Variable Index Dynamic Average (VIDYA)

Category: trend, volatility

An adaptive moving average that uses a relative volatility ratio (Efficiency Index based on Standard Deviations) to adjust its smoothing factor.

Formula

k = \frac{StdDev(period, i)}{StdDev(histper, i)} \\ sc = \frac{2}{period + 1} \\ VIDYA_i = (k \cdot sc) \cdot Close_i + (1 - k \cdot sc) \cdot VIDYA_{i+1}

Inputs

• period (default: 9)
• histper (default: 30)

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