Research method
Relative Volatility Index
Relative Volatility Index is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Conditional forecast or research filter
- Input
- Ordered price, volume or breadth observations
- Horizon
- A defined sampling interval and lookback
- Best use
- Compare an explicit quantitative baseline with an out-of-sample result.
- Input: Ordered price, volume or breadth observations.
- Output: forecast.
- Use boundary: Compare an explicit quantitative baseline with an out-of-sample result.
The archive
Where the method has been read
Read in the archive7 readings
1990Constructing a two-line relative volatility index1993A volatility-direction filter for dual moving-average crossovers1995Constructing a high-low relative volatility trend filter1995Constructing the relative volatility index and inertia2005Genetic optimization of relative-volatility crossover rules2017How lookbacks, sign, and bands construct a volatility oscillator2017Building a signed relative-volatility oscillator
This registry entry describes a research method. It is not investment advice and does not make a performance claim.