add price volume trend indicator

indicator_price_volume_trend.go

@@ -0,0 +1,52 @@
+package techan
+
+import "github.com/sdcoffey/big"
+
+type pvtIndicator struct {
+	closePriceChangeIndicator Indicator
+	volumeIndicator           Indicator
+	window                    int
+	resultCache               resultCache
+}
+
+// NewPriceVolumeTrendIndicator is a derivative indicator that returns the Price Volume Trend (also known as
+// Volume Price Trend or VPT) for a given window. A more in-depth explanation can be found here:
+// https://www.investopedia.com/terms/v/vptindicator.asp
+func NewPriceVolumeTrendIndicator(closePriceIndicator, volumeIndicator Indicator, window int) Indicator {
+	return &pvtIndicator{
+		closePriceChangeIndicator: NewPercentChangeIndicator(closePriceIndicator),
+		volumeIndicator:           volumeIndicator,
+		window:                    window,
+		resultCache:               make([]*big.Decimal, 1000),
+	}
+}
+
+func (pvt *pvtIndicator) Calculate(index int) big.Decimal {
+	if cachedValue := returnIfCached(pvt, index, func(i int) big.Decimal {
+		return big.ZERO
+	}); cachedValue != nil {
+		return *cachedValue
+	}
+
+	priceVolumeChange := pvt.volumeIndicator.Calculate(index).Mul(pvt.closePriceChangeIndicator.Calculate(index))
+	previousPVT := pvt.Calculate(index - 1)
+	result := priceVolumeChange.Add(previousPVT)
+
+	cacheResult(pvt, index, result)
+
+	return result
+}
+
+func (pvt *pvtIndicator) cache() resultCache { return pvt.resultCache }
+
+func (pvt *pvtIndicator) setCache(newCache resultCache) {
+	pvt.resultCache = newCache
+}
+
+func (pvt *pvtIndicator) windowSize() int { return pvt.window }
+
+// NewPVTAndSignalIndicator returns the difference between the Price Volume Trend and a signal line.
+// A signal line can be and EMA or SMA of the Price Volume Trend
+func NewPVTAndSignalIndicator(pvtIndicator, signalIndicator Indicator) Indicator {
+	return NewDifferenceIndicator(pvtIndicator, signalIndicator)
+}

indicator_price_volume_trend_test.go

@@ -0,0 +1,25 @@
+package techan
+
+import "testing"
+
+func TestPrceVolumeTrendIndicator(t *testing.T) {
+	indicator := NewPriceVolumeTrendIndicator(NewClosePriceIndicator(mockedTimeSeries),
+		NewVolumeIndicator(mockedTimeSeries), 3)
+
+	expectedValues := []float64{
+		0,
+		0,
+		0,
+		0,
+		-0.1795,
+		-0.5375,
+		0.1908,
+		0.1308,
+		-0.7565,
+		-0.3337,
+		-2.308,
+		-2.1275,
+	}
+
+	indicatorEquals(t, expectedValues, indicator)
+}