Relative Volatility Index indicator


using System;
using cAlgo.API;
using cAlgo.API.Internals;
using cAlgo.API.Indicators;
using cAlgo.Indicators;

namespace cAlgo
{
    [Cloud("outRVI0", "outRVI20", FirstColor = "Red", SecondColor = "Red", Opacity = 0.1)]
    [Cloud("outRVI80", "outRVI100", FirstColor = "Green", SecondColor = "Green", Opacity = 0.1)]
    [Levels(20, 80, 50)]
    [Indicator(IsOverlay = false, TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class RelativeVolatilityIndex : Indicator
    {
        [Parameter("Data Source (close)", DefaultValue = PriceTypes.Close)]
        public PriceTypes inpPriceType { get; set; }
        [Parameter("RVI Periods (10)", DefaultValue = 10)]
        public int inpPeriods { get; set; }
        [Parameter("MA Type", DefaultValue = MovingAverageType.Exponential)]
        public MovingAverageType inpSmoothMaType { get; set; }

        [Output("RelativeVolatilityIndex", LineColor = "Black", LineStyle = LineStyle.Solid, Thickness = 1)]
        public IndicatorDataSeries outRVI { get; set; }
        [Output("outRVI0", LineColor = "Transparent", LineStyle = LineStyle.Solid, Thickness = 1)]
        public IndicatorDataSeries outRVI0 { get; set; }
        [Output("outRVI20", LineColor = "Transparent", LineStyle = LineStyle.Solid, Thickness = 1)]
        public IndicatorDataSeries outRVI20 { get; set; }
        [Output("outRVI80", LineColor = "Transparent", LineStyle = LineStyle.Solid, Thickness = 1)]
        public IndicatorDataSeries outRVI80 { get; set; }
        [Output("outRVI100", LineColor = "Transparent", LineStyle = LineStyle.Solid, Thickness = 1)]
        public IndicatorDataSeries outRVI100 { get; set; }


        private IndicatorDataSeries _rvi;
        private IndicatorDataSeries _price;
        private IndicatorDataSeries _fir;
        private IndicatorDataSeries _changeup;
        private IndicatorDataSeries _changedn;
        private StandardDeviation _stddev;
        private MovingAverage _emaup;
        private MovingAverage _emadn;


        protected override void Initialize()
        {
            _rvi = CreateDataSeries();
            _price = CreateDataSeries();
            _fir = CreateDataSeries();
            _changeup = CreateDataSeries();
            _changedn = CreateDataSeries();
            _stddev = Indicators.StandardDeviation(_price, inpPeriods, inpSmoothMaType);
            _emaup = Indicators.MovingAverage(_changeup, inpPeriods, inpSmoothMaType);
            _emadn = Indicators.MovingAverage(_changedn, inpPeriods, inpSmoothMaType);
        }

        public override void Calculate(int i)
        {
            if (i <= inpPeriods)
            {
                _price[i] = _fir[i] = Bars.ClosePrices[i];
                _rvi[i] = 50;
                outRVI[i] = 50;
                return;
            }

            _fir[i] = (Bars.ClosePrices[i] + 2.0 * Bars.ClosePrices[i - 1] + 2.0 * Bars.ClosePrices[i - 2] + Bars.ClosePrices[i - 3]) / 6.0;


            switch (inpPriceType)
            {
                case PriceTypes.Open:
                    _price[i] = Bars.OpenPrices[i];
                    break;
                case PriceTypes.Close:
                    _price[i] = Bars.ClosePrices[i];
                    break;
                case PriceTypes.High:
                    _price[i] = Bars.HighPrices[i];
                    break;
                case PriceTypes.Low:
                    _price[i] = Bars.LowPrices[i];
                    break;
                case PriceTypes.Median:
                    _price[i] = Bars.MedianPrices[i];
                    break;
                case PriceTypes.Typical:
                    _price[i] = Bars.TypicalPrices[i];
                    break;
                case PriceTypes.Weighted:
                    _price[i] = Bars.WeightedPrices[i];
                    break;
                case PriceTypes.FIR:
                    _price[i] = _fir[i];
                    break;
                default:
                    _price[i] = Bars.ClosePrices[i];
                    break;
            }

            _changeup[i] = (_price[i] - _price[i - 1] <= 0 ? 0 : _stddev.Result[i]);
            _changedn[i] = (_price[i] - _price[i - 1] > 0 ? 0 : _stddev.Result[i]);

            //outRVI[i] = _emaup.Result[i] / (_emaup.Result[i] + _emadn.Result[i]) * 100;
            _rvi[i] = (_emaup.Result[i] + _emadn.Result[i] != 0.0 ? (_emaup.Result[i] / (_emaup.Result[i] + _emadn.Result[i]) * 100) : _rvi[i - 1]);

            outRVI[i] = _rvi[i];
            outRVI0[i] = 0.0;
            outRVI20[i] = 20.0;
            outRVI80[i] = 80.0;
            outRVI100[i] = 100.0;
        }
    }


    public enum PriceTypes
    {
        Open,
        Close,
        High,
        Low,
        Median,
        Typical,
        Weighted,
        FIR
    }
}