ROLLING VOLUME IMBALANCE Trading Guide

The Rolling Volume Imbalance (RVI) is a premium, high-precision volume oscillator designed to measure buying and selling pressure over a continuous rolling window. Unlike traditional volume profile indicators, it operates without daily session resets, making it highly suitable for 24/7 cryptocurrency markets and intra-day forex trading.

Core Logic & Calculation

1. Volume Classification: Each bar's volume is split into Buy (taker buy) and Sell components. If explicit exchange taker volume is unavailable, it classifies volume based on the candlestick closing location relative to its high-low range.
2. Rolling Aggregation: Computes the rolling sum of buy, sell, and total volume over a configurable Lookback Period.
3. Relative Volume Weighting: Weights the raw volume imbalance by relative volume intensity (current volume / average rolling volume), emphasizing high-volume aggressor moves and dampening thin-market spikes.
4. SuperSmoother Filtering: Filters high-frequency noise from the weighted value using John Ehlers' 2-pole SuperSmoother filter to minimize lag.
5. Rolling Normalization: Scales the smoothed values using rolling maximum amplitude over a Normalization Period, pinning the final RVI output strictly between [-100, 100].

What does the indicator show?

• RVI Line (Sky Blue): The primary rolling volume imbalance line.
• Signal Line (Orange): A dashed EMA line used for crossover confirmations.
• Zero Center Line: Serves as the threshold of balance.
• Key Levels (±Threshold %): Configurable boundaries (e.g. ±40%) representing significant volume imbalance.
• Multi-State Momentum Histogram:
  • Bullish Strong (Bright Green): RVI is rising above zero and expanding.
  • Bullish Weak (Dark Green): RVI is above zero but contracting.
  • Bearish Strong (Bright Red): RVI is falling below zero and expanding.
  • Bearish Weak (Dark Red): RVI is below zero but contracting.
  • Choppy/Flat (Grey): Low relative volume (relVol < 0.2) or RVI values near zero (|RVI| < 5), indicating low liquidity or consolidation.

Trading Strategies

• Aggressor Divergences & Crossovers: Enter Long when the RVI line crosses above the Signal Line, particularly when the histogram flips from Dark Red to Bright Green, indicating institutional buying pressure.
• Volatility Breakouts: Look for the RVI line to break out of the threshold boundaries (e.g. crossing above +40 or below -40) on high relative volume to confirm strong breakouts.
• Chop Avoidance: Stay out of the market when the histogram columns turn Grey (Choppy), indicating that volume has dried up and the price is in consolidation.