negvolidx

Negative volume index

Using a fints object for the Data argument of negvolidx is not recommended. Use a matrix, timetable, or table instead for financial time series. For more information, see Convert Financial Time Series Objects fints to Timetables.

Syntax

volume = negvolidx(Data)

volume = negvolidx(___,Name,Value)

Description

volume = negvolidx(Data) calculates the negative volume index from the series of closing stock prices and trade volume.

volume = negvolidx(___,Name,Value) adds optional name-value pair arguments.

Examples

Calculate the Negative Volume Index for a Data Series for a Stock

Load the file SimulatedStock.mat, which provides a timetable (TMW) for financial data for TMW stock.

load SimulatedStock.mat
volume = negvolidx(TMW);
plot(volume.Time,volume.NegativeVolume)
title('Negative Volume Index for TMW')

Input Arguments

Data — Data with closing prices and trade volume

matrix | table | timetable

Data with closing prices and trade volume, specified as a matrix, table, or timetable. For matrix input, Data is an M-by-2 with closing prices and trade volume stored in the first and second columns. Timetables and tables with M rows must contain variables named 'Close' and 'Volume' (case insensitive).

Data Types: double | table | timetable

Name-Value Pair Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: volume = negvolidx(TMW,'InitialValue',500)

'InitialValue' — Initial value for negative volume index

100 (default) | positive integer

Initial value for negative volume index, specified as the comma-separated pair consisting of 'InitialValue' and a scalar positive integer.

Data Types: double

Output Arguments

volume — Negative volume index

matrix | table | timetable

Negative volume index, returned with the same number of rows (M) and the same type (matrix, table, or timetable) as the input Data.

More About

Negative Volume Index

Negative volume index shows the days when the trading volume of a particular security is substantially lower than other days.

References

[1] Achelis, S. B. Technical Analysis from A to Z. Second Edition. McGraw-Hill, 1995, pp. 193–194.