RelativeVolatilityIndex — Relative Volatility Index

RSI computed on standard deviation instead of price: is volatility itself trending up or down? Dorsey proposed it as a confirmation filter — a price breakout with rising RVI has participation behind it.

Signature

RelativeVolatilityIndex(period, stdev_period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	RSI smoothing over the σ changes. Default 14, bounds 1–200.
stdev_period	int Param or literal	Yes	Standard-deviation window. Default 10, bounds 2–200.
on=	symbol, OHLCV field, or indicator	No	Source. Defaults to the trade symbol’s close.

Formula

$$ \text{RVI} = 100,\frac{\text{avg gain}(\Delta\sigma)}{\text{avg gain}(\Delta\sigma) + \text{avg loss}(\Delta\sigma)} $$

with the averages Wilder-smoothed over period.

Warmup

stdev_period + period bars; 50 until then, and 50 when σ has not moved at all.

Reading the value

rvi.value
rvi > 50

Example

class RviConfirm(Strategy):
    """Take breakouts only when volatility is expanding with them."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        rvi = RelativeVolatilityIndex(14, 10, on=self.trade)
        dh = DonchianHighTrue(20, on=self.trade)
        if self.trade.close >= dh.value_at(1) and rvi.value > 50 and self.trade.is_flat:
            self.buy(self.trade, reason=f"Breakout, RVI {rvi.value:.0f}")
        if rvi.value < 40 and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="Volatility fading")

Notes

• Donald Dorsey, TASC (1993).
• Proven by an assert-via-trade run on SPY daily (stayed inside 0–100 on every bar of a 140-bar run; zero alarm trades).
• Not the same as RelativeVigorIndex, which measures candle bodies — the shared abbreviation is an unfortunate accident of the literature.