Bandys RVI2

Howard Bandy's RVI2 – Automated Trading System

A professional implementation of Howard Bandy's 2-period Relative Vigor Index (RVI) strategy, designed to systematically capture high-probability short-term reversals in Indicies, ETF's and Equity markets.

RVI measures the conviction behind price moves by comparing the close-to-open range against the high-to-low range. When RVI is deeply negative, candles are closing near their lows — indicating exhausted selling pressure and a high-probability bounce setup that this EA captures with disciplined, rule-based execution.

Core Edge

The Relative Vigor Index captures something simple but powerful: when candles consistently close near their lows (negative RVI), sellers are dominant but likely exhausted:

• Captures the internal structure of each candle (open, close, high, low)
• The 2-period RVI is extremely responsive to short-term extremes
• Provides a different dimension of exhaustion uncorrelated with simpler price signals
• Deeply negative RVI in an uptrend creates a high-probability bounce opportunity

Unlike price-only systems, RVI captures the relationship between open, close, high, and low — providing a more nuanced measure of short-term exhaustion.

How RVI Is Calculated

The Relative Vigor Index measures the strength of a price move by comparing where the bar closed within its range. The core idea is that in a strong up move, the close tends to be near the high; in a strong down move, the close tends to be near the low.

For each bar, the numerator and denominator are calculated using a symmetric weighted average that smooths the values:

Numerator = (Close - Open) + 2 * (Close[1] - Open[1]) + 2 * (Close[2] - Open[2]) + (Close[3] - Open[3]) Denominator = (High - Low) + 2 * (High[1] - Low[1]) + 2 * (High[2] - Low[2]) + (High[3] - Low[3])

The numerator captures the directional component (close vs open), while the denominator captures the total range (high vs low). Both use a 4-bar weighted smoothing kernel.

RVI = SMA(Numerator / Denominator, Period)

With the default period of 2, the final RVI is the simple moving average of the ratio over the last 2 bars. RVI oscillates roughly between -1 and +1. Negative values mean candles are closing near their lows (bearish conviction); positive values mean candles are closing near their highs (bullish conviction). The default entry threshold of -0.30 captures bars where selling pressure is dominant, while the exit at 0.00 closes the trade once the bearish conviction fades.

Research Foundation

Based on Howard Bandy's application of the Relative Vigor Index from "Mean Reversion Trading Systems" (Blue Owl Press, 2013). The standard RVI compares the close-open range to the high-low range using a smoothed calculation. Bandy's approach uses a short 2-period lookback to create a fast oscillator suited for mean reversion timing.

Bandy's mean reversion strategies were originally designed as long-only systems, reflecting the natural upward bias of equity markets. The short side has been coded into this EA for those who wish to experiment, but the long side is where the primary research edge lies.

Strategy Rules

Long side:

• Entry: RVI2 drops below -0.30 (default) while price is above the SMA trend filter
• Exit: RVI2 rises above 0.0 (default). Take profit and N-bar timeout are available but OFF by default -- the RVI level exit is the primary exit

Short side (disabled by default):

• Entry: RVI2 rises above 0.30 (default) while price is below the SMA trend filter
• Exit: RVI2 drops below 0.0 (default). Take profit and N-bar timeout are available but OFF by default

Optional scaling allows additional entries on subsequent bars if the RVI remains at extreme levels.

Typical System Behaviour

• High win rate (often 70 to 85 percent depending on market and settings)
• Small, consistent gains per trade
• Occasional drawdowns during strong trending markets
• Performs best on liquid equity indices and ETFs

This is a mean reversion system, not a trend-following strategy. It profits from short-term pullbacks rather than large directional moves.

Who This EA Is For

Ideal for:

• Traders building multi-strategy portfolios
• Users familiar with systematic trading concepts
• Traders targeting consistency over aggressive returns

Not suitable for:

• "Set and forget" users expecting constant profits
• Traders who cannot tolerate temporary drawdowns
• Users seeking high-risk, high-return systems

Key Features

• Fully automated execution on MetaTrader 5
• Multi-symbol trading: up to 10 markets from a single chart
• Three position sizing modes: Fixed Lots, Dollar Value, and Account Percentage
• Automatic currency conversion for cross-currency instruments
• RVI-based exit provides responsive signal management
• Optional scaling into deeper pullbacks
• Optional enhanced exits: Take Profit (%) and N-Bar Timeout
• Built-in performance dashboard with win rate, P&L, average trade, and open positions
• Alerts via chart popups, push notifications, and email

Recommended Markets

Best suited for:

• US equity indices: S&P 500 (US500), NASDAQ 100 (NDX100/US100), Dow Jones (US30)
• Other liquid indices: Russell 2000 (US2000), ASX 200, DAX 40, FTSE 100
• Equity ETFs: SPY, QQQ, DIA, IWM, XLK

Individual equities can be traded but carry higher risk. Single stocks are inherently more volatile than indices and ETFs, and their downside risk during company-specific events is substantially larger. If trading individual equities, use conservative position sizing and always backtest first.

Not recommended for Forex or commodities unless specifically tested. Do not mix asset classes in the same EA instance.

Screenshots

Screenshots show individual trade examples on SPY with RVI indicator values, entry and exit markers, and strategy details.

Part of a Professional EA Series

This EA is one of 9 mean reversion strategies available from M.Wills. All target the same core edge — short-term pullbacks in trending markets — but each uses a different signal to identify when that pullback has gone far enough. Running multiple uncorrelated entry signals together can reduce drawdowns, improve consistency, and smooth equity curves.

The series includes:

• Connors TPS (scale-in with RSI)
• Connors RSI2 (RSI extreme readings)
• Connors Double 7s (7-day price channel)
• Connors Percent B (Bollinger Band %b)
• Bandy Naive MR (consecutive down days)
• Bandy PIRDPO (detrended price oscillator)
• Bandy RVI2 (relative vigor index)
• Bandy DV2 (close-to-midpoint momentum)
• Bandy Z-Score (statistical z-score)

Expert Advisor Settings

General Settings

Magic Number (default: 12345) - Unique identifier for this EA's trades. Use different numbers when running multiple EAs on the same account to prevent trade conflicts.

Trade Entry Mode (default: Open of Next Bar) - Controls when trades are executed:

• OPEN OF NEXT BAR: Places trades at the next bar open. Best for backtesting.
• CLOSE OF THIS BAR: Executes near the daily session close. Recommended for live trading.
• EXACT TIME: Executes at a user-defined time each day using the broker's server clock.

Exact Time (default: 23:54) - The time in HH:MM format used when Trade Entry Mode is set to Exact Time.

Timeframe (default: Current) - The chart timeframe for analysis. Daily is recommended.

Position Sizing

Sizing Mode (default: Lot Size) - Determines how position size is calculated:

• LOT SIZE: Uses a fixed number of lots per trade entry.
• TRADE VALUE $: Allocates a fixed dollar amount per trade, automatically converted to the correct lot size.
• ACCOUNT BALANCE %: Allocates a percentage of the current account balance per trade.

Position Size (default: 0.01) - The value applied to the selected sizing mode.

Max Margin % of Equity (default: 30.0) - Safety limit that caps how much margin a single trade can consume relative to account equity. Before every trade, the EA calculates the required margin and checks whether it would exceed this percentage of current equity. If it would, the trade is skipped and a message is logged to the Journal. This prevents accidental over-leverage on brokers with high minimum lot sizes. Set to 0 to disable.

Symbol Management

Additional Symbols (default: blank) - Comma-separated list of additional symbols to trade from a single chart (e.g. US500,NDX100,ASX200). Leave blank to trade only the chart symbol.

Max Symbols Open at Once (default: 2) - Maximum number of symbols that can have active trades simultaneously.

Indicator Settings

RVI Period (default: 2) - The lookback period for the Relative Vigor Index calculation. Controls how responsive the RVI is to recent price action. The ultra-short 2-period setting creates an extremely responsive oscillator that captures short-term exhaustion.

Long System

Enable Long (default: true) - Toggles long (buy) trading on or off.

Trend Filter: Price > SMA (default: true) - Long trades are only taken when price is above the moving average, ensuring trades align with the broader uptrend.

Trend Filter: SMA Period (default: 200) - The lookback period for the trend filter.

Entry: RVI Below (default: -0.50) - When RVI drops below this level, a long entry is triggered. Deeply negative RVI means candles are closing near their lows, indicating exhausted selling pressure.

Entry: Additional on Subsequent Days (default: 0) - If the RVI remains at extreme levels after the initial entry, take additional positions. Set to 0 for a single entry only.

Exit: RVI Above (default: 0.15) - When RVI rises above this level, long positions are closed. This captures the mean reversion bounce as selling pressure eases.

Exit: Take Profit % (default: 0.0) - Percentage-based profit target. Disabled by default — the RVI level exit is the primary exit mechanism. Set to a percentage value to enable.

Exit: N-Bar Timeout (default: 0) - Maximum bars to hold a position. Disabled by default. Set to a non-zero value to add a time-based exit.

Short System

Enable Short (default: false) - Toggles short (sell) trading on or off. Disabled by default.

Trend Filter: Price < SMA (default: true) - Short trades are only taken when price is below the moving average, ensuring trades align with the broader downtrend.

Trend Filter: SMA Period (default: 200) - The lookback period for the trend filter.

Entry: RVI Above (default: 0.50) - When RVI rises above this level, a short entry is triggered. Positive RVI means candles are closing near their highs, indicating exhausted buying pressure.

Entry: Additional on Subsequent Days (default: 0) - If the RVI remains at extreme levels after the initial entry, take additional positions. Set to 0 for a single entry only.

Exit: RVI Below (default: -0.15) - When RVI drops below this level, short positions are closed.

Exit: Take Profit % (default: 0.0) - Percentage-based profit target for short positions. Disabled by default.

Exit: N-Bar Timeout (default: 0) - Maximum bars to hold a short position before closing at market. Disabled by default.

Display Settings

Show Dashboard (default: true) - Displays the on-chart information panel showing all active settings and current trade status.

Font Size (default: 20) - Text size for the dashboard display.

Show Trade Metrics (default: true) - Includes performance statistics in the dashboard: total trades, win/loss ratio, accuracy, average trade, and cumulative P&L.

Metrics Start Date (default: 2000.01.01) - Starting date for performance calculations.

Alerts and Notifications

Chart Alerts (default: false) - Enable on-chart popup alerts when trade signals are generated.

Push Notifications (default: false) - Enable mobile push notifications for trade signals. Requires push notifications to be configured in the MetaTrader 5 terminal.

Email Notifications (default: false) - Enable email notifications for trade signals. Requires email to be configured in the MetaTrader 5 terminal settings.

Backtesting and Execution Notes

This strategy is designed for entry at the close of the trading day, when the signal is first identified. Backtesting research shows that entering at the close provides a measurable edge over waiting for the next day's open.

• Default mode: Open of Next Bar (required for MQL5 Market validation)
• Recommended for live trading: Close of This Bar, or Exact Time (1-2 minutes before market close)
• Set Exact Time to match your broker's daily close (e.g. 23:54 for a server that closes at 23:55)

Backtesting tips:

• Use "1 minute OHLC" or higher tick model for accurate results on daily bars
• Do not use "Open prices only" for daily timeframe strategies
• Close of This Bar and Exact Time modes may not function correctly in the Strategy Tester

Additional notes:

• Do not mix different asset classes in the same EA instance
• For Forex and Metals, use the Lot Size position sizing method only -- Trade Value and Account Percentage modes are designed for stocks and indices

Requirements

• MetaTrader 5 platform (Hedging or Netting account)
• Minimum recommended leverage: 1:30
• Daily timeframe preferred
• All symbols must be available in your broker's Market Watch

Support

If you need custom adjustments or have questions, leave a comment with your email and we will get back to you. Always test the EA on a demo account before running it on a live account.

Risk Disclosure

This EA trades mean reversion setups using the 2-period Relative Vigor Index. However, RVI can remain at extreme levels during sustained trends, and exits may not prevent losses during severe drawdowns. Backtests use historical data and do not account for slippage, partial fills, or changing market conditions. Proper position sizing relative to account equity is essential. Always test with demo accounts before trading live. Past performance does not guarantee future results.