TVI: Trend Vigor Indicator

Description Usage Arguments Value Note References

Description

John Ehlers's Trend Vigor Indicator, along with a signal and lead combination to form an oscillator indicator.

Usage

1
  TVI(x, period = 20, delta = 0.2, triggerLag = 1)

Arguments

x

a univariate series

period

an integer number of days to look back. Not implemented yet: enter 0 for a dynamic period computation.

delta

a trigonometric parameter for computing bandpass filter.

triggerLag

– a delay by which to lag the vigor computation.

Value

vigor – the trend vigor indicator. An absolute value higher than 1 indicates a trend.

Signal and lead–a combination of indicators to form an oscillator. Buy when the signal crosses under the lead and vice versa. Signal and lead are centered at zero. Trigger is the vigor computation lagged by the triggerLag indicator.

Note

TODO: implement method for using a dynamic/adaptive period computation for greater accuracy.

References

http://www.mesasoftware.com/Seminars/Trend%20Modes%20and%20Cycle%20Modes.pdf


IlyaKipnis/DSTrading documentation built on May 8, 2019, 1:39 p.m.