OCVI, ORPI and CRPI

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Laurent
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OCVI, ORPI and CRPI

Postby Laurent » 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");

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