Volatility Index Dynamic Average

VIDYA(Vector, Periods, R2Scale)

MA Type Argument ID: VIDYA

Overview
VIDYA (Volatility Index Dynamic Average), developed by Mr. Tuschar Chande, is a moving average derived from linear regression R².

Interpretation
A Moving Average is most often used to average values for a smoother representation of the underlying price or indicator. Because VIDYA is a derivative of linear regression, it quickly adapts to volatility. Parameters R2 Scale is a value specifying the R-Squared scale to use in the linear regression calculations. Mr. Chande recommends a value between 0.5 and 0.8 (default value is 0.65).

Example
set BUY = CLOSE > VIDYA(CLOSE, 30, 0.65)
Evaluates to buy when the close is greater than a 30-day VIDYA with an R² of 0.65.