DVI: DV Intermediate Oscillator

In TTR: Technical Trading Rules

Description

The DV Intermediate oscillator (DVI) is a very smooth momentum oscillator that can also be used as a trend indicator. Created by David Varadi.

Usage

  DVI(price, n = 252, wts = c(0.8, 0.2), smooth = 3,
    magnitude = c(5, 100, 5), stretch = c(10, 100, 2),
    exact.multiplier = 1)

Arguments

price	Price series that is coercible to xts or matrix.
n	Number of periods for the percent rank.
wts	The weight given to the smoothed returns (magnitude) component and the up/down days (stretch) component, respectively.
smooth	The number of periods to smooth price.
magnitude	A set of 3 periods used to smooth magnitude.
stretch	A set of 3 periods used to smooth stretch.
exact.multiplier	The weight applied to identical values in the window. See runPercentRank.

Details

The DVI combines smoothed returns over different time windows and the relative number of up versus down days (stretch) over different time windows.

Value

A object of the same class as price or a vector (if try.xts fails) containing the DVI values.

Author(s)

Joshua Ulrich

References

The following site(s) were used to code/document this indicator:
http://cssanalytics.wordpress.com/2009/12/13/what-is-the-dvi/
http://marketsci.wordpress.com/2010/07/27/css-analytics%E2%80%99-dvi-indicator-revealed/

Examples

data(ttrc)
dvi <- DVI(ttrc[,"Close"])

Example output

TTR documentation built on April 15, 2017, 8:31 a.m.