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Handle initial OBV value & Handle 0's #347

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16 changes: 14 additions & 2 deletions ta/volume.py
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Original file line number Diff line number Diff line change
Expand Up @@ -83,7 +83,15 @@ def __init__(self, close: pd.Series, volume: pd.Series, fillna: bool = False):
self._run()

def _run(self):
obv = np.where(self._close < self._close.shift(1), -self._volume, self._volume)
close_prev = self._close.shift(1)
obv = np.zeros_like(self._volume)

close_up_mask = self._close > close_prev
close_dn_mask = self._close < close_prev

obv[close_up_mask] = self._volume[close_up_mask]
obv[close_dn_mask] = -self._volume[close_dn_mask]

self._obv = pd.Series(obv, index=self._close.index).cumsum()

def on_balance_volume(self) -> pd.Series:
Expand Down Expand Up @@ -625,7 +633,11 @@ def sma_ease_of_movement(high, low, volume, window=14, fillna=False):


def volume_price_trend(
close, volume, fillna=False, smoothing_factor: tp.Optional[int] = None, dropnans: bool = False
close,
volume,
fillna=False,
smoothing_factor: tp.Optional[int] = None,
dropnans: bool = False,
):
"""Volume-price trend (VPT)

Expand Down