Relative Vigor Index

Main Point of Relative Vigor Index

The Relative Vigor Index (RVI) is used to determine the energy or vigor of a market move by comparing the closing price to the opening price. In a bull market, the closing price is typically higher than the opening price, while in a bear market it is the opposite. The RVI normalizes the index by dividing the price change by the daily trading range and uses a Simple Moving Average for a smoother calculation. A period of 10 is commonly used for the best results.

Signal Line Construction

To avoid ambiguity, a signal line is constructed using a 4-period symmetrically weighted moving average of Relative Vigor Index values. The signal line helps identify buying or selling signals based on the convergence of lines.

RVI (solid) and its signal line (dashed); crossings of the two lines give the signals.

Calculation of Relative Vigor Index

VALUE1 = (CLOSE - OPEN) + 2 * (CLOSE(1) - OPEN(1)) + 2 * (CLOSE(2) - OPEN(2)) + (CLOSE(3) - OPEN(3))
VALUE2 = (HIGH - LOW) + 2 * (HIGH(1) - LOW(1)) + 2 * (HIGH(2) - LOW(2)) + (HIGH(3) - LOW(3))
RVI = SUM(VALUE1, N) / SUM(VALUE2, N)
SIGNAL = (RVI + 2 * RVI(1) + 2 * RVI(2) + RVI(3)) / 6

Where:

CLOSE(1), OPEN(1), HIGH(1) and LOW(1) are the prices of the bar 1 bar back, and so on for 2 and 3;
N is the indicator period (10 by default);
SIGNAL is the signal line, a symmetrically weighted moving average of the RVI.