Negative Volume Index (NVI)

Summary

Negative Volume Index: a running cumulative index that changes only on days when volume falls versus the prior day, compounding that day's percentage price change. The premise is that quiet, low-volume days reflect the actions of well-informed "smart money", so NVI is read as a proxy for that cohort's positioning.

Formula

NVI[startIdx] = 1000

For each subsequent bar i:

NVI[i] = NVI[i-1] + ( inVolume[i] < inVolume[i-1]
                      ? ((inClose[i] - inClose[i-1]) / inClose[i-1]) * NVI[i-1]
                      : 0 )

The index carries forward unchanged on bars whose volume did not fall (and on the degenerate case of a zero previous close, which would otherwise divide by zero).

Notes

• The index compounds, so it has no upper bound. If a run of large rises ever pushes it past the largest representable number, the last representable value is carried forward instead of returning infinity. Real price series stay far away from that.

Inputs

• inClose — Close price of each bar
• inVolume — Volume of each bar

Outputs

• outReal — Cumulative negative volume index (seeded at 1000)

Properties

Numerical Stability: Path-Dependent

☐ Overlap Input
✅ Independent Y-Axis i
☐ Candlestick
☐ Can Output NaN or ±Inf
☐ Identity at Period 1

Implementation

TA-Lib Definition: nvi.c · nvi.yaml

Native	File
C	ta_NVI.c
Rust	nvi.rs
Java	Core_NVI.java

TA-Lib is also available for Python, R and more using a wrapper.

Aliases

Negative Volume Index

References

• Norman G. Fosback, Stock Market Logic, The Institute for Econometric Research (ISBN 0917604482)