RVI – Relative Volatility Index
I have programmed one of the scarce indicators still missing in this wonderful workstation.
RVI is a basic tool to trade on volatility, a very profitable strategy over recent years.
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REM RVI (Relative Volatility Index) is in fact a RSI REM calculated on the standard deviation over the closing prices of 10 days REM instead of being calculated over daily variations REM RTLudo's "BuilderRSI" inspired me this code: upward = (CLOSE > CLOSE[1]) * STD[10] downward = (CLOSE < CLOSE[1]) * STD[10] REM Calculating the average profits of upward days REM and the average losses on downward days upwardMA = wilderAverage[p](upward) downwardMA = wilderAverage[p](downward) REM RS is deducted RV = upwardMA / downwardMA REM And finally, the RSI myRVI = 100 - 100 / (1 + RV) RETURN myRVI AS"Relative Volatility Index" |
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