RVI formula?

[kstefan]

Hi,
I've got a question regarding how NinjaTrader calculates the RVI. I would like to do some additional

research in excel. I assume the following:
1) RVI=StdDev(RSI)

2) RSI= 100 – 100 / ( 1 + RS )
RS = Relative Strength = AvgU / AvgD
AvgU = average of all up moves in the last N price bars
AvgD = average of all down moves in the last N price bars
N = the period of RSI

3) Averaging the Advances and Declines
When calculating the advances and declines. Do NinjaTrader uses the Simple Moving Average or the EMA?
Formulas for SMA:
AvgU = sum of all up moves (U) in the last N bars divided by N
AvgD = sum of all down moves (D) in the last N bars divided by N
N = RSI period

Are these formulas correct or differs NinjaTradres' RVI calculation from that?
Maybe you can state the RVI-formulas (RSI and StDev) which NinjaTrader uses?

Thank you very much and have a nice weekend
Stefan

[NinjaTrader_Bertrand]

Welcome to our forums here Stefan, the codes of RVI, RSI and StDev are all accessible through our NinjaScript editor for you, they are not protected from viewing in any way.

For the averages, an SMA weighting would be used.

[kstefan]

Welcome to our forums here Stefan, the codes of RVI, RSI and StDev are all accessible through our NinjaScript editor for you, they are not protected from viewing in any way.

For the averages, an SMA weighting would be used.

Hi Bertrand,
Thank you very much for your quick help.
Best wishes
Stefan

[kstefan]

RVI Indicator Calcuation

Hi,
I've got another question regarding how the RVI is calculated. We've developed an own indicator (SentiTrade6min; green line). When I'am want to determine the RVI of our indicator one can see, that the RVI of our indicator (yellow line) moves only when SentiTrade6minutes is moving.

Is there any "hidden" momentum calculation in the RVI? In the RVI formula I can't find one.

Thank you very much and best wishes
Stefan

[NinjaTrader_ChelseaB]

Hi kstefan,

Im not quite sure what you are asking when you refer to momentum.
Could you clarify this for me?

Also, if your indicator is plotting what is returned from the RVI indicator, it would be expected that these would be exactly the same.

[kstefan]

RVI Indicator Calcuation

Hi Chelsea,
Thanks for your help. I would like to reengineer the RVI calcalation in Excel (see screenshot). As you can see, in the yellow RVI-column there are some errors. From calculation logic that is OK. But NinjaTrader deals with this problem very satisfactorily by drawing a new RVI/sentitrade6minunutes-value only when the sentitrade6min-indicator moves (up or down). As a result, I need a kind of (momentum?)-filter, like NinjaTrader. I couldn't find any additional code in the RVI-indicator script.
Do you have an idea, how NinjaTrader solved that?

Thanks a lot
Stefan

Hi kstefan,

Im not quite sure what you are asking when you refer to momentum.
Could you clarify this for me?

Also, if your indicator is plotting what is returned from the RVI indicator, it would be expected that these would be exactly the same.

[NinjaTrader_ChelseaB]

Hi kstefan,

There is not any hidden code for the RVI indicator.

The rvi value that is set at the end of OnBarUpdate is calculated with the code you see in the script.

The only bits that are not directly in this script, are the StdDev (standard deviation) calls. These values (up / dn) come from the StdDev indicator.

You can print the values on each step to see what they are being calculated as so that you know you are using each step of math in the script.

[kstefan]

Hi Chelsea,
Thanks a lot. How can I print the values on each step? Could you please state the steps to get there?

Thank you very much and best wishes
Stefan

[NinjaTrader_ChelseaB]

Hello kstefan,

Start by making a copy of the RVI indicator so that you can modify the copy.
Right-click the NinjaScript Editor -> select Save As... -> give the copy a new unique name -> click OK

Then on each step add a new print call. For example:

if (High[0] > High[1])
up = StdDev(High, 10)[0];
Print(up);

if (High[0] < High[1])
dn = StdDev(High, 10)[0];
Print(dn);

double actUpAvgH = lastUpAvgH = (upAvgH * (Period - 1) + up) / Period;
Print(actUpAvgH);

The prints will go to the Output Window. (Tools -> Output Window...)

Below is a link to the help guide on Print().
http://www.ninjatrader.com/support/h.../nt7/print.htm

[kstefan]

Hi Chelsea,
Thanks again for your super-help!
Best wishes
Stefan