This approach is from Dr. John Ehlers: The trend vigor indicator is not the same as the Relative Vigor Index (RVI). Trend Vigor measures the strength of the trend relative to the cycle. The larger the value of the Trend Vigor, the more powerful the trend is relative to the cycle.
The trend vigor is the slope of the close (or any other price input) over one full dominant cycle divided by the amplitude of the dominant cycle. Typical Approach: offset = measured dominant cycle
close - close[offset]/amplitude
The amplitude is more complicated. It is defined as: sqrt( (InPhase * Inphase) + (Quadrature * Quadrature) )
The Inphase and Quadrature are components derived when calculating the dominant cycle. Detailed discussion of the InPhase and Quadrature components can be found in Ehler's book, "Rocket Science for Traders" in the chapter discussing the Homodyne Discriminator dominant cycle calculation.
@capam why on stocks the trigger and vigor are relatively flat/small in amplitude compared to signal and lead?
capam
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@MasBart, Thanks for the question. I haven't researched yet the algorithms fully yet. I will state the obvious that signal and lead come out of the bandpass filter and that trigger and vigor come from a low pass filter that creates 'trend'. The inputs to both are differences. More later.
Pip-Whisperer
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is this similar to ehlers renowned "MESA VIGOR" ? I know this incorporates his concepts, but could it be used with a less sensitive to offer leading rpedictions?
landeisbm
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@Pip-Whisperer, Can you provide a reference for MESA VIGOR?