NegativeVolumeIndex — Negative Volume Index

A cumulative index that changes only on falling-volume bars. Fosback’s theory is that the quiet days are when informed money positions itself, so NVI tracks the smart money and PVI tracks the crowd.

Signature

NegativeVolumeIndex(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	SMA smoothing of the index. 1 returns the raw index. Bounds 1–200.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads close and volume.

Formula

$$ \text{NVI}t = \begin{cases}\text{NVI}{t-1}\left(1 + \frac{C_t - C_{t-1}}{C_{t-1}}\right) & V_t < V_{t-1} \ \text{NVI}_{t-1} & \text{otherwise}\end{cases} $$

Warmup

Starts at 1000 (the conventional base) and accumulates; resets per run.

Reading the value

nvi.value
nvi.value > ema.value

Example

class SmartMoneyFilter(Strategy):
    """Fosback's read: long while NVI is above its own long average."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        nvi = NegativeVolumeIndex(1, on=self.trade)
        base = EMA(255, on=nvi)
        if nvi.value > base.value and self.trade.is_flat:
            self.buy(self.trade, reason="NVI above its base")
        if nvi.value < base.value and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="NVI below its base")

Notes

• Norman Fosback, Stock Market Logic (1976). The 1000 starting value and the 255-day EMA comparison are his.