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Miha Kralj
2026-03-13 13:47:10 -07:00
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lib/volatility/cvi/Cvi.md
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| **PineScript** | [cvi.pine](cvi.pine) |
- Chaikin's Volatility (CVI) measures the rate of change of the EMA-smoothed high-low trading range.
- Parameterized by `roclength` (default 10), `smoothlength` (default 10).
- Output range: $\geq 0$.
- Requires 1 bar of warmup before first valid output (IsHot = true).
- **Similar:** [ATR](../atr/atr.md) | **Complementary:** BandWidth | **Trading note:** Chaikin Volatility; ROC of high-low EMA range.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
Chaikin's Volatility (CVI) measures the rate of change of the EMA-smoothed high-low trading range. Unlike traditional volatility measures that focus on returns, CVI directly tracks the expansion and contraction of price ranges over time. A positive CVI indicates expanding volatility (wider trading ranges), while a negative CVI signals contracting volatility (narrower ranges). This makes CVI particularly useful for identifying breakout conditions and market transitions.
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- Chaikin, M. (1966). "Stock Market Trading Systems." Various publications and interviews.
- Achelis, S. B. (2000). "Technical Analysis from A to Z." McGraw-Hill. Chapter on Chaikin Volatility.
- Murphy, J. J. (1999). "Technical Analysis of the Financial Markets." New York Institute of Finance.
- Murphy, J. J. (1999). "Technical Analysis of the Financial Markets." New York Institute of Finance.