ProQuant “RVI” in Quantconnect

Hi all,

I'm trying to reproduce a strategy generated in ProQuant in Quantconnect using python. Totally out of curiosity to see whether I get a similar backtest result.

I've discovered that the RVI indicator doesn't exist in Quantconnect, so thought I'd have a go at creating it.

Problem is, the ProQuant docs seem to show an extremely simplified formula when compared to the one defined in Investopedia, amongst a swath of other sites.

Could it be that ProQuant have decided to define their own version of the indicator? Or is it more likely they're just not showing the script in its entirety?

Submitted October 05, 2020 at 04:27PM by undershot

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