RVI

2026-08-23 13:08:04 +00:00 · 2024-10-04 21:31:25 -07:00
parent 99a3785d72
commit 30d93e724d
10 changed files with 413 additions and 1 deletions
@@ -0,0 +1,87 @@
+/*
+Reference:
+    Donald Dorsey, who introduced the concept in the 1993 issue of Technical Analysis
+    of Stocks & Commodities Magazine. He designed the RVI to focus on the direction of
+    price movements in relation to volatility. Dorsey’s methodology is often cited in
+    technical analysis literature and further elaborated on in various technical analysis
+    guides and platforms.
+*/
+
+
+using System;
+
+namespace QuanTAlib
+{
+    public class Rvi : AbstractBase
+    {
+        private readonly int Period;
+        private Stddev _upStdDev, _downStdDev;
+        private Sma _upSma, _downSma;
+        private double _previousClose;
+
+        public Rvi(int period) : base()
+        {
+            if (period < 2)
+            {
+                throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
+            }
+            Period = period;
+            WarmupPeriod = period;
+            Name = $"RVI(period={period})";
+            _upStdDev = new Stddev(Period);
+            _downStdDev = new Stddev(Period);
+            _upSma = new(Period);
+            _downSma = new(Period);
+            Init();
+        }
+
+        public Rvi(object source, int period) : this(period)
+        {
+            var pubEvent = source.GetType().GetEvent("Pub");
+            pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
+        }
+
+        public override void Init()
+        {
+            base.Init();
+            _previousClose = 0;
+        }
+
+        protected override void ManageState(bool isNew)
+        {
+            if (isNew)
+            {
+                _lastValidValue = Value;
+                _index++;
+            }
+        }
+
+        protected override double Calculation()
+        {
+            ManageState(Input.IsNew);
+
+            double close = Input.Value;
+            double change = close - _previousClose;
+
+            double upMove = Math.Max(change, 0);
+            double downMove = Math.Max(-change, 0);
+
+            _upSma.Calc(_upStdDev.Calc(new TValue(Input.Time, upMove, Input.IsNew)));
+            _downSma.Calc(_downStdDev.Calc(new TValue(Input.Time, downMove, Input.IsNew)));
+
+            double rvi;
+            if (_upSma.Value + _downSma.Value != 0)
+            {
+                rvi = 100 * _upSma.Value / (_upSma.Value + _downSma.Value);
+            }
+            else
+            {
+                rvi = 0;
+            }
+
+            _previousClose = close;
+            IsHot = _index >= WarmupPeriod;
+            return rvi;
+        }
+    }
+}