[amibroker] RVI indicator by Donald Dorsey

["bakermrms" <plusnq@xxxxxxxxx>]

Hi 

I wondered whether anybody had managed to code the RVI indicator 
(relative volatility index) by Donald Dorsey for Ami and would be 
willing to share?

Taken from Stocks & Commodities, V. 11:6 (253-256): The Relative 
Volatility Index by Donald Dorsey

"The RVI is simply the relative strength index (RSI) with the 
standard deviation over the past 10 days used in place of daily price 
change. Because most indicators use price change for their 
calculations, we need a confirming indicator that uses a different 
measurement to interpret market strength. The RVI measures the 
direction of volatility on a scale of zero to 100. Readings above 50 
indicate that the volatility as measured by the 10-day standard 
deviation of the closing prices is more to the upside. Readings below 
50 indicate that the direction of volatility is to the downside. The 
initial testing indicates that the RVI can be used wherever you might 
use the RSI and in the same way, but the specific purpose of this 
study is to measure the RVI's performance as a confirming indicator."

The RVI was designed to measure the direction of volatility. It 
calculates price strength by measuring volatility rather than price 
change.

All of the following formulas are required:

@RVI Down
((PREV*13)+If(ROC(C,1,%)<0,Stdev(C,10),0))/14

@RVI Up
((PREV*13)+If(ROC(C,1,%)>0,Stdev(C,10),0))/14

@RVI 
(100*Fml("@RVI Up"))/(Fml("@RVI Up")+Fml("@RVI Down"))

Many thanks for any help offered.

Cheers

Shane





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