Relative Volume Strength Index (MZ RVSI)

2. Jan. 2022

INTRODUCTION

Volume always plays a role of key indication for price movements and momentum and I always found the same problem with all available volume oscillators and indicators which is that their data is always in compounded form that can’t be easily used in raw form as a parameter in many strategies.
This indicator uses raw volume data from one of following oscillators:

• TFS Volume Oscillator
• On Balance Volume
  
• Klinger Volume Oscillator
  
• Cumulative Volume Oscillator
  
• Volume Zone Oscillator
  

Then this data goes through the following process of noise filtration:

• Hull Moving Average of input data to reduce noise
  
• Relative Strength Index of HMA
  
• Hull Moving Average of RSI to reduce noise for finalized RVSI
  

ADDITIONAL FEATURES
Heiken-Ashi: Heiken-Ashi values are optional to use in calculations and I’ve set them to default as I found good results with them.
Slope for Trend Detection: Slope of finalized RVSI is calculated in order to check volume trend direction. Another additional feature of Volume breakouts is also added which is used in dynamic coloring of RVSI. Dynamic color indications are as follows.

• Green Color:
  Strong Volume Uptrend above volume breakout point
  
• Fuchsia Color:
  Weak Volume Uptrend below volume breakout point but slope supported
  
• Red Color:
  Strong Volume Downtrend below volume breakout point
  
• Gray Color:
  Weak Volume Downtrend above volume breakout point but slope supported
  
• Yellow Color:
  Possible trend reversal as slope is flat.
  

DEFAULTS SETTINGS

• Volume length is 30 (Better for timeframes higher than 1H)
  
• Hull Moving Average and RSI length is set to 14
  

ADDITIONAL APPLICATIONS
This indicator can be used as divergence detection tool for volume same way as RSI is used for price divergence. I’ll soon add divergence signals inside the code and this code can be used in multiple ways as volume breakout indication in strategies for better results.