MultiCharts: Trading Software for Automated Trading and Backtesting

Posted: **11 Feb 2011**

It's volatility indicators that can be found in ProRealTime.
I have coded them for Multicharts. They are used to confirm results of others volatility indicators such StdDev or AvgTrueRange.

After having trying them, I'm not very seduced but maybe some old ProrealTime users used them.

1. OCVI - Open Close Volatility Index

http://www.axialfinance.com/manuel/page ... geOCV.html

Code: Select all

// OCVI - Open Close Volatility Index - Function



Inputs:

        Series1 ( NumericSeries ),      // Open

        Series2 ( NumericSeries ),      // High

        Series3 ( NumericSeries ),      // Low

        Series4 ( NumericSeries ),      // Close

        Len ( NumericSimple );  // Length



Variables:

        Num ( 0 ),

        Denom ( 0 );



Num = absvalue(Series1 - Series4);

Denom = Series2 - Series3;



if (Denom = 0) then

   Denom = 0.000001;



OCVI = XAverage(Num / Denom, Len) * 100;

Code: Select all

// OCVI - Open Close Volatility Index - Indicator



Inputs:

        OpenPrice ( Open ),

        HighPrice ( High ),

        LowPrice ( Low ),

        ClosePrice ( Close ),

        Length ( 10 ),

        Displace ( 0 );



Variables:

        MyOCVI ( 0 );



MyOCVI = OCVI(OpenPrice, HighPrice, LowPrice, ClosePrice, Length);



Plot1[Displace](MyOCVI, "OCVI");

2. ORPI - Open Range Position Index

http://www.axialfinance.com/manuel/page ... geORP.html

Code: Select all

// ORPI - Open Range Position Index - Function



Inputs:

        Series1 ( NumericSeries ),      // Open

        Series2 ( NumericSeries ),      // High

        Series3 ( NumericSeries ),      // Low

        Len ( NumericSimple );          // Length



Variables:

        Num ( 0 ),

        Denom ( 0 );



Num = 2 * absvalue(Series1 - (Series2 + Series3) / 2);

Denom = Series2 - Series3;



if (Denom = 0) then

   Denom = 0.000001;



ORPI = XAverage(Num / Denom, Len) * 100;

Code: Select all

// ORPI - Open Range Position Index - Indicator



Inputs:

        OpenPrice ( Open ),

        HighPrice ( High ),

        LowPrice ( Low ),

        Length ( 10 ),

        Displace ( 0 );



Variables:

        MyORPI ( 0 );



MyORPI = ORPI(OpenPrice, HighPrice, LowPrice, Length);



Plot1[Displace](MyORPI, "ORPI");

3. CRPI - Close Range Position Index

http://www.axialfinance.com/manuel/page ... geCRP.html

Code: Select all

// CRPI - Close Range Position Index - Function



Inputs:

        Series1 ( NumericSeries ),      // High

        Series2 ( NumericSeries ),      // Low

        Series3 ( NumericSeries ),      // Close

        Len ( NumericSimple );  // Length



Variables:

        Num ( 0 ),

        Denom ( 0 );



Num = 2 * absvalue(Series3 - (Series1 + Series2) / 2);

Denom = Series1 - Series2;



if (Denom = 0) then

   Denom = 0.000001;



CRPI = XAverage(Num / Denom, Len) * 100;

Code: Select all


// CRPI - Close Range Position Index - Indicator



Inputs:

        HighPrice ( High ),

        LowPrice ( Low ),

        ClosePrice ( Close ),

        Length ( 10 ),

        Displace ( 0 );



Variables:

        MyCRPI ( 0 );



MyCRPI = CRPI(HighPrice, LowPrice, ClosePrice, Length);



Plot1[Displace](MyCRPI, "CRPI");

MultiCharts: Trading Software for Automated Trading and Backtesting

OCVI, ORPI and CRPI

OCVI, ORPI and CRPI