Relative Volatility Index — RSI's arithmetic applied to volatility instead of
price: how much of the recent standard deviation arrived on up bars.
Two details are easy to get wrong. The length input is the standard
deviation's window only; the smoothing length is a hard-coded 14 in the reference
and stays 14 whatever length is set to. And the two smoothed series are not
clean: change(src) <= 0 ? 0 : stddev yields a real 0 on down bars but
na on up bars while the standard deviation is still warming up, so the EMA's
seed has to wait for a 14-bar window with no holes in it. That makes the first
printed bar length + 12 on a one-way market rather than a fixed index.
Relative Volatility Index — RSI's arithmetic applied to volatility instead of price: how much of the recent standard deviation arrived on up bars.
Two details are easy to get wrong. The
lengthinput is the standard deviation's window only; the smoothing length is a hard-coded 14 in the reference and stays 14 whateverlengthis set to. And the two smoothed series are not clean:change(src) <= 0 ? 0 : stddevyields a real0on down bars butnaon up bars while the standard deviation is still warming up, so the EMA's seed has to wait for a 14-bar window with no holes in it. That makes the first printed barlength + 12on a one-way market rather than a fixed index.