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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
86fe32a682
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
42 lines
1.4 KiB
Plaintext
42 lines
1.4 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Chaikin's Volatility (CVI)", "CVI", overlay=false)
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//@function Calculates Chaikin's Volatility using high-low range and ROC of EMA
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//@param roc_length Period for Rate of Change calculation
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//@param smooth_length Period for EMA smoothing
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//@returns float Volatility value measuring change in trading ranges
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//@optimized for performance using efficient range ROC calculation
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cvi(simple int roc_length, simple int smooth_length) =>
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if roc_length <= 0 or smooth_length <= 0
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runtime.error("Lengths must be greater than 0")
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var float prevEma = 0.0
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hlRange = high - low
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alpha = 2.0 / (smooth_length + 1)
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if bar_index == 0
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float sum = 0.0
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for i = 0 to smooth_length-1
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sum += nz(hlRange[i])
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prevEma := sum/smooth_length
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ema = nz(prevEma)
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ema := (hlRange - ema) * alpha + ema
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prevEma := ema
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float roc = na
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if bar_index >= roc_length
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roc := ((ema - ema[roc_length])/ema[roc_length]) * 100
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roc
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// ---------- Main loop ----------
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// Inputs
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i_roc = input.int(10, "ROC Length", minval=1, maxval=500, tooltip="Period for Rate of Change calculation")
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i_smooth = input.int(10, "Smoothing Length", minval=1, maxval=500, tooltip="Period for EMA smoothing of high-low range")
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// Calculation
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cviValue = cvi(i_roc, i_smooth)
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// Plot
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plot(cviValue, "CVI", color=color.yellow, linewidth=2)
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plot(0, "Zero", color.gray, 1, plot.style_circles)
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