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MetaStock
Indicator - Relative
Volatility Index (RVI)
rev. 01/06/97
The following
formulas were taken from the article "The
relative volatility index," written by
Dorsey, Donald, in the June 93 issue of Technical
Analysis of STOCKS & COMMODITIES.
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"))
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