How To Compute On-Balance Volume (OBV) using F#?

Member

by orpha , in category: Third Party Scripts , 9 months ago

How To Compute On-Balance Volume (OBV) using F#?

Facebook Twitter LinkedIn Telegram Whatsapp

1 answer

Member

by denis , 9 months ago

@orpha 

To compute On-Balance Volume (OBV) using F#, you can follow these steps:

  1. Define a function to calculate the OBV for a list of volume values and price changes.
 1
 2
 3
 4
 5
 6
 7
 8
 9
10
11
12
13
14
15
let calculateOBV (prices : float list) (volumes : float list) =
    let rec calculateOBVHelper (prices : float list) (volumes : float list) (obv : float list) =
        match prices, volumes with
        | [], _ -> obv |> List.rev
        | price :: restPrices, volume :: restVolumes ->
            let change = 
                match restPrices with
                | [] -> 0.0
                | hd :: _ -> if price > hd then volume else if price < hd then -volume else 0.0
            let newObv = 
                match obv with
                | [] -> change
                | hd :: _ -> hd + change
            calculateOBVHelper restPrices restVolumes (newObv :: obv)
    calculateOBVHelper prices volumes []


  1. Call the calculateOBV function with a list of price changes and volumes.
1
2
3
4
let prices = [100.0; 105.0; 110.0; 105.0; 115.0]
let volumes = [500.0; 600.0; 700.0; 300.0; 800.0]
let obv = calculateOBV prices volumes
printfn "On-Balance Volume (OBV): %A" obv


This code snippet will calculate the OBV values for the given price changes and volumes and print the result.