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Miha Kralj
2026-03-13 13:47:10 -07:00
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lib/volatility/rvi/Rvi.md
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- The Relative Volatility Index (RVI) implements Dorsey's **revised (1995)** version: computes original RVI separately on High and Low series, then averages.
- When fed single-price data (TValue), both channels receive the same value, reducing to the original (1993) formula.
- Parameterized by `stdevLength` (default 10), `rmaLength` (default 14).
- Output range: $0$ to $100$.
- Requires `stdevLength` bars of warmup before first valid output (IsHot = true).
- **Similar:** [HV](../hv/hv.md), [ATR](../atr/atr.md) | **Complementary:** Bollinger Bands | **Trading note:** Relative Volatility Index; direction of volatility.
- Validated against FM Labs revised RVI specification.
The Relative Volatility Index (RVI) is a directional volatility oscillator that distinguishes between upward and downward price volatility. Originally developed by Donald Dorsey in 1993 using close prices only, RVI was **revised in 1995** to compute separate RVI values on the High and Low price series and average them. This implementation follows the revised version: when fed OHLCV bars (TBar), it runs independent RVI channels on High and Low; when fed single prices (TValue), both channels receive the same value, reducing to the original formula.
@@ -285,4 +283,4 @@ Price making lower lows + RVI making higher lows: Bullish divergence
- Dorsey, D. (1993). "The Relative Volatility Index." *Technical Analysis of Stocks & Commodities*, 11(6), 253-256.
- Dorsey, D. (1995). "Refining the Relative Volatility Index." *Technical Analysis of Stocks & Commodities*, 13(9).
- FM Labs. "Relative Volatility Index." https://www.fmlabs.com/reference/RVI.htm (Original vs Revised versions).
- TradingView. (2024). "PineScript Reference Implementation." rvi.pine source file.
- TradingView. (2024). "PineScript Reference Implementation." rvi.pine source file.