Implement On-Balance Volume (OBV) Strategy. Fixes #342

asset/README.md

@@ -563,7 +563,7 @@ type TiingoEndOfDay struct {
     Close float64 `json:"close"`
 
     // Volume is the total volume.
-    Volume int64 `json:"volume"`
+    Volume float64 `json:"volume"`
 
     // AdjOpen is the adjusted opening price.
     AdjOpen float64 `json:"adjOpen"`
@@ -578,7 +578,7 @@ type TiingoEndOfDay struct {
     AdjClose float64 `json:"adjClose"`
 
     // AdjVolume is the adjusted total volume.
-    AdjVolume int64 `json:"adjVolume"`
+    AdjVolume float64 `json:"adjVolume"`
 
     // Dividend is the dividend paid out.
     Dividend float64 `json:"divCash"`

strategy/momentum/README.md

@@ -55,6 +55,12 @@ The information provided on this project is strictly for informational purposes
   - [func \(t \*TripleRsiStrategy\) IdlePeriod\(\) int](<#TripleRsiStrategy.IdlePeriod>)
   - [func \(t \*TripleRsiStrategy\) Name\(\) string](<#TripleRsiStrategy.Name>)
   - [func \(t \*TripleRsiStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#TripleRsiStrategy.Report>)
+- [type WilliamsRStrategy](<#WilliamsRStrategy>)
+  - [func NewWilliamsRStrategy\(\) \*WilliamsRStrategy](<#NewWilliamsRStrategy>)
+  - [func NewWilliamsRStrategyWith\(buyAt, sellAt float64\) \*WilliamsRStrategy](<#NewWilliamsRStrategyWith>)
+  - [func \(r \*WilliamsRStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan strategy.Action](<#WilliamsRStrategy.Compute>)
+  - [func \(r \*WilliamsRStrategy\) Name\(\) string](<#WilliamsRStrategy.Name>)
+  - [func \(r \*WilliamsRStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#WilliamsRStrategy.Report>)
 
 
 ## Constants
@@ -107,6 +113,18 @@ const (
 )
 ```
 
+<a name="DefaultWilliamsRStrategyBuyAt"></a>
+
+```go
+const (
+    // DefaultWilliamsRStrategyBuyAt defines the default Williams R level at which a Buy action is generated.
+    DefaultWilliamsRStrategyBuyAt = -80.0
+
+    // DefaultWilliamsRStrategySellAt defines the default Williams R level at which a Sell action is generated.
+    DefaultWilliamsRStrategySellAt = -20.0
+)
+```
+
 <a name="AllStrategies"></a>
 ## func [AllStrategies](<https://github.com/cinar/indicator/blob/master/strategy/momentum/momentum.go#L24>)
 
@@ -425,4 +443,67 @@ func (t *TripleRsiStrategy) Report(c <-chan *asset.Snapshot) *helper.Report
 
 Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
 
+<a name="WilliamsRStrategy"></a>
+## type [WilliamsRStrategy](<https://github.com/cinar/indicator/blob/master/strategy/momentum/williams_r_strategy.go#L25-L34>)
+
+WilliamsRStrategy represents the configuration parameters for calculating the Williams R strategy.
+
+```go
+type WilliamsRStrategy struct {
+    // WilliamsR represents the configuration parameters for calculating the Williams %R.
+    WilliamsR *momentum.WilliamsR[float64]
+
+    // BuyAt defines the Williams R level at which a Buy action is generated.
+    BuyAt float64
+
+    // SellAt defines the Williams R level at which a Sell action is generated.
+    SellAt float64
+}
+```
+
+<a name="NewWilliamsRStrategy"></a>
+### func [NewWilliamsRStrategy](<https://github.com/cinar/indicator/blob/master/strategy/momentum/williams_r_strategy.go#L37>)
+
+```go
+func NewWilliamsRStrategy() *WilliamsRStrategy
+```
+
+NewWilliamsRStrategy function initializes a new Williams R strategy instance with the default parameters.
+
+<a name="NewWilliamsRStrategyWith"></a>
+### func [NewWilliamsRStrategyWith](<https://github.com/cinar/indicator/blob/master/strategy/momentum/williams_r_strategy.go#L45>)
+
+```go
+func NewWilliamsRStrategyWith(buyAt, sellAt float64) *WilliamsRStrategy
+```
+
+NewWilliamsRStrategyWith function initializes a new Williams R strategy instance with the given parameters.
+
+<a name="WilliamsRStrategy.Compute"></a>
+### func \(\*WilliamsRStrategy\) [Compute](<https://github.com/cinar/indicator/blob/master/strategy/momentum/williams_r_strategy.go#L59>)
+
+```go
+func (r *WilliamsRStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action
+```
+
+Compute processes the provided asset snapshots and generates a stream of actionable recommendations.
+
+<a name="WilliamsRStrategy.Name"></a>
+### func \(\*WilliamsRStrategy\) [Name](<https://github.com/cinar/indicator/blob/master/strategy/momentum/williams_r_strategy.go#L54>)
+
+```go
+func (r *WilliamsRStrategy) Name() string
+```
+
+Name returns the name of the strategy.
+
+<a name="WilliamsRStrategy.Report"></a>
+### func \(\*WilliamsRStrategy\) [Report](<https://github.com/cinar/indicator/blob/master/strategy/momentum/williams_r_strategy.go#L87>)
+
+```go
+func (r *WilliamsRStrategy) Report(c <-chan *asset.Snapshot) *helper.Report
+```
+
+Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
+
 Generated by [gomarkdoc](<https://github.com/princjef/gomarkdoc>)

strategy/volume/README.md

@@ -56,6 +56,12 @@ The information provided on this project is strictly for informational purposes
   - [func \(n \*NegativeVolumeIndexStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan strategy.Action](<#NegativeVolumeIndexStrategy.Compute>)
   - [func \(n \*NegativeVolumeIndexStrategy\) Name\(\) string](<#NegativeVolumeIndexStrategy.Name>)
   - [func \(n \*NegativeVolumeIndexStrategy\) Report\(c \<\-chan \*asset.Snapshot\) \*helper.Report](<#NegativeVolumeIndexStrategy.Report>)
+- [type ObvStrategy](<#ObvStrategy>)
+  - [func NewObvStrategy\(\) \*ObvStrategy](<#NewObvStrategy>)
+  - [func NewObvStrategyWith\(period int\) \*ObvStrategy](<#NewObvStrategyWith>)
+  - [func \(s \*ObvStrategy\) Compute\(snapshots \<\-chan \*asset.Snapshot\) \<\-chan strategy.Action](<#ObvStrategy.Compute>)
+  - [func \(s \*ObvStrategy\) Name\(\) string](<#ObvStrategy.Name>)
+  - [func \(s \*ObvStrategy\) Report\(snapshots \<\-chan \*asset.Snapshot\) \*helper.Report](<#ObvStrategy.Report>)
 - [type PercentBandMFIStrategy](<#PercentBandMFIStrategy>)
   - [func NewPercentBandMFIStrategy\(\) \*PercentBandMFIStrategy](<#NewPercentBandMFIStrategy>)
   - [func NewPercentBandMFIStrategyWith\(sellPercentBAt, buyPercentBAt, sellMfiAt, buyMfiAt float64\) \*PercentBandMFIStrategy](<#NewPercentBandMFIStrategyWith>)
@@ -111,6 +117,15 @@ const (
 )
 ```
 
+<a name="DefaultObvStrategyPeriod"></a>
+
+```go
+const (
+    // DefaultObvStrategyPeriod is the default OBV strategy period.
+    DefaultObvStrategyPeriod = 10
+)
+```
+
 <a name="AllStrategies"></a>
 ## func [AllStrategies](<https://github.com/cinar/indicator/blob/master/strategy/volume/volume.go#L26>)
 
@@ -414,6 +429,66 @@ func (n *NegativeVolumeIndexStrategy) Report(c <-chan *asset.Snapshot) *helper.R
 
 Report processes the provided asset snapshots and generates a report annotated with the recommended actions.
 
+<a name="ObvStrategy"></a>
+## type [ObvStrategy](<https://github.com/cinar/indicator/blob/master/strategy/volume/obv_strategy.go#L24-L30>)
+
+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.
+
+```go
+type ObvStrategy struct {
+    // Obv is the OBV indicator instance.
+    Obv *volume.Obv[float64]
+
+    // Sma is the SMA indicator instance.
+    Sma *trend.Sma[float64]
+}
+```
+
+<a name="NewObvStrategy"></a>
+### func [NewObvStrategy](<https://github.com/cinar/indicator/blob/master/strategy/volume/obv_strategy.go#L33>)
+
+```go
+func NewObvStrategy() *ObvStrategy
+```
+
+NewObvStrategy function initializes a new OBV strategy instance with the default parameters.
+
+<a name="NewObvStrategyWith"></a>
+### func [NewObvStrategyWith](<https://github.com/cinar/indicator/blob/master/strategy/volume/obv_strategy.go#L40>)
+
+```go
+func NewObvStrategyWith(period int) *ObvStrategy
+```
+
+NewObvStrategyWith function initializes a new OBV strategy instance with the given period.
+
+<a name="ObvStrategy.Compute"></a>
+### func \(\*ObvStrategy\) [Compute](<https://github.com/cinar/indicator/blob/master/strategy/volume/obv_strategy.go#L53>)
+
+```go
+func (s *ObvStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action
+```
+
+Compute function processes the provided asset snapshots and generates a stream of actionable recommendations.
+
+<a name="ObvStrategy.Name"></a>
+### func \(\*ObvStrategy\) [Name](<https://github.com/cinar/indicator/blob/master/strategy/volume/obv_strategy.go#L48>)
+
+```go
+func (s *ObvStrategy) Name() string
+```
+
+Name function returns the name of the strategy.
+
+<a name="ObvStrategy.Report"></a>
+### func \(\*ObvStrategy\) [Report](<https://github.com/cinar/indicator/blob/master/strategy/volume/obv_strategy.go#L86>)
+
+```go
+func (s *ObvStrategy) Report(snapshots <-chan *asset.Snapshot) *helper.Report
+```
+
+Report function processes the provided asset snapshots and generates a report annotated with the recommended actions.
+
 <a name="PercentBandMFIStrategy"></a>
 ## type [PercentBandMFIStrategy](<https://github.com/cinar/indicator/blob/master/strategy/volume/percent_b_and_mfi_strategy.go#L34-L52>)
 

strategy/volume/obv_strategy.go

@@ -0,0 +1,140 @@
+// Copyright (c) 2021-2026 Onur Cinar.
+// The source code is provided under GNU AGPLv3 License.
+// https://github.com/cinar/indicator
+
+package volume
+
+import (
+	"fmt"
+
+	"github.com/cinar/indicator/v2/asset"
+	"github.com/cinar/indicator/v2/helper"
+	"github.com/cinar/indicator/v2/strategy"
+	"github.com/cinar/indicator/v2/trend"
+	"github.com/cinar/indicator/v2/volume"
+)
+
+const (
+	// DefaultObvStrategyPeriod is the default OBV strategy period.
+	DefaultObvStrategyPeriod = 10
+)
+
+// 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.
+type ObvStrategy struct {
+	// Obv is the OBV indicator instance.
+	Obv *volume.Obv[float64]
+
+	// Sma is the SMA indicator instance.
+	Sma *trend.Sma[float64]
+}
+
+// NewObvStrategy function initializes a new OBV strategy instance with the default parameters.
+func NewObvStrategy() *ObvStrategy {
+	return NewObvStrategyWith(
+		DefaultObvStrategyPeriod,
+	)
+}
+
+// NewObvStrategyWith function initializes a new OBV strategy instance with the given period.
+func NewObvStrategyWith(period int) *ObvStrategy {
+	return &ObvStrategy{
+		Obv: volume.NewObv[float64](),
+		Sma: trend.NewSmaWithPeriod[float64](period),
+	}
+}
+
+// Name function returns the name of the strategy.
+func (s *ObvStrategy) Name() string {
+	return fmt.Sprintf("OBV Strategy (%d)", s.Sma.Period)
+}
+
+// Compute function processes the provided asset snapshots and generates a stream of actionable recommendations.
+func (s *ObvStrategy) Compute(snapshots <-chan *asset.Snapshot) <-chan strategy.Action {
+	snapshotsSplice := helper.Duplicate(snapshots, 2)
+
+	closings := asset.SnapshotsAsClosings(snapshotsSplice[0])
+	volumes := asset.SnapshotsAsVolumes(snapshotsSplice[1])
+
+	obvValues := s.Obv.Compute(closings, volumes)
+	obvSplice := helper.Duplicate(obvValues, 2)
+
+	smaValues := s.Sma.Compute(obvSplice[0])
+
+	// Align OBV with SMA
+	obvValuesAligned := helper.Skip(obvSplice[1], s.Sma.IdlePeriod())
+
+	actions := helper.Operate(obvValuesAligned, smaValues, func(obv, sma float64) strategy.Action {
+		if obv > sma {
+			return strategy.Buy
+		}
+
+		if obv < sma {
+			return strategy.Sell
+		}
+
+		return strategy.Hold
+	})
+
+	// OBV starts after its idle period (0), but SMA starts after its idle period.
+	actions = helper.Shift(actions, s.Sma.IdlePeriod(), strategy.Hold)
+
+	return actions
+}
+
+// Report function processes the provided asset snapshots and generates a report annotated with the recommended actions.
+func (s *ObvStrategy) Report(snapshots <-chan *asset.Snapshot) *helper.Report {
+	//
+	// snapshots[0] -> dates
+	// snapshots[1] -> closings (for report)
+	// snapshots[2] -> closings (for obv)
+	// snapshots[3] -> volumes  (for obv)
+	// snapshots[4] -> actions / outcomes
+	//
+	snapshotsSplice := helper.Duplicate(snapshots, 5)
+
+	dates := helper.Skip(
+		asset.SnapshotsAsDates(snapshotsSplice[0]),
+		s.Sma.IdlePeriod(),
+	)
+
+	closingsForReport := helper.Duplicate(
+		helper.Skip(
+			asset.SnapshotsAsClosings(snapshotsSplice[1]),
+			s.Sma.IdlePeriod(),
+		),
+		2,
+	)
+
+	closingsForObv := asset.SnapshotsAsClosings(snapshotsSplice[2])
+	volumesForObv := asset.SnapshotsAsVolumes(snapshotsSplice[3])
+
+	obvValues := s.Obv.Compute(closingsForObv, volumesForObv)
+	obvSplice := helper.Duplicate(obvValues, 2)
+
+	smaValues := s.Sma.Compute(obvSplice[0])
+	obvValuesAligned := helper.Skip(obvSplice[1], s.Sma.IdlePeriod())
+
+	actions, outcomes := strategy.ComputeWithOutcome(s, snapshotsSplice[4])
+	actions = helper.Skip(actions, s.Sma.IdlePeriod())
+	outcomes = helper.Skip(outcomes, s.Sma.IdlePeriod())
+
+	annotations := strategy.ActionsToAnnotations(actions)
+	outcomes = helper.MultiplyBy(outcomes, 100)
+
+	report := helper.NewReport(s.Name(), dates)
+	report.AddChart()
+	report.AddChart()
+
+	report.AddColumn(helper.NewNumericReportColumn("Close", closingsForReport[0]))
+
+	report.AddColumn(helper.NewNumericReportColumn("Close", closingsForReport[1]), 1)
+	report.AddColumn(helper.NewNumericReportColumn("OBV", obvValuesAligned), 1)
+	report.AddColumn(helper.NewNumericReportColumn("SMA", smaValues), 1)
+
+	report.AddColumn(helper.NewAnnotationReportColumn(annotations), 0, 1)
+
+	report.AddColumn(helper.NewNumericReportColumn("Outcome", outcomes), 2)
+
+	return report
+}