mirror of
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>
77 lines
3.5 KiB
Plaintext
77 lines
3.5 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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//@doc The logic of custom stddev and rma is now inlined within this function.
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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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