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Miha
2024-10-27 09:38:53 -07:00
parent c21b96152c
commit b2fcdda785
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lib/volatility/Rvi.cs
+49 -44
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@@ -1,36 +1,61 @@
using System;
namespace QuanTAlib;
/// <summary>
/// Represents a Relative Volatility Index (RVI) calculator, which measures the direction
/// of volatility in relation to price movements.
/// RVI: Relative Volatility Index
/// A technical indicator developed by Donald Dorsey that measures the direction
/// of volatility by comparing upward and downward price movements. RVI helps
/// identify whether volatility is increasing more in up or down moves.
/// </summary>
/// <remarks>
/// The RVI was introduced by Donald Dorsey in the 1993 issue of Technical Analysis
/// of Stocks &amp; Commodities Magazine. It focuses on the direction of price movements
/// in relation to volatility. The indicator uses standard deviation calculations
/// to determine whether volatility is increasing more in up moves or down moves.
/// The RVI calculation process:
/// 1. Separates price changes into up/down moves
/// 2. Calculates standard deviation for each
/// 3. Applies moving average smoothing
/// 4. Computes relative strength ratio
/// 5. Scales to percentage (0-100)
///
/// This implementation uses a combination of Standard Deviation and Simple Moving Average
/// calculations to compute the RVI.
/// Key characteristics:
/// - Oscillator (0-100 range)
/// - Directional volatility measure
/// - Combines volatility and momentum
/// - Uses standard deviation
/// - Smoothed output
///
/// Formula:
/// RVI = 100 * SMA(StdDev(upMoves)) / (SMA(StdDev(upMoves)) + SMA(StdDev(downMoves)))
/// where:
/// upMove = max(close - prevClose, 0)
/// downMove = max(prevClose - close, 0)
///
/// Market Applications:
/// - Trend confirmation
/// - Divergence analysis
/// - Volatility breakouts
/// - Market reversals
/// - Overbought/oversold levels
///
/// Sources:
/// Donald Dorsey - "Technical Analysis of Stocks & Commodities" (1993)
/// https://www.investopedia.com/terms/r/relative_volatility_index.asp
///
/// Note: Similar concept to RSI but using volatility
/// </remarks>
public class Rvi : AbstractBase
{
private readonly Stddev _upStdDev, _downStdDev;
private readonly Sma _upSma, _downSma;
private double _previousClose;
/// <summary>
/// Initializes a new instance of the Rvi class with the specified period.
/// </summary>
/// <param name="period">The period over which to calculate the RVI.</param>
/// <exception cref="ArgumentOutOfRangeException">
/// Thrown when period is less than 2.
/// </exception>
/// <param name="period">The number of periods for RVI calculation.</param>
/// <exception cref="ArgumentOutOfRangeException">Thrown when period is less than 2.</exception>
public Rvi(int period)
{
if (period < 2)
{
throw new ArgumentOutOfRangeException(nameof(period), "Period must be greater than or equal to 2.");
throw new ArgumentOutOfRangeException(nameof(period),
"Period must be greater than or equal to 2.");
}
int Period = period;
WarmupPeriod = period;
@@ -42,30 +67,20 @@ public class Rvi : AbstractBase
Init();
}
/// <summary>
/// Initializes a new instance of the Rvi class with the specified source and period.
/// </summary>
/// <param name="source">The source object to subscribe to for value updates.</param>
/// <param name="period">The period over which to calculate the RVI.</param>
/// <param name="source">The data source object that publishes updates.</param>
/// <param name="period">The number of periods for RVI calculation.</param>
public Rvi(object source, int period) : this(period)
{
var pubEvent = source.GetType().GetEvent("Pub");
pubEvent?.AddEventHandler(source, new ValueSignal(Sub));
}
/// <summary>
/// Initializes the Rvi instance by setting up the initial state.
/// </summary>
public override void Init()
{
base.Init();
_previousClose = 0;
}
/// <summary>
/// Manages the state of the Rvi instance based on whether a new value is being processed.
/// </summary>
/// <param name="isNew">Indicates whether the current input is a new value.</param>
protected override void ManageState(bool isNew)
{
if (isNew)
@@ -75,21 +90,6 @@ public class Rvi : AbstractBase
}
}
/// <summary>
/// Performs the RVI calculation for the current input.
/// </summary>
/// <returns>
/// The calculated RVI value for the current input.
/// </returns>
/// <remarks>
/// This method calculates the RVI using the following steps:
/// 1. Calculate the change in price from the previous close.
/// 2. Determine the up move and down move based on the change.
/// 3. Calculate standard deviations of up and down moves.
/// 4. Apply a simple moving average to the standard deviations.
/// 5. Compute the RVI as a percentage of up volatility to total volatility.
/// The method returns 0 if the sum of up and down volatility is zero.
/// </remarks>
protected override double Calculation()
{
ManageState(Input.IsNew);
@@ -97,14 +97,19 @@ public class Rvi : AbstractBase
double close = Input.Value;
double change = close - _previousClose;
// Separate into up and down moves
double upMove = Math.Max(change, 0);
double downMove = Math.Max(-change, 0);
// Calculate standard deviations and apply smoothing
_upSma.Calc(_upStdDev.Calc(new TValue(Input.Time, upMove, Input.IsNew)));
_downSma.Calc(_downStdDev.Calc(new TValue(Input.Time, downMove, Input.IsNew)));
// Calculate RVI ratio
double rvi;
rvi = (_upSma.Value + _downSma.Value != 0) ? 100 * _upSma.Value / (_upSma.Value + _downSma.Value) : 0;
rvi = (_upSma.Value + _downSma.Value != 0)
? 100 * _upSma.Value / (_upSma.Value + _downSma.Value)
: 0;
_previousClose = close;
IsHot = _index >= WarmupPeriod;