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Relative Volatility Index
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Relative Volatility Index

  #1 (permalink)
Elite Member
Sarasota, Fla
 
Futures Experience: Beginner
Platform: Ninja Trader ,Tos
Favorite Futures: NQ YM ES
 
Posts: 43 since Mar 2012
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Relative Volatility Index

Hello guys:
I don't seem to find a tread about RVI (relative volatility Index), I use it on TOS charts but the Ninja trader does not match/equal to TOS, both at 14 /period, both on the 5 min chart.
Thank you in advance for your opinion and suggestion.
Srq1

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  #2 (permalink)
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  #3 (permalink)
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They are in fact slightly different.

To understand the difference, I would need to to see the thinkscript formula for the RVI.

Could anyone please publish the formula here?

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  #4 (permalink)
1.Fibs 2.??? 3.Profit
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Fat Tails View Post
They are in fact slightly different.

To understand the difference, I would need to to see the thinkscript formula for the RVI.

Could anyone please publish the formula here?

Here is the thinkscript:

Relative Volatity Index
 
Code
#
# TD Ameritrade IP Company, Inc. (c) 2008-2015
#

declare lower;

input length = 14;

def highPrice = stDev(high, 10);
def lowPrice = stDev(low, 10);

def highAvgUp = ExpAverage(if high > high[1] then highPrice else 0, length);
def highAvgDown = ExpAverage(if high < high[1] then highPrice else 0, length);

def lowAvgUp = ExpAverage(if low > low[1] then lowPrice else 0, length);
def lowAvgDown = ExpAverage(if low < low[1] then lowPrice else 0, length);

def highRVI = 100 - 100 / (1 + highAvgUp / highAvgDown);
def lowRVI = 100 - 100 / (1 + lowAvgUp / lowAvgDown);

plot RVI = (highRVI + lowRVI) / 2;
plot OverBought = 70;
plot OverSold = 30;

RVI.setDefaultColor(GetColor(1));
OverBought.setDefaultColor(GetColor(5));
overSold.setDefaultColor(GetColor(5));

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  #5 (permalink)
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rmejia View Post
Here is the thinkscript:

Relative Volatity Index
 
Code
#
# TD Ameritrade IP Company, Inc. (c) 2008-2015
#

declare lower;

input length = 14;

def highPrice = stDev(high, 10);
def lowPrice = stDev(low, 10);

def highAvgUp = ExpAverage(if high > high[1] then highPrice else 0, length);
def highAvgDown = ExpAverage(if high < high[1] then highPrice else 0, length);

def lowAvgUp = ExpAverage(if low > low[1] then lowPrice else 0, length);
def lowAvgDown = ExpAverage(if low < low[1] then lowPrice else 0, length);

def highRVI = 100 - 100 / (1 + highAvgUp / highAvgDown);
def lowRVI = 100 - 100 / (1 + lowAvgUp / lowAvgDown);

plot RVI = (highRVI + lowRVI) / 2;
plot OverBought = 70;
plot OverSold = 30;

RVI.setDefaultColor(GetColor(1));
OverBought.setDefaultColor(GetColor(5));
overSold.setDefaultColor(GetColor(5));


That explains the difference.

The ThinkScript formula uses the standard smoothing constant for the exponential moving averages. However, the correct RVI formula uses Wilder's average for smoothing.

The difference between exponential and Wilder's moving average is the smoothing constant. Here is a way to calculate the RVI periods from the (higher) TOS-period:

RVI-period = (1 + TOS-period)/2

For example a TOS-period of 14 would result in a correct RVI-period of 7.5 (which does not exist). Therefore you need to settle for 7 or 8.

TOS-period = 2 * RVI-period - 1

For example the original default period of 14 for the RVI can be converted to a TOS-period of 27.

NinjaTrader follows the original concept. The Thinkscript solution is equivalent, if you change the parameter.


Last edited by Fat Tails; October 4th, 2015 at 08:36 AM.
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  #6 (permalink)
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Relative Volatility Index indicator

Fat Tails thank you for helping me with the RSI difference , like you said was on the different periods TOS and NT uses, now I can adjust NT to work like TOS.
Maybe you can point me on steps to add alerts or arrows when it hits 70 or 30 levels?
Appreciate your help
By the way, I have not been able to find much about RSI on futures.io , wonder why, not a reliable indicator to watch?
Thanks
srq1

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  #7 (permalink)
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There are thousands of different indicators, and not all of them can be discussed.

I have fed the RVI into a divergence detection indicator and it gives promising results.

Charts attached (last 3 hours from Friday for CL 11-15).


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