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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