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Ehlers RVI oscillator
Source: https://fxcodebase.com/code/viewtopic.php?f=17&t=1735
Forum: 17 · Topic 1735 · 17 post(s)
Ehlers RVI oscillator
Apprentice · Tue Aug 10, 2010 9:14 am
Value1 = ((Close - Open) + 2(Close[1] - Open[1]) + 2(Close[2] - Open[2]) + (Close[3] - Open[3]))/6; Value2 = ((High - Low) + 2(High[1] - Low[1]) + 2(High[2] - Low[2]) + (High[3] - Low[3]))/6;
Num = Sum(Value1, Frame); Denom = Sum(Value2, Frame);
RVI = Num / Denom; RVISig = (RVI + 2RVI[1] + 2RVI[2] + RVI[3])/6;
The indicator was revised and updated
Re: Ehlers RVI oscillator
jefftrader · Tue Aug 10, 2010 2:01 pm
i have downloaded it and installed and it works perfectly.
thanks so much for your support and timeliness.
i appreciate it more than i can say………..
Re: Ehlers RVI oscillator
pipsqueak · Sun Nov 25, 2012 8:41 pm
Is this perhaps. the “Relative Vigor Index”?
Re: Ehlers RVI oscillator
Apprentice · Mon Nov 26, 2012 4:36 am
That they are one and the same.
{****************************************************
Relative Vigor Index (RVI)
Copyright (c) 2001 MESA Software
*****************************************************}
Inputs: Length(10);
Vars: Num(0),
Denom(0),
count(0),
RVI(0),
RVISig(0);
Value1 = ((Close - Open) + 2*(Close[1] - Open[1]) + 2*(Close[2] - Open[2]) + (Close[3] - Open[3]))/6;
Value2 = ((High - Low) + 2*(High[1] - Low[1]) + 2*(High[2] - Low[2]) + (High[3] - Low[3]))/6;
Num = 0;
Denom = 0;
For count = 0 to Length -1 begin
Num = Num + Value1[count];
Denom = Denom + Value2[count];
End;
If Denom <> 0 then RVI = Num / Denom;
RVISig = (RVI + 2*RVI[1] + 2*RVI[2] + RVI[3])/6;
Plot1(RVI, "RVI");
Plot2(RVISig, "Sig");
Although I have found a different formula. Will implement both, for comparison.
RVI = (CLOSE - OPEN) / (HIGH - LOW) The Relative Vigor Index (RVI) oscillator is smoothed by the 10-period simple moving average. A signal line is also formed as a 4-period moving average on the oscillator values.
Re: Ehlers RVI oscillator
Apprentice · Mon Nov 26, 2012 5:02 am
RVI = (CLOSE - OPEN) / (HIGH - LOW) The Relative Vigor Index (RVI) oscillator is smoothed by the 10-period simple moving average. ć A signal line is also formed as a 4-period moving average on the oscillator values.
Re: Ehlers RVI oscillator
Coondawg71 · Wed May 15, 2013 11:34 pm
Adaptive Relative Vigor Index.
Can we please request this indicator converted to Lua. Full code posted on this link, last indicator listed on the page.
Thanks,
sjc
http://www.mql5.com/en/articles/288
Re: Ehlers RVI oscillator
Apprentice · Fri May 17, 2013 4:58 am
Your request is added to the development list.
Re: Ehlers RVI oscillator
Patrick Sweet · Sat Nov 16, 2013 4:44 pm
can this code be used?
//+------------------------------------------------------------------+
//| Adaptive RVI.mq5 |
//| Based on RVI by MetaQuotes Software Corp. |
//| Copyright 2009, MetaQuotes Software Corp. |
//| http://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "2009, MetaQuotes Software Corp."
#property copyright "2011, Adaptive version Investeo.pl"
#property link "http://www.mql5.com"
#property description "Adaptive Relative Vigor Index"
//--- indicator settings
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_plots 2
#property indicator_type1 DRAW_LINE
#property indicator_type2 DRAW_LINE
#property indicator_color1 Green
#property indicator_color2 Red
#property indicator_label1 "AdaptiveRVI"
#property indicator_label2 "Signal"
#define Price(i) ((high[i]+low[i])/2.0)
//--- input parameters
input int InpRVIPeriod=10; // Initial RVI Period
//--- indicator buffers
double ExtRVIBuffer[];
double ExtSignalBuffer[];
//---
int hCyclePeriod;
input double InpAlpha=0.07; // alpha for Cycle Period
int AdaptiveRVIPeriod;
#define TRIANGLE_PERIOD 3
#define AVERAGE_PERIOD (TRIANGLE_PERIOD*2)
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int OnInit()
{
//--- indicator buffers mapping
SetIndexBuffer(0,ExtRVIBuffer,INDICATOR_DATA);
SetIndexBuffer(1,ExtSignalBuffer,INDICATOR_DATA);
IndicatorSetInteger(INDICATOR_DIGITS,3);
hCyclePeriod=iCustom(NULL,0,"CyclePeriod",InpAlpha);
if(hCyclePeriod==INVALID_HANDLE)
{
Print("CyclePeriod indicator not available!");
return(-1);
}
//--- sets first bar from what index will be drawn
PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,(InpRVIPeriod-1)+TRIANGLE_PERIOD);
PlotIndexSetInteger(1,PLOT_DRAW_BEGIN,(InpRVIPeriod-1)+AVERAGE_PERIOD);
//--- name for DataWindow and indicator subwindow label
IndicatorSetString(INDICATOR_SHORTNAME,"AdaptiveRVI");
PlotIndexSetString(0,PLOT_LABEL,"AdaptiveRVI");
PlotIndexSetString(1,PLOT_LABEL,"Signal");
//--- initialization done
return 0;
}
//+------------------------------------------------------------------+
//| Relative Vigor Index |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,const int prev_calculated,
const datetime &Time[],
const double &Open[],
const double &High[],
const double &Low[],
const double &Close[],
const long &TickVolume[],
const long &Volume[],
const int &Spread[])
{
int i,j,nLimit;
double dValueUp,dValueDown,dNum,dDeNum;
double CyclePeriod[4];
int copied;
copied=CopyBuffer(hCyclePeriod,0,0,4,CyclePeriod);
if(copied<=0)
{
Print("FAILURE: Could not get values from CyclePeriod indicator.");
return -1;
}
AdaptiveRVIPeriod = int(floor((4*CyclePeriod[0]+3*CyclePeriod[1]+2*CyclePeriod[2]+CyclePeriod[3])/20.0));
//--- check for bars count
if(rates_total<=AdaptiveRVIPeriod+AVERAGE_PERIOD+2) return(0); // exit with zero result
//--- check for possible errors
if(prev_calculated<0) return(0); // exit with zero result
//--- last counted bar will be recounted
nLimit=AdaptiveRVIPeriod+2;
if(prev_calculated>AdaptiveRVIPeriod+TRIANGLE_PERIOD+2)
nLimit=prev_calculated-1;
//--- set empty value for uncalculated bars
if(prev_calculated==0)
{
for(i=0;i<AdaptiveRVIPeriod+TRIANGLE_PERIOD;i++) ExtRVIBuffer[i]=0.0;
for(i=0;i<AdaptiveRVIPeriod+AVERAGE_PERIOD;i++) ExtSignalBuffer[i]=0.0;
}
//--- RVI counted in the 1-st buffer
for(i=nLimit;i<rates_total && !IsStopped();i++)
{
copied=CopyBuffer(hCyclePeriod,0,rates_total-i-1,4,CyclePeriod);
if(copied<=0)
{
Print("FAILURE: Could not get values from CyclePeriod indicator.");
return -1;
}
AdaptiveRVIPeriod = int(floor((4*CyclePeriod[0]+3*CyclePeriod[1]+2*CyclePeriod[2]+CyclePeriod[3])/20.0));
dNum=0.0;
dDeNum=0.0;
for(j=i;j>MathMax(i-AdaptiveRVIPeriod, 3);j--)
{
//Print("rates_total="+IntegerToString(rates_total)+" nLimit="+IntegerToString(nLimit)+
// " AdaptiveRVIPeriod="+IntegerToString(AdaptiveRVIPeriod)+" j="+IntegerToString(j));
dValueUp=Close[j]-Open[j]+2*(Close[j-1]-Open[j-1])+2*(Close[j-2]-Open[j-2])+Close[j-3]-Open[j-3];
dValueDown=High[j]-Low[j]+2*(High[j-1]-Low[j-1])+2*(High[j-2]-Low[j-2])+High[j-3]-Low[j-3];
dNum+=dValueUp;
dDeNum+=dValueDown;
}
if(dDeNum!=0.0)
ExtRVIBuffer[i]=dNum/dDeNum;
else
ExtRVIBuffer[i]=dNum;
}
//--- signal line counted in the 2-nd buffer
nLimit=AdaptiveRVIPeriod+TRIANGLE_PERIOD+2;
if(prev_calculated>AdaptiveRVIPeriod+AVERAGE_PERIOD+2)
nLimit=prev_calculated-1;
for(i=nLimit;i<rates_total && !IsStopped();i++)
ExtSignalBuffer[i]=(ExtRVIBuffer[i]+2*ExtRVIBuffer[i-1]+2*ExtRVIBuffer[i-2]+ExtRVIBuffer[i-3])/AVERAGE_PERIOD;
//--- OnCalculate done. Return new prev_calculated.
return(rates_total);
}
//+------------------------------------------------------------------+
Re: Ehlers RVI oscillator
Apprentice · Sun Nov 17, 2013 3:19 am
Can you privide required CyclePeriod Indicator?
Re: Ehlers RVI oscillator
Patrick Sweet · Mon Nov 18, 2013 8:39 am
I think this is it…
We extracted the Dominant Cycle measurement from CyclePeriod indicator and apply it to RVI period. The “Length” variable is computed as a four bar weighted moving average of the period……
copied=CopyBuffer(hCyclePeriod,0,0,4,CyclePeriod);
if(copied<=0) { Print(“FAILURE: Could not get values from CyclePeriod indicator.”); return -1; } AdaptiveRVIPeriod = int(floor((4CyclePeriod[0]+3CyclePeriod[1]+2*CyclePeriod[2]+CyclePeriod[3])/20.0));
Re: Ehlers RVI oscillator
Patrick Sweet · Mon Nov 18, 2013 8:48 am
If the above is not complete….. and we need the adaptive CyberCycle then here it comes….. with a note on Ehlers alpha…..
Expotential moving alpha is related to the length of a simple moving average by the equation alpha, in the Adaptive Cyber Cycle indicator Mr. Ehlers used the Dominant Cycle period as the length in computation of alpha1 coefficient.
#property description "Adaptive CyberCycle indicator - described by John F. Ehlers"
#property description "in \"Cybernetic Analysis for Stocks and Futures\""
#property description "This indicator is available for free download."
#property indicator_buffers 2
#property indicator_plots 2
#property indicator_width1 1
#property indicator_width2 1
#property indicator_type1 DRAW_LINE
#property indicator_type2 DRAW_LINE
#property indicator_color1 Green
#property indicator_color2 Red
#property indicator_label1 "Cycle"
#property indicator_label2 "Trigger Line"
#define Price(i) ((high[i]+low[i])/2.0)
double Smooth[];
double Cycle[];
double Trigger[];
int hCyclePeriod;
input double InpAlpha=0.07; // alpha for Cycle Period
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int OnInit()
{
//--- indicator buffers mapping
ArraySetAsSeries(Cycle,true);
ArraySetAsSeries(Trigger,true);
ArraySetAsSeries(Smooth,true);
SetIndexBuffer(0,Cycle,INDICATOR_DATA);
SetIndexBuffer(1,Trigger,INDICATOR_DATA);
PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,0.0);
PlotIndexSetDouble(1,PLOT_EMPTY_VALUE,0.0);
hCyclePeriod=iCustom(NULL,0,"CyclePeriod",InpAlpha);
if(hCyclePeriod==INVALID_HANDLE)
{
Print("CyclePeriod indicator not available!");
return(-1);
}
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
const int prev_calculated,
const datetime &time[],
const double &open[],
const double &high[],
const double &low[],
const double &close[],
const long &tick_volume[],
const long &volume[],
const int &spread[])
{
//---
long tickCnt[1];
int i;
int ticks=CopyTickVolume(Symbol(), 0, 0, 1, tickCnt);
if(ticks!=1) return(rates_total);
double CyclePeriod[1],alpha1;
Comment(tickCnt[0]);
if(prev_calculated==0 || tickCnt[0]==1)
{
//--- last counted bar will be recounted
int nLimit=rates_total-prev_calculated-1; // start index for calculations
ArraySetAsSeries(high,true);
ArraySetAsSeries(low,true);
ArrayResize(Smooth,Bars(_Symbol,_Period));
ArrayResize(Cycle,Bars(_Symbol,_Period));
if(nLimit>rates_total-4) // adjust for last bars
nLimit=rates_total-4;
for(i=nLimit;i>=0 && !IsStopped();i--)
{
Smooth[i]=(Price(i)+2*Price(i+1)+2*Price(i+2)+Price(i+3))/6.0;
int copied=CopyBuffer(hCyclePeriod,0,i,1,CyclePeriod);
if(copied<=0)
{
Print("FAILURE: Could not get values from CyclePeriod indicator.");
return -1;
}
alpha1 = 2.0/(CyclePeriod[0]+1.0);
//Print(alpha1);
//Print(CyclePeriod[0]);
if(i>=0)
{
Cycle[i]=(1.0-0.5*alpha1) *(1.0-0.5*alpha1) *(Smooth[i]-2.0*Smooth[i+1]+Smooth[i+2])
+2.0*(1.0-alpha1)*Cycle[i+1]-(1.0-alpha1)*(1.0-alpha1)*Cycle[i+2];
//Print("Smooth["+IntegerToString(i)+"]="+DoubleToString(Smooth[i])+" Cycle["+IntegerToString(i)+"]="+DoubleToString(Cycle[i]));
}
else
{
Cycle[i]=(Price(i)-2.0*Price(i+1)+Price(i+2))/4.0;
}
//Print(__FILE__+__FUNCTION__+" received values: ",rCnt);
Trigger[i]=Cycle[i+1];
}
}
//--- return value of prev_calculated for next call
return(rates_total);
}
//+------------------------------------------------------------------+
Re: Ehlers RVI oscillator
Apprentice · Mon Nov 18, 2013 9:06 am
I need CyclePeriod indicator code. Its output is the basis for the proper functioning of the “Adaptive CyberCycle indicator
Re: Ehlers RVI oscillator
Apprentice · Mon Nov 18, 2013 11:30 am
This is what I could find on the internet. There are several versions out there.
Adaptive CyberCycle indicator.lua
Re: Ehlers RVI oscillator
Patrick Sweet · Mon Nov 18, 2013 3:21 pm
hi, Here comes the cyber cycle indicator…..is that what you got or is this what you need?
Cyber Cycle indicator The Cyber Cycle indicator is a high-pass filter taken from “Сybernetic analysis for stocks and futures”. This filter leaves only the cycle mode component from timeseries. Additionaly two-bar and three-bar cycle components are extracted from the result by smoothing it with a finite impulse response low pass filter.
#property description "CyberCycle indicator - described by John F. Ehlers"
#property description "in \"Cybernetic Analysis for Stocks and Futures\""
#property description "This indicator is available for free download."
#property indicator_buffers 2
#property indicator_plots 2
#property indicator_width1 1
#property indicator_width2 1
#property indicator_type1 DRAW_LINE
#property indicator_type2 DRAW_LINE
#property indicator_color1 Green
#property indicator_color2 Red
#property indicator_label1 "Cycle"
#property indicator_label2 "Trigger Line"
#define Price(i) ((high[i]+low[i])/2.0)
double Smooth[];
double Cycle[];
double Trigger[];
input double InpAlpha=0.07; // alpha
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int OnInit()
{
//--- indicator buffers mapping
ArraySetAsSeries(Cycle,true);
ArraySetAsSeries(Trigger,true);
ArraySetAsSeries(Smooth,true);
SetIndexBuffer(0,Cycle,INDICATOR_DATA);
SetIndexBuffer(1,Trigger,INDICATOR_DATA);
PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,0.0);
PlotIndexSetDouble(1,PLOT_EMPTY_VALUE,0.0);
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
const int prev_calculated,
const datetime &time[],
const double &open[],
const double &high[],
const double &low[],
const double &close[],
const long &tick_volume[],
const long &volume[],
const int &spread[])
{
//---
long tickCnt[1];
int i;
int ticks=CopyTickVolume(Symbol(), 0, 0, 1, tickCnt);
if(ticks!=1) return(rates_total);
Comment(tickCnt[0]);
if(prev_calculated==0 || tickCnt[0]==1)
{
//--- last counted bar will be recounted
int nLimit=rates_total-prev_calculated-1; // start index for calculations
ArraySetAsSeries(high,true);
ArraySetAsSeries(low,true);
ArrayResize(Smooth,Bars(_Symbol,_Period));
ArrayResize(Cycle,Bars(_Symbol,_Period));
if(nLimit>rates_total-4) // adjust for last bars
nLimit=rates_total-4;
for(i=nLimit;i>=0 && !IsStopped();i--)
{
Smooth[i]=(Price(i)+2*Price(i+1)+2*Price(i+2)+Price(i+3))/6.0;
if(i<rates_total-5)
{
Cycle[i]=(1.0-0.5*InpAlpha) *(1.0-0.5*InpAlpha) *(Smooth[i]-2.0*Smooth[i+1]+Smooth[i+2])
+2.0*(1.0-InpAlpha)*Cycle[i+1]-(1.0-InpAlpha)*(1.0-InpAlpha)*Cycle[i+2];
}
else
{
Cycle[i]=(Price(i)-2.0*Price(i+1)+Price(i+2))/4.0;
}
//Print(__FILE__+__FUNCTION__+" received values: ",rCnt);
Trigger[i]=Cycle[i+1];
}
}
//--- return value of prev_calculated for next call
return(rates_total);
}
//+------------------------------------------------------------------+
Re: Ehlers RVI oscillator
Patrick Sweet · Tue Nov 19, 2013 3:04 am
Thank you A! Much appreciated!!!
P
Re: Ehlers RVI oscillator
Alexander.Gettinger · Wed Jun 04, 2014 5:29 pm
MQL4 version of Ehlers RVI oscillator: viewtopic.php?f=38&t=60771.
Re: Ehlers RVI oscillator
Apprentice · Mon Jun 19, 2017 8:20 am
The indicator was revised and updated.