Calculate the Negative Volume Index (NVI) for a given price series.

The Negative Volume Index is a cumulative index that only updates on days where volume decreases from the prior period, compounding that day’s percentage price change onto the running index; on days where volume increases (or stays flat), the index is carried forward unchanged. The premise, per Fosback, is that “smart money” tends to be active on low-volume (quiet) days, so tracking price behaviour specifically on those days isolates informed trading from the noise of high-volume, crowd-driven days.

The formula is as follows:

\[\operatorname{Index}(t) = \operatorname{Index}(t-1) \cdot (1 + (\operatorname{Close}(t) / \operatorname{Close}(t-1) - 1)) \text{if Volume} (t) < \operatorname{Volume}(t-1)\] \[\operatorname{Index}(t) = \operatorname{Index}(t-1) \text{otherwise}\]

Also known as: NVI, Negative Volume Index.

No programming experience? With the Finance Toolkit MCP server, AI assistants such as Claude and ChatGPT can calculate the Negative Volume Index (NVI) for you. Just ask in plain English.

Calculate the Negative Volume Index (NVI) in Python

The Negative Volume Index (NVI) is available in the Technicals module of the open-source Finance Toolkit. Install it with:

pip install financetoolkit -U

Then call get_negative_volume_index as shown below.

from financetoolkit import Toolkit

toolkit = Toolkit(tickers=["AAPL", "MSFT"])

toolkit.technicals.get_negative_volume_index()

Parameters

get_negative_volume_index accepts the following parameters:

  • period (str, optional): The time period to consider for historical data. Can be “daily”, “weekly”, “quarterly”, or “yearly”. Defaults to “daily”.
  • close_column (str, optional): The column name for closing prices in the historical data. Defaults to “Adj Close”.
  • start_value (float, optional): The index value to start the series at. Defaults to 1000.0.
  • rounding (int | None, optional): The number of decimals to round the results to. Defaults to 4.
  • growth (bool, optional): Whether to calculate the growth of the Negative Volume Index. Defaults to False.
  • lag (int | list[int], optional): The lag to use for the growth calculation.
  • standardize (bool, optional): Whether to standardize (Z-Score) the result. When combined with growth=True, standardizes the growth values instead of the raw values. Defaults to False. Defaults to 1.
McClellan Oscillator Advancers/Decliners Ratio On-Balance Volume (OBV) Accumulation/Distribution Line (ADL) Chaikin Oscillator TRIN (Arms Index) New Highs - New Lows Chaikin Money Flow (CMF) Ease of Movement (EMV) Positive Volume Index (PVI)

The Technicals module page introduces the module, and the sidebar lists all of its functions.

Share