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Implement On-Balance Volume (OBV) Strategy. Fixes #342 (#355)
## Describe Request Implements the On-Balance Volume (OBV) trading strategy using the existing volume.Obv indicator. This PR also includes: - A fix for a calculation bug in the OBV indicator where it was comparing the current closing price to the previous OBV value instead of the previous closing price. - Updated test data for the OBV indicator. - 100% test coverage for the new strategy. - Updated documentation. Fixed #342 Signed-off-by: Onur Cinar <onur.cinar@gmail.com>
1 parent 2f2e411 commit e86d913

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‎asset/README.md‎

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@@ -563,7 +563,7 @@ type TiingoEndOfDay struct {
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Close float64 `json:"close"`
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// Volume is the total volume.
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Volume int64 `json:"volume"`
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Volume float64 `json:"volume"`
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// AdjOpen is the adjusted opening price.
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AdjOpen float64 `json:"adjOpen"`
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AdjClose float64 `json:"adjClose"`
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// AdjVolume is the adjusted total volume.
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AdjVolume int64 `json:"adjVolume"`
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AdjVolume float64 `json:"adjVolume"`
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// Dividend is the dividend paid out.
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Dividend float64 `json:"divCash"`

‎strategy/momentum/README.md‎

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@@ -55,6 +55,12 @@ The information provided on this project is strictly for informational purposes
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- [func \(t \*TripleRsiStrategy\) IdlePeriod\(\) int](<#TripleRsiStrategy.IdlePeriod>)
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- [func \(t \*TripleRsiStrategy\) Name\(\) string](<#TripleRsiStrategy.Name>)
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- [func \(t \*TripleRsiStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#TripleRsiStrategy.Report>)
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- [type WilliamsRStrategy](<#WilliamsRStrategy>)
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- [func NewWilliamsRStrategy\(\) \*WilliamsRStrategy](<#NewWilliamsRStrategy>)
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- [func NewWilliamsRStrategyWith\(buyAt, sellAt float64\) \*WilliamsRStrategy](<#NewWilliamsRStrategyWith>)
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- [func \(r \*WilliamsRStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan strategy.Action](<#WilliamsRStrategy.Compute>)
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- [func \(r \*WilliamsRStrategy\) Name\(\) string](<#WilliamsRStrategy.Name>)
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- [func \(r \*WilliamsRStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#WilliamsRStrategy.Report>)
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## Constants
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)
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```
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<a name="DefaultWilliamsRStrategyBuyAt"></a>
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```go
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const (
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// DefaultWilliamsRStrategyBuyAt defines the default Williams R level at which a Buy action is generated.
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DefaultWilliamsRStrategyBuyAt = -80.0
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// DefaultWilliamsRStrategySellAt defines the default Williams R level at which a Sell action is generated.
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DefaultWilliamsRStrategySellAt = -20.0
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)
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```
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<a name="AllStrategies"></a>
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## func [AllStrategies](<https://github.com/cinar/indicator/blob/master/strategy/momentum/momentum.go#L24>)
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Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
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<a name="WilliamsRStrategy"></a>
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## type [WilliamsRStrategy](<https://github.com/cinar/indicator/blob/master/strategy/momentum/williams_r_strategy.go#L25-L34>)
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WilliamsRStrategy represents the configuration parameters for calculating the Williams R strategy.
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```go
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type WilliamsRStrategy struct {
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// WilliamsR represents the configuration parameters for calculating the Williams %R.
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WilliamsR *momentum.WilliamsR[float64]
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// BuyAt defines the Williams R level at which a Buy action is generated.
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BuyAt float64
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// SellAt defines the Williams R level at which a Sell action is generated.
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SellAt float64
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}
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```
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<a name="NewWilliamsRStrategy"></a>
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### func [NewWilliamsRStrategy](<https://github.com/cinar/indicator/blob/master/strategy/momentum/williams_r_strategy.go#L37>)
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```go
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func NewWilliamsRStrategy() *WilliamsRStrategy
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```
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NewWilliamsRStrategy function initializes a new Williams R strategy instance with the default parameters.
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<a name="NewWilliamsRStrategyWith"></a>
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### func [NewWilliamsRStrategyWith](<https://github.com/cinar/indicator/blob/master/strategy/momentum/williams_r_strategy.go#L45>)
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```go
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func NewWilliamsRStrategyWith(buyAt, sellAt float64) *WilliamsRStrategy
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```
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NewWilliamsRStrategyWith function initializes a new Williams R strategy instance with the given parameters.
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<a name="WilliamsRStrategy.Compute"></a>
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### func \(\*WilliamsRStrategy\) [Compute](<https://github.com/cinar/indicator/blob/master/strategy/momentum/williams_r_strategy.go#L59>)
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```go
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func (r *WilliamsRStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action
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```
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Compute processes the provided asset snapshots and generates a stream of actionable recommendations.
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<a name="WilliamsRStrategy.Name"></a>
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### func \(\*WilliamsRStrategy\) [Name](<https://github.com/cinar/indicator/blob/master/strategy/momentum/williams_r_strategy.go#L54>)
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```go
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func (r *WilliamsRStrategy) Name() string
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```
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Name returns the name of the strategy.
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<a name="WilliamsRStrategy.Report"></a>
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### func \(\*WilliamsRStrategy\) [Report](<https://github.com/cinar/indicator/blob/master/strategy/momentum/williams_r_strategy.go#L87>)
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```go
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func (r *WilliamsRStrategy) Report(c <-chan *asset.Snapshot) *helper.Report
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```
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Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
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Generated by [gomarkdoc](<https://github.com/princjef/gomarkdoc>)

‎strategy/volume/README.md‎

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- [func \(n \*NegativeVolumeIndexStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan strategy.Action](<#NegativeVolumeIndexStrategy.Compute>)
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- [func \(n \*NegativeVolumeIndexStrategy\) Name\(\) string](<#NegativeVolumeIndexStrategy.Name>)
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- [func \(n \*NegativeVolumeIndexStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#NegativeVolumeIndexStrategy.Report>)
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- [type ObvStrategy](<#ObvStrategy>)
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- [func NewObvStrategy\(\) \*ObvStrategy](<#NewObvStrategy>)
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- [func NewObvStrategyWith\(period int\) \*ObvStrategy](<#NewObvStrategyWith>)
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- [func \(s \*ObvStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan strategy.Action](<#ObvStrategy.Compute>)
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- [func \(s \*ObvStrategy\) Name\(\) string](<#ObvStrategy.Name>)
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- [func \(s \*ObvStrategy\) Report\(snapshots \<\-chan \*asset.Snapshot\) \*helper.Report](<#ObvStrategy.Report>)
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- [type PercentBandMFIStrategy](<#PercentBandMFIStrategy>)
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- [func NewPercentBandMFIStrategy\(\) \*PercentBandMFIStrategy](<#NewPercentBandMFIStrategy>)
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- [func NewPercentBandMFIStrategyWith\(sellPercentBAt, buyPercentBAt, sellMfiAt, buyMfiAt float64\) \*PercentBandMFIStrategy](<#NewPercentBandMFIStrategyWith>)
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)
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```
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<a name="DefaultObvStrategyPeriod"></a>
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```go
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const (
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// DefaultObvStrategyPeriod is the default OBV strategy period.
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DefaultObvStrategyPeriod = 10
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)
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```
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<a name="AllStrategies"></a>
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## func [AllStrategies](<https://github.com/cinar/indicator/blob/master/strategy/volume/volume.go#L26>)
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Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
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<a name="ObvStrategy"></a>
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## type [ObvStrategy](<https://github.com/cinar/indicator/blob/master/strategy/volume/obv_strategy.go#L24-L30>)
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ObvStrategy represents the configuration parameters for calculating the On\-Balance Volume \(OBV\) strategy. Recommends a Buy action when OBV crosses above its SMA, and recommends a Sell action when OBV crosses below its SMA.
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```go
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type ObvStrategy struct {
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// Obv is the OBV indicator instance.
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Obv *volume.Obv[float64]
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// Sma is the SMA indicator instance.
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Sma *trend.Sma[float64]
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}
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```
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<a name="NewObvStrategy"></a>
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### func [NewObvStrategy](<https://github.com/cinar/indicator/blob/master/strategy/volume/obv_strategy.go#L33>)
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```go
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func NewObvStrategy() *ObvStrategy
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```
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NewObvStrategy function initializes a new OBV strategy instance with the default parameters.
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<a name="NewObvStrategyWith"></a>
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### func [NewObvStrategyWith](<https://github.com/cinar/indicator/blob/master/strategy/volume/obv_strategy.go#L40>)
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```go
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func NewObvStrategyWith(period int) *ObvStrategy
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```
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NewObvStrategyWith function initializes a new OBV strategy instance with the given period.
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<a name="ObvStrategy.Compute"></a>
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### func \(\*ObvStrategy\) [Compute](<https://github.com/cinar/indicator/blob/master/strategy/volume/obv_strategy.go#L53>)
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```go
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func (s *ObvStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action
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```
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Compute function processes the provided asset snapshots and generates a stream of actionable recommendations.
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<a name="ObvStrategy.Name"></a>
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### func \(\*ObvStrategy\) [Name](<https://github.com/cinar/indicator/blob/master/strategy/volume/obv_strategy.go#L48>)
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```go
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func (s *ObvStrategy) Name() string
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```
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Name function returns the name of the strategy.
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<a name="ObvStrategy.Report"></a>
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### func \(\*ObvStrategy\) [Report](<https://github.com/cinar/indicator/blob/master/strategy/volume/obv_strategy.go#L86>)
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```go
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func (s *ObvStrategy) Report(snapshots <-chan *asset.Snapshot) *helper.Report
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```
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Report function processes the provided asset snapshots and generates a report annotated with the recommended actions.
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<a name="PercentBandMFIStrategy"></a>
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## type [PercentBandMFIStrategy](<https://github.com/cinar/indicator/blob/master/strategy/volume/percent_b_and_mfi_strategy.go#L34-L52>)
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‎strategy/volume/obv_strategy.go‎

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// Copyright (c) 2021-2026 Onur Cinar.
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// The source code is provided under GNU AGPLv3 License.
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// https://github.com/cinar/indicator
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package volume
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import (
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"fmt"
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"github.com/cinar/indicator/v2/asset"
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"github.com/cinar/indicator/v2/helper"
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"github.com/cinar/indicator/v2/strategy"
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"github.com/cinar/indicator/v2/trend"
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"github.com/cinar/indicator/v2/volume"
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)
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const (
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// DefaultObvStrategyPeriod is the default OBV strategy period.
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DefaultObvStrategyPeriod = 10
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)
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// ObvStrategy represents the configuration parameters for calculating the On-Balance Volume (OBV) strategy.
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// Recommends a Buy action when OBV crosses above its SMA, and recommends a Sell action when OBV crosses below its SMA.
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type ObvStrategy struct {
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// Obv is the OBV indicator instance.
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Obv *volume.Obv[float64]
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// Sma is the SMA indicator instance.
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Sma *trend.Sma[float64]
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}
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// NewObvStrategy function initializes a new OBV strategy instance with the default parameters.
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func NewObvStrategy() *ObvStrategy {
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return NewObvStrategyWith(
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DefaultObvStrategyPeriod,
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)
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}
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// NewObvStrategyWith function initializes a new OBV strategy instance with the given period.
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func NewObvStrategyWith(period int) *ObvStrategy {
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return &ObvStrategy{
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Obv: volume.NewObv[float64](),
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Sma: trend.NewSmaWithPeriod[float64](period),
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}
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}
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// Name function returns the name of the strategy.
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func (s *ObvStrategy) Name() string {
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return fmt.Sprintf("OBV Strategy (%d)", s.Sma.Period)
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}
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// Compute function processes the provided asset snapshots and generates a stream of actionable recommendations.
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func (s *ObvStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action {
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snapshotsSplice := helper.Duplicate(snapshots, 2)
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closings := asset.SnapshotsAsClosings(snapshotsSplice[0])
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volumes := asset.SnapshotsAsVolumes(snapshotsSplice[1])
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obvValues := s.Obv.Compute(closings, volumes)
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obvSplice := helper.Duplicate(obvValues, 2)
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smaValues := s.Sma.Compute(obvSplice[0])
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// Align OBV with SMA
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obvValuesAligned := helper.Skip(obvSplice[1], s.Sma.IdlePeriod())
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actions := helper.Operate(obvValuesAligned, smaValues, func(obv, sma float64) strategy.Action {
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if obv > sma {
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return strategy.Buy
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}
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if obv < sma {
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return strategy.Sell
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}
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return strategy.Hold
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})
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// OBV starts after its idle period (0), but SMA starts after its idle period.
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actions = helper.Shift(actions, s.Sma.IdlePeriod(), strategy.Hold)
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return actions
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}
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// Report function processes the provided asset snapshots and generates a report annotated with the recommended actions.
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func (s *ObvStrategy) Report(snapshots <-chan *asset.Snapshot) *helper.Report {
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//
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// snapshots[0] -> dates
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// snapshots[1] -> closings (for report)
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// snapshots[2] -> closings (for obv)
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// snapshots[3] -> volumes (for obv)
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// snapshots[4] -> actions / outcomes
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//
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snapshotsSplice := helper.Duplicate(snapshots, 5)
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dates := helper.Skip(
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asset.SnapshotsAsDates(snapshotsSplice[0]),
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s.Sma.IdlePeriod(),
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)
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closingsForReport := helper.Duplicate(
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helper.Skip(
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asset.SnapshotsAsClosings(snapshotsSplice[1]),
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s.Sma.IdlePeriod(),
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),
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2,
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)
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closingsForObv := asset.SnapshotsAsClosings(snapshotsSplice[2])
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volumesForObv := asset.SnapshotsAsVolumes(snapshotsSplice[3])
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obvValues := s.Obv.Compute(closingsForObv, volumesForObv)
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obvSplice := helper.Duplicate(obvValues, 2)
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smaValues := s.Sma.Compute(obvSplice[0])
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obvValuesAligned := helper.Skip(obvSplice[1], s.Sma.IdlePeriod())
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actions, outcomes := strategy.ComputeWithOutcome(s, snapshotsSplice[4])
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actions = helper.Skip(actions, s.Sma.IdlePeriod())
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outcomes = helper.Skip(outcomes, s.Sma.IdlePeriod())
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annotations := strategy.ActionsToAnnotations(actions)
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outcomes = helper.MultiplyBy(outcomes, 100)
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report := helper.NewReport(s.Name(), dates)
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report.AddChart()
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report.AddChart()
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report.AddColumn(helper.NewNumericReportColumn("Close", closingsForReport[0]))
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report.AddColumn(helper.NewNumericReportColumn("Close", closingsForReport[1]), 1)
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report.AddColumn(helper.NewNumericReportColumn("OBV", obvValuesAligned), 1)
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report.AddColumn(helper.NewNumericReportColumn("SMA", smaValues), 1)
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report.AddColumn(helper.NewAnnotationReportColumn(annotations), 0, 1)
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report.AddColumn(helper.NewNumericReportColumn("Outcome", outcomes), 2)
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return report
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}

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