HPotter

Relative Volatility Index

The RVI is a modified form of the relative strength index ( RSI ).
The original RSI calculation separates one-day net changes into
positive closes and negative closes, then smoothes the data and
normalizes the ratio on a scale of zero to 100 as the basis for the
formula. The RVI uses the same basic formula but substitutes the
10-day standard deviation of the closing prices for either the up
close or the down close. The goal is to create an indicator that
measures the general direction of volatility . The volatility is
being measured by the 10-days standard deviation of the closing prices.
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//  Copyright by HPotter v1.0 27/05/2014
// The RVI is a modified form of the relative strength index (RSI). 
// The original RSI calculation separates one-day net changes into 
// positive closes and negative closes, then smoothes the data and 
// normalizes the ratio on a scale of zero to 100 as the basis for the 
// formula. The RVI uses the same basic formula but substitutes the 
// 10-day standard deviation of the closing prices for either the up 
// close or the down close. The goal is to create an indicator that 
// measures the general direction of volatility. The volatility is 
// being measured by the 10-days standard deviation of the closing prices. 
////////////////////////////////////////////////////////////
study(title="Relative Volatility Index", shorttitle="RVI")
Period = input(10, minval=1)
hline(0, color=purple, linestyle=dashed)
hline(20, color=red, linestyle=line)
hline(80, color=green, linestyle=line)
xPrice = close
StdDev = stdev(xPrice, Period)
d = iff(close > close[1], 0, StdDev)
u = iff(close > close[1], StdDev, 0)
nU = (13 * nz(nU[1],0) + u) / 14
nD = (13 * nz(nD[1],0) + d) / 14
nRes = 100 * nU / (nU + nD)
plot(nRes, color=red, title="RVI")
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