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Relative Volatility Index (RVI)

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"))


For additional help with formulas, please see the Formula Primer.

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