mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
99 lines
3.4 KiB
Plaintext
99 lines
3.4 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Relative Vigor Index (RVGI)", "RVGI", overlay=false)
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//@function Calculates RVGI — momentum oscillator comparing close-open vs high-low
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//@param period SMA smoothing period for the SWMA-weighted numerator/denominator
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//@returns [rvgi, signal] RVGI value and its 4-bar SWMA signal line
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//@description RVGI measures the conviction of a price move by comparing closing
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// strength to the full range:
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// Step 1: SWMA(close-open, 4 bars) with weights [1/6, 2/6, 2/6, 1/6]
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// Step 2: SWMA(high-low, 4 bars) with same weights
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// Step 3: SMA(step1, period) / SMA(step2, period) → RVGI
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// Step 4: SWMA(RVGI, 4 bars) → Signal line
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// The SWMA (Symmetrically Weighted Moving Average) uses fixed 4-bar kernel:
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// swma(x) = (x[3] + 2*x[2] + 2*x[1] + x[0]) / 6
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// SMA sums use O(1) circular buffers with §3 count-based warmup.
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// Defensive division: denominator == 0 returns 0.
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// Crossovers of RVGI and Signal indicate momentum shifts.
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// In uptrends, closes tend near highs → positive RVGI; downtrends → negative.
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rvgi(simple int period) =>
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if period <= 0
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runtime.error("Period must be greater than 0")
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// --- SWMA of (close - open): weights [1,2,2,1]/6 over 4 bars ---
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float co0 = close - open
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float co1 = nz(close[1]) - nz(open[1])
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float co2 = nz(close[2]) - nz(open[2])
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float co3 = nz(close[3]) - nz(open[3])
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float swmaNum = (co3 + 2.0 * co2 + 2.0 * co1 + co0) / 6.0
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// --- SWMA of (high - low): weights [1,2,2,1]/6 over 4 bars ---
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float hl0 = high - low
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float hl1 = nz(high[1]) - nz(low[1])
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float hl2 = nz(high[2]) - nz(low[2])
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float hl3 = nz(high[3]) - nz(low[3])
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float swmaDen = (hl3 + 2.0 * hl2 + 2.0 * hl1 + hl0) / 6.0
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// --- SMA of swmaNum over period (circular buffer, §3 warmup) ---
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var array<float> numBuf = array.new_float(period, na)
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var int numHead = 0
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var float numSum = 0.0
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var int numCount = 0
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float oldNum = array.get(numBuf, numHead)
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if not na(oldNum)
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numSum -= oldNum
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else
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numCount += 1
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numSum += nz(swmaNum)
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array.set(numBuf, numHead, nz(swmaNum))
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numHead := (numHead + 1) % period
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float smaNum = numSum / math.max(1, numCount)
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// --- SMA of swmaDen over period (circular buffer, §3 warmup) ---
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var array<float> denBuf = array.new_float(period, na)
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var int denHead = 0
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var float denSum = 0.0
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var int denCount = 0
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float oldDen = array.get(denBuf, denHead)
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if not na(oldDen)
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denSum -= oldDen
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else
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denCount += 1
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denSum += nz(swmaDen)
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array.set(denBuf, denHead, nz(swmaDen))
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denHead := (denHead + 1) % period
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float smaDen = denSum / math.max(1, denCount)
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// --- RVGI = numSMA / denSMA ---
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float rvgiVal = smaDen == 0.0 ? 0.0 : smaNum / smaDen
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// --- Signal: SWMA of RVGI over 4 bars ---
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var float rv1 = 0.0
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var float rv2 = 0.0
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var float rv3 = 0.0
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float sig = (rv3 + 2.0 * rv2 + 2.0 * rv1 + rvgiVal) / 6.0
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rv3 := rv2
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rv2 := rv1
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rv1 := rvgiVal
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[rvgiVal, sig]
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(10, "Period", minval=1)
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// Calculation
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[rvgiLine, sigLine] = rvgi(i_period)
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// Plot
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plot(rvgiLine, "RVGI", color=color.yellow, linewidth=2)
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plot(sigLine, "Signal", color=color.aqua, linewidth=1)
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hline(0, "Zero", color=color.gray, linestyle=hline.style_dotted)
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