Volume Positive Negative (VPN)

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The idea and calculations for the Volume Positive Negative ( VPN ) indicator were created by Markos Katsanos. Markos wrote about the indicator in the article Detecting High-Volume Breakouts, published in Technical Analysis of Stocks & Commodities April, 2021 (Vol. 39, Issue 5).

The goal of the VPN indicator is to detect breakouts using only volume . The basic idea is to compare volume on up days versus volume on down days. The indicator can oscillate between the range of -100 and 100. Values between 0 and 20 are generally considered bullish , negative are bearish .

When the plotted VPN crosses over what Markos refers to as the critical value, that may indicate a high volume breakout. The critical value can be adjusted between 0 to 20, 10 is the default,

Volume Positive Negative Calculation ( VPN )

VPN = (VP - VN) / MAV / Period * 100

VP - sum of positive volume
VN - sum of negative volume
MAV - moving average of volume

Volume is considered positive when the average price is higher than the previous day's price by more than .1 of the ATR ( average true range ).

version 2.0

From Markos Katsanos - "Each trading day the volume is classified as positive if the average stock price is higher than yesterday’s average price by more than 1/10 ATR (average true range) and the opposite for negative volume. If the average price difference is between +/- 0.10 ATR the volume is ignored."

■ Allow configuration of the fractional amount of ATR.
Publish a new chart to show Volume Positive Negative (VPN) examples.
version 3.0

■ Additional configuration options for the VPN moving average, including length and type (SMA or EMA).

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