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The Relative Volatility Index is similar to the Relative Strength Index except that RVI is based on the standard deviation of high and low as opposed to the RSI which is based on the current and previous day's closing prices. The RVI is usually combined with MACD to yield buy and sell signals. A buy signal is indicated when the MACD rises above its signal line and the RVI is greater than 50%. A sell signal is indicated when the MACD is falls below its signal line and the RVI is less than 50%.
The Relative Volatility Index is calculated by first computing rolling standard deviations for the daily highs and then calculating rolling standard deviations for the daily lows. Next, each of these lines is smoothed by an exponential moving average. The final indicator is then calculated as the smoothed standard deviation of high values divided by the sum of the smoothed standard deviations of high and low values:
EMA(STD(HIGH))/(EMA(STD(HIGH)) + EMA(STD(LOW)))
This indicator takes two parameters: the period used for the standard deviations and the period used for the smoothing emas.
