Chaikins Volatility

Technical Analysis Indicator: cvi

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Function Prototype

/* Chaikins Volatility */
/* Type: indicator */
/* Input arrays: 2    Options: 1    Output arrays: 1 */
/* Inputs: high, low */
/* Options: period */
/* Outputs: cvi */
int ti_cvi_start(TI_REAL const *options);
int ti_cvi(int size,
      TI_REAL const *const *inputs,
      TI_REAL const *options,
      TI_REAL *const *outputs);

Description

This documentation is still a work in progress. It has omissions, and it probably has errors too. If you see any issues, or have any general feedback, please get in touch.

Chaikins Volatility quantifies volatility by comparing the high and low prices.

It takes one parameter, the period n, which is also passed to the Exponential Moving Average function used in its calculation.

Chaikins Volatility is calculated as follows:

$$hl_{t} = ema(high - low) $$
$$cvi_{t} = 100 \frac{hl_{t} - hl_{t-n}}{hl_{t-n}} $$

See Also

References

Example Usage

Calling From C

/* Example usage of Chaikins Volatility */
/* Assuming that 'high' and 'low' are pre-loaded arrays of size 'in_size'. */
TI_REAL *inputs[] = {high, low};
TI_REAL options[] = {5}; /* period */
TI_REAL *outputs[1]; /* cvi */

/* Determine how large the output size is for our options. */
const int out_size = in_size - ti_cvi_start(options);

/* Allocate memory for output. */
outputs[0] = malloc(sizeof(TI_REAL) * out_size); assert(outputs[0] != 0); /* cvi */

/* Run the actual calculation. */
const int ret = ti_cvi(in_size, inputs, options, outputs);
assert(ret == TI_OKAY);

Calling From Lua (with Tulip Chart bindings)

-- Example usage of Chaikins Volatility
cvi = ti.cvi(high, low, 5)

Example Calculation

period = 5

datehighlowcvi
2005-11-0182.1581.29
2005-11-0281.8980.64
2005-11-0383.0381.31
2005-11-0483.3082.65
2005-11-0783.8583.07
2005-11-0883.9083.11
2005-11-0983.3382.49
2005-11-1084.3082.30
2005-11-1184.8484.15
2005-11-1485.0084.115.68
2005-11-1585.9084.0344.09
2005-11-1686.5885.3943.32
2005-11-1786.9885.76-0.49
2005-11-1888.0087.173.99
2005-11-2187.8787.011.82

Chart

 

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