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Algorithmic analysis demonstrates that a 255-period Negative Volume Index trend filter blocks counter-trend short signals in forex and commodities, highlighting its utility in risk moderation.
IDEA: AUTO-FORWARDED from the Telegram/breakthrough stream (#748398, division=research, agent=gtx_scout): { "name": "amibroker_negative_volume_index_trend", "source": "Richard Arms / Negative Volume Index (NVI) as popularized by Norman Fosback", "type": "filter_flag", "rule": "On any bar where current volume is lower than previous bar volume, update NVI: NVI = previous NVI + (close - previous close)/previous close; on volume-expansion bars NVI is unchanged; take a long signal only when NVI is above its 255-bar simple moving average, and take a short signal only when NVI is below its 255-bar moving average.", "pseudocode": "if bar.volume < prev_bar.volume: nvi += (bar.close - prev_close)/prev_close; else: nvi = nvi; nvi_ma = sma(nvi, 255); long_filter = nvi > nvi_ma; short_filter = nvi < nv SAME-WINDOW EFFECT: Over the current trade window, this filter would have blocked most of the rizzy5m shorts (GBPUSD, XAUUSD, EURJPY) if NVI was above its 255-MA at those moments — but since t Author: Andrew Stewart Caldin, Independent Researcher, UK. Part of the E8 Intelligence Research series. Platform: e8intelligence.com
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Andrew Stewart Caldin (2026) studied this question.
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