OBV

Description

On-Balance Volume (Granville, 1963):

\[ \text{OBV}[t] = \text{OBV}[t-1] + \text{sign}(C - C_{t-1})\ \cdot\ V[t] \]

with seed OBV[0] = volume[0] (TA-Lib's convention). 2-input, 1-output on (close, volume). Cumulative; no window.

Bit-exact to talib.OBV (0.0 difference).

NaN handling

Policy: ignore. A NaN in any input at index t causes the function to skip that step: output at t is NaN and internal state is unchanged. Subsequent finite samples are processed as if step t had not occurred.

Examples

Usage example

import numpy as np
import plotly.graph_objects as go
from plotly.subplots import make_subplots
from screamer import OBV

np.random.seed(0)
close = 100*np.exp(np.cumsum(np.random.normal(0, 0.01, size=300)))
volume = np.random.uniform(1e5, 5e5, size=300)
out = OBV()(close, volume)

fig = make_subplots(rows=2, cols=1, shared_xaxes=True,
                    row_heights=[0.55, 0.45], vertical_spacing=0.08)
fig.add_trace(go.Scatter(y=close, name="close", line=dict(color="royalblue")), row=1, col=1)
fig.add_trace(go.Scatter(y=out, name="OBV", line=dict(color="red")), row=2, col=1)
fig.update_layout(title="On-balance volume (OBV)",
                  margin=dict(l=20, r=20, t=60, b=20),
                  legend=dict(orientation="h", yanchor="bottom", y=1.02, xanchor="right", x=1))
fig.update_yaxes(title_text="close", row=1, col=1)
fig.update_yaxes(title_text="OBV", row=2, col=1)
fig.show()