Relative Volatility Index (RVI)
factor.formula
Calculate Upward Momentum UM:
Calculate Downward Momentum DM:
Calculate the average upward momentum UA:
Calculate the Average Downward Momentum DA:
Calculate relative strength RS:
Calculate the relative volatility index RVI:
Calculation of the initial value of UA:
Calculation of the initial value of DA:
If the denominator UA+DA is 0, then let RVI = 0
In the formula:
- :
The current transaction price can be the closing price, highest price, or lowest price, etc., which can be selected according to the specific application scenario.
- :
The trading price of the previous time period is usually the closing price of the previous trading day.
- :
The standard deviation of prices over the past N1 time periods is used to measure the volatility of prices. The larger the standard deviation, the more volatile the price fluctuations.
- :
The smoothing period for calculating the average upward momentum (UA) and the average downward momentum (DA) determines the sensitivity of the RVI. A higher N2 value will make the RVI smoother, but will react more slowly to price changes; a lower N2 value will make the RVI more sensitive to price changes, but may generate more noise. The default value is 20.
- :
The window size for calculating the price standard deviation determines the volatility calculation period. The default value is 10.
- :
The upward momentum is the price standard deviation of the past N1 periods when the current price is higher than the previous period price, otherwise it is 0. It represents the volatility of price increases.
- :
Downward momentum, when the current price is lower than the previous period price, take the standard deviation of the price in the past N1 periods, otherwise it is 0. It represents the volatility of price decline.
- :
Average Upward Momentum, calculated using a smoothed moving average, measures the average volatility of price increases over a period of time.
- :
Average downside momentum, calculated using a smoothed moving average, measures the average volatility of price declines over a period of time.
- :
Relative strength, calculated by comparing UA and DA, reflects the proportion of upward momentum in the overall volatility.
- :
The relative volatility index is obtained by calculating the average of the highest and lowest RS prices, which comprehensively reflects the direction and intensity of price fluctuations.
- :
Simple moving average, used to calculate the initial values of UA and DA, averages the data of the past N2 periods.
factor.explanation
The RVI index calculates volatility by measuring the standard deviation of price increases and decreases, and further calculates the relative strength, and finally combines the relative strength of high and low prices to obtain the relative volatility index. The value of this indicator fluctuates between 0 and 100. When the RVI value is high, it usually means that the volatility of price increases is stronger. Conversely, a low RVI value indicates that the volatility of price decreases is stronger. The RVI indicator can help traders identify the direction of market fluctuations and is often used in conjunction with trend indicators such as moving averages to improve the accuracy of trading decisions. The RVI indicator is similar to the RSI indicator, but the RVI uses standard deviation instead of price changes to measure volatility.