Smoothing the Relative Vigor Index with Harmonic Filtering

Summary

This indicator smooths a Relative Vigor Index (RVI) time series by filtering higher-order harmonics from its spectrum. The document presents the approach as a way to reduce fluctuations while introducing virtually no delay, and says the same method can be applied to other indicators. It describes inputs for the RVI averaging period, series length, smoothing coefficient, and horizontal shift.

The series length must be a power of two. The smoothing coefficient sets which frequencies are removed; when it reaches the full spectrum size, the output repeats the original RVI series. The document provides no chart interpretation, trading rules, or performance tests, so it does not establish that the smoothed indicator improves signals or results. It is a description of an indicator technique rather than evidence of a profitable strategy.

Key ideas

• The indicator smooths RVI values by filtering higher-order spectral components.
• The author describes the method as having virtually no delay.
• The smoothing method may also be applied to other indicators.
• The series length must be a power of two, and the smoothing coefficient controls the retained frequencies.
• At the maximum smoothing coefficient, the output reproduces the original RVI series.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.