) signals a high-volume positive breakout.

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.

QuantWave implements this indicator via the universal Next<T> trait, guaranteeing bit-identical results between Rust streaming, Python streaming, and Polars batch (.ta() / map_batches) surfaces.

Formula / Specification

Implementation (quantwave-core/src/indicators/vpn.rs):

[ 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 ]

Gold-standard parity vectors: quantwave-core/tests/gold_standard/vpn.json.

Parameters

Parameter Default Description
period 30 Calculation period for volume sums and ATR
smooth_period 3 Smoothing period for the final VPN value

Usage Examples

Streaming (Rust)

use quantwave_core::indicators::VPN;
use quantwave_core::traits::Next;

let mut ind = VPN::new(30);
for price in &prices {
    let value = ind.next(price);
}

Streaming (Python)

from quantwave import VPN

ind = VPN(30)
for price in prices:
    value = ind.next(price)

Polars Batch (Python)

import polars as pl
import quantwave as qw

def apply_volume_positive_negative(series: pl.Series) -> pl.Series:
    ind = qw.VPN(30)
    return pl.Series([ind.next(float(v)) for v in series.to_list()])

df = (
    pl.read_csv('ohlcv.csv')
    .lazy()
    .with_columns(
        pl.col("close").map_batches(apply_volume_positive_negative, return_dtype=pl.Float64).alias("volume_positive_negative")
    )
    .collect()
)

All surfaces are bit-identical via the single Next<T> implementation and proptests.

Edge Cases & Limitations

  • Warm-up: first 30 bars may return NaN or partial state per implementation.
  • Parameter sensitivity: smaller periods increase noise; larger periods increase lag.
  • Sudden gaps or bad ticks can distort rolling windows — consider pre-filtering.
  • Single-series indicators ignore volume unless otherwise documented.
  • Validated via proptests against gold-standard vectors where available.
  • No look-ahead bias; streaming and Polars batch paths are bit-identical.

Boundary Behavior

Condition Behavior
Warm-up Leading bars return NaN until warmup_bars is satisfied.
period > len When period exceeds series length, output is all NaN.
NaN inputs NaN in input propagates to output (NaN out).
Invalid params Non-positive period or missing required params raise ValueError.
Empty data Empty input returns an empty result series.

Sources & References

Primary Source: https://www.traders.com/Documentation/FEEDbk_docs/2021/04/TradersTips.html

Implementation: quantwave-core/src/indicators/vpn.rs (VPN / VPN_METADATA). Parity: quantwave-core/tests/gold_standard/vpn.json

Provenance: Standards bulk upgrade 2026-06-25 IST — see docs/DOCUMENTATION_STANDARDS.md.