RelativeVigorIndex — Relative Vigor Index

Does the close finish strong relative to the bar’s range? The body (close − open) over the range (high − low), both weighted across four bars and then summed over the window. The premise: in an uptrend, closes cluster near highs.

Signature

RelativeVigorIndex(period, on=<source>)

Argument	Type	Required	Notes
period	int Param or literal	Yes	Summation window. Default 10, bounds 1–400.
on=	symbol	No	Source symbol. Defaults to the trade symbol. Reads open, high, low, close.

Formula

$$ \text{RVI} = \frac{\sum_n \text{SWMA}(C - O)}{\sum_n \text{SWMA}(H - L)} $$

where SWMA is the symmetric 1/2/2/1 four-bar weighting; the signal line applies the same weighting to the RVI.

Warmup

period + 3 bars.

Reading the value

rvi.rvi
rvi.signal
rvi.rvi > rvi.signal

Multi-value: cannot be chained onto or crossed.

Example

class RviCross(Strategy):
    """Trade the RVI/signal crossover."""
    trade = Symbol()
    sizing = FixedCapital()

    def execute(self):
        rvi = RelativeVigorIndex(10, on=self.trade)
        if rvi.rvi > rvi.signal and self.trade.is_flat:
            self.buy(self.trade, reason="RVI above signal")
        if rvi.rvi < rvi.signal and self.trade.is_long:
            self.sell(self.trade, self.trade.position, reason="RVI below signal")

Notes

• John Ehlers’ Relative Vigor Index.