X-Git-Url: https://git.creatis.insa-lyon.fr/pubgit/?p=CreaPhase.git;a=blobdiff_plain;f=octave_packages%2Ffinancial-0.4.0%2Fonbalvol.m;fp=octave_packages%2Ffinancial-0.4.0%2Fonbalvol.m;h=4040b6a1e052bb956797d1f3dfa9580005d1c633;hp=0000000000000000000000000000000000000000;hb=f5f7a74bd8a4900f0b797da6783be80e11a68d86;hpb=1705066eceaaea976f010f669ce8e972f3734b05

diff --git a/octave_packages/financial-0.4.0/onbalvol.m b/octave_packages/financial-0.4.0/onbalvol.m
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+## Copyright (C) 2008 Bill Denney <bill@denney.ws>
+##
+## This program is free software; you can redistribute it and/or modify it under
+## the terms of the GNU General Public License as published by the Free Software
+## Foundation; either version 3 of the License, or (at your option) any later
+## version.
+##
+## This program is distributed in the hope that it will be useful, but WITHOUT
+## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
+## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
+## details.
+##
+## You should have received a copy of the GNU General Public License along with
+## this program; if not, see <http://www.gnu.org/licenses/>.
+
+## -*- texinfo -*-
+## @deftypefn {Function File} {@var{obv} =} onbalvol (@var{closeprice}, @var{vol})
+## @deftypefnx {Function File} {@var{obv} =} onbalvol ([@var{closeprice} @var{vol}])
+##
+## Compute the on balance volume of a security based on its closing
+## price (@var{closeprice}) and @var{vol}ume.  They may be given as
+## separate arguments or as an nx2 matrix.
+##
+## The output will be a column vector, and the first number in the
+## output is always 0.
+##
+## @seealso{negvolidx, posvolidx}
+## @end deftypefn
+
+function obv = onbalvol (c, vol)
+
+  if nargin == 1
+    % do nothing
+  elseif nargin == 2
+    c = [c(:) vol(:)];
+  else
+    print_usage ();
+  endif
+
+  obv = zeros (size (c, 1), 1);
+  for i = 2:size (c, 1)
+    if c(i,1) > c(i-1,1)
+      obv(i) = obv(i-1) + c(i,2);
+    elseif c(i,1) < c(i-1,1)
+      obv(i) = obv(i-1) - c(i,2);
+    else
+      obv(i) = obv(i-1);
+    endif
+  endfor
+
+endfunction
+
+## Tests
+%!shared c, v, obv
+%! c = [22.44 22.61 22.67 22.88 23.36 23.23 23.08 22.86 23.17 23.69 23.77 23.84 24.32 24.8 24.16 24.1 23.37 23.61 23.21];
+%! v = [10 12 23 25 34 12 32 15 15 34 54 12 86 45 32 76 89 13 28];
+%! obv = [0 12 35 60 94 82 50 35 50 84 138 150 236 281 249 173 84 97 69]';
+%!assert(onbalvol(c, v), obv)
+%!assert(onbalvol([c' v']), obv)