OPEN-SOURCE SCRIPT
Relative Volatility Index
The RVI is a modified form of the relative strength index (RSI).
The original RSI calculation separates one-day net changes into
positive closes and negative closes, then smoothes the data and
normalizes the ratio on a scale of zero to 100 as the basis for the
formula. The RVI uses the same basic formula but substitutes the
10-day standard deviation of the closing prices for either the up
close or the down close. The goal is to create an indicator that
measures the general direction of volatility. The volatility is
being measured by the 10-days standard deviation of the closing prices.
The original RSI calculation separates one-day net changes into
positive closes and negative closes, then smoothes the data and
normalizes the ratio on a scale of zero to 100 as the basis for the
formula. The RVI uses the same basic formula but substitutes the
10-day standard deviation of the closing prices for either the up
close or the down close. The goal is to create an indicator that
measures the general direction of volatility. The volatility is
being measured by the 10-days standard deviation of the closing prices.
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