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The variable moving average also puts emphasis on the most recent days of its period. It is an exponential moving average driven by an independent variable. The formula for this moving average is shown below.  The independent variable, VR, stands for volatility ratio. By applying an indicator which grows larger with higher volatility to VR, more emphasis can then be put on current elements during periods of high volatility. Four different volatility indicators are provided with the SysGen Moving Average Indicator. The operation of these volatility indicators is described below.
Chande Momentum Oscillator:
The Chande Momentum Oscillator (CMO) is calculated using the sum of the differences between the high and low prices, the sum of the differences between the high and low prices on days when prices have moved up, (up days), and the sum of the differences between the high and low prices on down days. SysGen uses the absolute value of this oscillator to generate an exponential moving average for use in the VMA calculation.
Vertical Horizontal Filter:
The Vertical Horizontal Filter (VHF) provides a measure of the "trendiness" of a set of prices. The controlling value for the indicator is the period length, n. Rising values of this indicator imply that a trend is forming. Falling values imply that a prices are falling into a range. Typically a period of 28 days is used for this indicator.
Chaikin Volatility Indicator:
The Chaikin Volatility Indicator (CVI) is calculated using the difference between the daily high and low prices. After these differences are calculated an exponential moving average is applied to the them. The CVI is then calculated by subtracting the value of the moving average n days ago from the current day's moving average and dividing by the value of the moving average n days ago. The resulting value is the CVI which represents the percentage change in the difference EMA over n periods. SysGen uses the absolute value of CVI for the variable moving average calculations. Chaikin recommends using a 10 day EMA percentage and a period of n = 10.
Relative Volatility Indicator:
The Relative Volatility Indicator is a superior confirming indicator, because it uses a different set of parameters than most trend following indicators. It is calculated using the standard deviation of daily high and low prices over a set period. A set of smoothing EMAs are also employed. RVI values above 50 are bullish and below 50 are bearish.
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