mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-14 00:28:05 +00:00
Miha Kralj
24e86d762a
- Updated BBWN, BBWP, CCV, CV, CVI, EWMA, GKV, HLV, HV, Jvolty, JVOLTYN, MASSI, NATR, RSV, RV, RVI, TR, UI, VOV, VR, YZV indicators with documentation links. - Added documentation links for Aberration, Acceleration Bands, Andrews' Pitchfork, Adaptive Price Zone, ATR Bands, Bollinger Bands, Center of Gravity, Donchian Channels, Decay Min-Max Channel, Detrended Synthetic Price, EACP, EBSW, HOMOD, Jurik Volatility Bands, Keltner Channel, MA Envelope, Min-Max Channel, Price Channel, Regression Channels, Standard Deviation Channel, Stoller Average Range Channel, Super Trend Bands, Ultimate Bands, Ultimate Channel, VWAP Bands, and VWAP with Standard Deviation Bands.
76 lines
3.4 KiB
Plaintext
76 lines
3.4 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Relative Volatility Index (RVI)", shorttitle="RVI", overlay=false)
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//@function Calculates the Relative Volatility Index (RVI).
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//@param src The source series to calculate RVI from. Default is `close`.
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//@param stdevLength The lookback period for calculating the standard deviation of source prices. Default is 10.
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//@param rmaLength The lookback period for Wilder's smoothing (RMA) of the upward and downward standard deviations. Default is 14.
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//@returns float The Relative Volatility Index value.
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rvi(series float src = close, simple int stdevLength = 10, simple int rmaLength = 14) =>
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if stdevLength <= 1
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runtime.error("Standard Deviation Length must be greater than 1")
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if rmaLength <= 0
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runtime.error("RMA Length must be greater than 0")
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float currentStdDev = 0.0
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var array<float> buffer_stddev = array.new_float(stdevLength, na) // p_stddev simplified
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var int head_stddev = 0, var int count_stddev = 0
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var float sum_stddev = 0.0, var float sumSq_stddev = 0.0
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float oldest_stddev = array.get(buffer_stddev, head_stddev)
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if not na(oldest_stddev)
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sum_stddev -= oldest_stddev
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sumSq_stddev -= oldest_stddev * oldest_stddev
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count_stddev -= 1
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float val_stddev = nz(src)
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sum_stddev += val_stddev
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sumSq_stddev += val_stddev * val_stddev
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count_stddev += 1
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array.set(buffer_stddev, head_stddev, val_stddev)
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head_stddev := (head_stddev + 1) % stdevLength // p_stddev simplified
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if count_stddev > 1
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currentStdDev := math.sqrt(math.max(0.0, (sumSq_stddev / count_stddev) - math.pow(sum_stddev / count_stddev, 2)))
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else
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currentStdDev := 0.0
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float priceChange = src - src[1]
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float upStd_val = 0.0, float downStd_val = 0.0
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if priceChange > 0
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upStd_val := currentStdDev
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else if priceChange < 0
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downStd_val := currentStdDev
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var float raw_rma_up = 0.0, var float e_up = 1.0
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var float avgUpStd = 0.0 , var float EPSILON_rma = 1e-10
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if not na(upStd_val)
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float alpha_up = 1.0 / float(rmaLength)
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raw_rma_up := (raw_rma_up * (rmaLength - 1) + upStd_val) / rmaLength
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e_up := (1 - alpha_up) * e_up
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avgUpStd := e_up > EPSILON_rma ? raw_rma_up / (1.0 - e_up) : raw_rma_up
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if rmaLength == 0
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avgUpStd := upStd_val
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var float raw_rma_down = 0.0, var float e_down = 1.0
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var float avgDownStd = 0.0
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if not na(downStd_val)
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float alpha_down = 1.0 / float(rmaLength)
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raw_rma_down := (raw_rma_down * (rmaLength - 1) + downStd_val) / rmaLength
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e_down := (1 - alpha_down) * e_down
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avgDownStd := e_down > EPSILON_rma ? raw_rma_down / (1.0 - e_down) : raw_rma_down
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if rmaLength == 0
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avgDownStd := downStd_val
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float rviValue = 50.0
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float sumAvgStd = nz(avgUpStd) + nz(avgDownStd)
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if sumAvgStd != 0
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rviValue := 100 * nz(avgUpStd) / sumAvgStd
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rviValue
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// ---------- Main loop ----------
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// Inputs
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i_src_rvi = input.source(close, "Source")
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i_stdevLength_rvi = input.int(10, "StdDev Length", minval=2, tooltip="Lookback period for calculating the Standard Deviation of source prices.")
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i_rmaLength_rvi = input.int(14, "RMA Length (Wilder's Smoothing)", minval=1, tooltip="Lookback period for smoothing Upward and Downward Standard Deviations.")
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// Calculation
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rviValue = rvi(i_src_rvi, i_stdevLength_rvi, i_rmaLength_rvi)
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// Plot
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plot(rviValue, "RVI", color=color.yellow, linewidth=2)
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