Directional Volatility Index
factor.formula
Decent Direction Zone (DMZ) =
Negative Movement Frequency (DMF) =
Directional Index (DIZ) =
Directional Indicator (DIF) =
Directional Vibrance Index (DVI) =
If the denominator is 0, let DVI =
In the formula:
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The highest price on day t
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The lowest price on day t
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The highest price on day t-1 (the previous day)
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The lowest price on day t-1 (the previous day)
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The positive volatility of the tth day. When the sum of today's highest and lowest prices is not greater than the sum of yesterday's highest and lowest prices, DMZ is 0; otherwise, it is the larger value of the absolute value of the difference between today's highest price and yesterday's highest price and the absolute value of the difference between today's lowest price and yesterday's lowest price.
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The negative volatility of the tth day. When the sum of today's highest and lowest prices is greater than the sum of yesterday's highest and lowest prices, DMF is 0; otherwise, it is the larger value of the absolute value of the difference between today's highest price and yesterday's highest price and the absolute value of the difference between today's lowest price and yesterday's lowest price.
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The sum of the DMZ from day t-N+1 to day t is the sum of the positive fluctuations in the past N days.
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The sum of DMF from day t-N+1 to day t is the sum of negative fluctuations in the past N days.
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The time window size, the lookback period used to calculate volatility, has a default value of 20. This parameter can be adjusted to suit different markets and time frames.
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The positive indicator on the tth day reflects the percentage of positive volatility in the past N days to the total volatility.
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The negative indicator on the tth day reflects the percentage of negative volatility in the past N days to the total volatility.
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The directional volatility index on day t is the difference between the positive and negative indicators and is used to measure the direction and strength of price fluctuations.
factor.explanation
The Directional Vibration Index (DVI) evaluates the directional strength of market price movements by comparing the upward and downward price fluctuations over a period of time. It defines positive and negative fluctuations based on the comparison of the highest and lowest prices of the day with the highest and lowest prices of the previous day, and obtains the positive indicator (DIZ) and the negative indicator (DIF) by calculating its cumulative value over the past period of time. When the DVI itself is positive, it means that the upward fluctuations over the past period of time are greater than the downward fluctuations, which may indicate potential buying opportunities, and vice versa, it may indicate potential selling opportunities. The larger the DVI value, the greater the strength of the upward or downward price fluctuations. DVI can usually be used in conjunction with moving averages or other technical indicators to improve the accuracy of trading decisions. In addition, since this indicator measures the direction of fluctuations, it has a certain reference value in judging market trends. It should be noted that this indicator is not completely independent and needs to be combined with the market trend and other indicators for comprehensive analysis.