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Roy,
I'm pretty sure that Wilder used the ATR instead of the standard
deviation to calculate his volatility index, at least based on the
information from the Equis web site. I tried plugging in an ATR
instead of the Stdev into the formula and got better results but
still was not able to crack this nut.
I think the problem is in the RSI calculation and where it is
smoothed.
Preston
--- In equismetastock@xxxxxxxxxxxxxxx, "Roy Larsen" <rlarsen@xxxx>
wrote:
> Here's a set of formulas taken from the Equis web site that
supposedly sets
> out the construction of the RVI indicator.
>
> @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"));
>
>
>
> Now here's my version of the same code condensed into one
indicator, and
> with an option to apply it to whatever data array you prefer - just
change
> the target array. The problem is that my formula and the set above
both
> give the same value buy this is different from the canned version
in MS. I
> can't find the reason for the difference. Can anyone else help?
>
> {RVI Indicator}
> D:=Input("Periods",1,99,10);
> X:=P; {target array}
> A:=Stdev(X,10);
> Up:=Wilders(If(ROC(C,1,%)>0,A,0),D);
> Dn:=Wilders(If(ROC(C,1,%)<0,A,0),D);
> 100*Up/(Up+Dn);
>
> Roy
>
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